FpML Issues Tracker

1279: Reset frequency for OIS

October 19, 2022

High

new

Tweak

Always

Examples/Test Cases

Iuliia

None

Summary

Hi,

could you please clarify why in the example 2.61 Example 53 - XCCY Swap based on OIS, FpML version 5.12 with floating rate index SOFR-OIS-COMPOUND the reset frequency is 3M?

As far as known there is not a process or series of "resets" for the floating side of an OIS as there is for the floating side of a LIBOR-based swap. The relevant rates are simply recorded and applied in the calculation of the accumulated value of the floating side.

Could it be an error in example?

In case this example is correct please suggest me the way of calculation.

Thank you in advance.

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