Overnight Index Swap – OIS, custom amortizing schedule (floating leg)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Overnight Index Swap

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

GIA_IRD_OISCustom_ValueOfFloatLeg

Returns the value of the floating leg in an OIS with a custom amortizing schedule.

GIA_IRD_OISCustom_ValueOfFloatLeg(Position, Notional, EDate, PrincipalDates, PrincipalRates, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp)

Returns: Value of the floating leg in an OIS with a custom amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the OIS (PayFixed, ReceiveFixed)
`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)
`Sp`	Required	The spread (in basis points) in the floating leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`EfDateFl`	Required	The original effective date in the floating leg of the swap.
`CFrFl`	Required	The frequency of coupons in the floating leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFl`	Required	The time basis method in the floating 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)

GIA_IRD_OISCustom_ValueOfFloatLeg_Approx1

Returns the value of the floating leg in an OIS with a custom amortizing schedule.

GIA_IRD_OISCustom_ValueOfFloatLeg_Approx1(Position, Notional, EDate, PrincipalDates, PrincipalRates, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE0, NE1, Comp, Days, Interp)

Returns: Value of the floating leg in an OIS with a custom amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the OIS (PayFixed, ReceiveFixed)
`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)
`Sp`	Required	The spread (in basis points) in the floating leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`EfDateFl`	Required	The original effective date in the floating leg of the swap.
`CFrFl`	Required	The frequency of coupons in the floating leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFl`	Required	The time basis method in the floating 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)