how to value Eonia swap

what is an EONIA swap (call money swap)?

it’s a swap where we exchange fixed rate for variable rate calculated with dayly EONIA rate (Euro OverNight Index Average)
the payments are based on average EONIA rate , which corresponds to reinvest both notional and received interest at EONIA rate

How to value Eonia swap?

for a Eonia – Fixed swap payout is calculated as:

\delta is based on Actual/360
for future fixings instead of calculating forwards every day we could calculate
Facebook

Posted in OTC derivatives valuation Tagged with: