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