Overnight index swaps
One interesting variant of an interest rate swap is an overnight index swap (01s). This instrument commits one party to paying a fixed rate as usual. The floating rate, however, is the cumulative value of a single unit of currency invested at an overnight rate during the settlement period. The overnight rate changes daily. This instrument is used widely in Europe but not in the United States.
One interesting variant of an interest rate swap is an overnight index swap (01s). This instrument commits one party to paying a fixed rate as usual. The floating rate, however, is the cumulative value of a single unit of currency invested at an overnight rate during the settlement period. The overnight rate changes daily. This instrument is used widely in Europe but not in the United States.