OIS

Overnight Index Swap. Single annual settlement; float leg compounds an overnight index (SOFR, ESTR) over the period.

Economics

Field	Default
Frequency	Annual (Act/360)
Float index	USD-SOFR (compounding: CompoundedInArrears, lookback: 2)
Fixed leg	annual coupon

scheduleDefaults:
  OIS: { frequencyMonths: 12, dayCountConvention: Act360 }

On-chain template

Proposal: Swap.OisProposal. Accept choice: OisAccept.

Float-leg semantics

The float coupon for [start, end] is computed from the SOFR Index:

coupon = Index(end) / Index(start) - 1

Daml Finance's CompoundedIndex Act360 handles this automatically — but observations must be Index values, not raw rates. See SOFR Service.

Oracle inputs

• USD or EUR discount curve.
• USD-SOFR or EUR-ESTR projection curve.
• Daily SOFR/ESTR Index observations.

Use cases

OIS rates are the standard collateralised discount curve in modern derivatives — IRSForge uses the same projection curves for OIS pricing and for IRS / Basis discounting.