The OIS curve displays the market data for overnight index swaps for specific tenors. This data is based on the relevant overnight index for the selected currency. So for GBP this is SONIA, for JPY it is MUTAN, etc.
This curve is always used by the system to price the Overnight Index Swap. In addition, it can also be used to price any instrument or portfolio if in the pricing page the user manually instructs the system to take the discount factors from the relevant OIS curve, instead of from the relevant default yield curve. For more information, see Using Collateralization .
By default, for each currency the system builds its OIS curve based on a number of swap rate tenors. For each currency you can then edit those tenors and, also, include the overnight (O/N) swap rate.
For each swap rate tenor displayed you see the following data which by default is supplied by SD:
Date
This is the swap rate tenor’s maturity date.
Interest rate
This is the market price of the swap tenor listed.
Discount factor
Continuously Compounded Zero Rate
The OIS curve also displays the daily OIS fixing rate. That is, for the selected trade date SD shows the last available daily OIS fixing rate. If the official published rate for the selected trade date is not yet available, the system displays the last official rate that is available.
By default, the OIS Curve page opens with the OIS curve for the current currency (if this currency is supported for the overnight index swap; otherwise it displays USD), the current trade date and the market data cut-off time set in the pricing page from which it was opened. In addition, the swap rate tenors come from the customize settings for the OIS curve. To change what is displayed see Controlling What Is Displayed in the OIS Curve Page.
The OIS Curve can be accessed in any of the following ways:
Clicking the Curves tab > OIS Curve on the left-hand menu.
On the ribbon bar in the Trader tab, Structurer tab or the Market Data tab clicking Curves > OIS Curve.
From the Open button > Curves > OIS Curve.
The following topics are covered:
Fields & Buttons in the OIS Curve Page
What Can Be Done in the OIS Curve Page
Understanding the Colors Used for Rates in a Yield Curve