Overnight Index Swap – OIS, custom amortizing schedule (pay fixed – receive floating)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Overnight Index Swap

3 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IRD_OISCustomFixedFloat_Price

Returns the fixed rate for which the value of an OIS with a custom amortizing schedule is zero.

GIA_IRD_OISCustomFixedFloat_Price(EDate, PrincipalDates, PrincipalRates, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, ApproxType)

Returns: Fixed rate for which the value of an OIS with a custom amortizing schedule is zero

Argument	Use	Description
`EDate`	Required	The expiry date.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_OISCustomFixedFloat_Risk

Returns the risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration) of an OIS with a custom amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_OISCustomFixedFloat_Risk(Notional, EDate, PrincipalDates, PrincipalRates, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, OT, RM, StartTerm, EndTerm, ApproxType)

Returns: Risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration) of an OIS with a custom amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`RM`	Required	The risk measure type (DV01, Coupon01, MacaulayDuration, ModifiedDuration)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_OISCustomFixedFloat_Value

Returns the value of an OIS with a custom amortizing schedule in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

GIA_IRD_OISCustomFixedFloat_Value(Notional, EDate, PrincipalDates, PrincipalRates, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, OT, ApproxType)

Returns: Value of an OIS with a custom amortizing schedule in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis method in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`HDates`	Required	The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`HRates`	Required	The array of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)