How does ALM process Overnight Index Swap (OIS) where Repricing Frequency Greater than Payment Frequency? (Doc ID 1603463.1)

Last updated on NOVEMBER 26, 2013

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.1 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Goal

How does Asset Liability Management (ALM) process Overnight Index Swap (OIS) where repricing frequency greater than payment frequency?

For example:
How to generate cash flow for OIS trade which has daily compounding and repricing based on the banchmark curve which has term points like 1d, 7d , 1M, 6M, 12 M, 2Y, 3Y, 5Y and 10 Y. The payment from this OIS trade is at every 6 months, so repricing frequency and payment frequency are different. The buckets are monthly buckets. How does ALM compute daily repricing, compounding, implied forward and how are payment generated as per 6 month payment frequency?


 

Solution

Sign In with your My Oracle Support account

Don't have a My Oracle Support account? Click to get started

My Oracle Support provides customers with access to over a
Million Knowledge Articles and hundreds of Community platforms