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:

$$ r_{efrective}=\frac{1}{\delta_{periodBegin->periodEnd} } (\prod_{i=1}^{N} [1+\delta_{i->i+1}r_{i} ] – 1 ) $$
so, to value floating leg we’ll need EONIA fixings from init of the period until valuation date
year fraction $$\delta$$ is based on Actual/360
for future fixings instead of calculating forwards every day we could calculate
$$ r_{effective}=\frac{1}{\delta_{periodBegin->periodEnd}} (\frac{df_{periodBegin}}{df_{periodEnd}}-1) $$

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