OIS Swaption

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Swaption

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

GIA_IRD_SwaptionOIS_Risk

Returns the risk measures (DV01, Vega, Theta, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an OIS swaption, given flat volatility.

GIA_IRD_SwaptionOIS_Risk(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, LR, EfDateFl, CFrFl, DaysFl, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, RM, StartTerm, EndTerm, WhichVol, ApproxType)

Returns: Risk measures (DV01, Vega, Theta, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an OIS swaption

Argument	Use	Description
`OptionType`	Required	The option type (Payer, Receiver)
`Notional`	Required	The notional amount.
`EDateOption`	Required	The expiry date of the swaption.
`EDateSwap`	Required	The expiry date of the underlying IRS.
`Strike`	Required	The option's strike price.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis in the fixed leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`Vol`	Required	The volatility of the underlying asset.
`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)
`RM`	Required	The risk measure type (DV01, Vega, Theta, KR01, KRDuration, BucketDV01, BucketDuration)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_SwaptionOIS_RiskFromCube

Returns the risk measures (DV01, Vega, Theta) of an OIS swaption, given volatility cube.

GIA_IRD_SwaptionOIS_RiskFromCube(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, LR, EfDateFl, CFrFl, DaysFl, VolCube, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, RM, StartTerm, EndTerm, WhichVol, ApproxType)

Returns: Risk measures (DV01, Vega, Theta) of an OIS swaption

Argument	Use	Description
`OptionType`	Required	The option type (Payer, Receiver)
`Notional`	Required	The notional amount.
`EDateOption`	Required	The expiry date of the swaption.
`EDateSwap`	Required	The expiry date of the underlying IRS.
`Strike`	Required	The option's strike price.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis in the fixed leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`VolCube`	Required	The volatility cube of the underlying asset.
`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)
`RM`	Required	The risk measure type (DV01, Vega, Theta, KR01, KRDuration, BucketDV01, BucketDuration)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_SwaptionOIS_Value

Returns the value of an OIS swaption, given flat volatility.

GIA_IRD_SwaptionOIS_Value(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, LR, EfDateFl, CFrFl, DaysFl, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, WhichVol, ApproxType)

Returns: Value of an OIS swaption

Argument	Use	Description
`OptionType`	Required	The option type (Payer, Receiver)
`Notional`	Required	The notional amount.
`EDateOption`	Required	The expiry date of the swaption.
`EDateSwap`	Required	The expiry date of the underlying IRS.
`Strike`	Required	The option's strike price.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis in the fixed leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`Vol`	Required	The volatility of the underlying asset.
`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)
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_SwaptionOIS_ValueFromCube

Returns the value of an OIS swaption, given volatility cube.

GIA_IRD_SwaptionOIS_ValueFromCube(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, LR, EfDateFl, CFrFl, DaysFl, VolCube, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp, WhichVol, ApproxType)

Returns: Value of an OIS swaption

Argument	Use	Description
`OptionType`	Required	The option type (Payer, Receiver)
`Notional`	Required	The notional amount.
`EDateOption`	Required	The expiry date of the swaption.
`EDateSwap`	Required	The expiry date of the underlying IRS.
`Strike`	Required	The option's strike price.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis in the fixed leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`VolCube`	Required	The volatility cube of the underlying asset.
`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)
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)