Resources for Recalculating Overnight OIS Coupon Payments

Summary

This exchange concerns checking coupon payment discrepancies on already specified overnight indexed swaps. The question asks for spreadsheet templates or guidance to recalculate payments from trade details, rather than to forecast rates. The response says it does not know of a ready-made Excel template and suggests using online realized-rate calculators, including services associated with NatWest and ICE and with Markit. It also points to a Bank of England comparison of online tools and mentions a Bloomberg function for OIS coupon calculations.

The document does not explain the coupon accrual formula, conventions, input fields, or how to reconcile a discrepancy step by step. Its practical value is therefore as a starting point for locating calculators and reference material, not as a complete calculation method. The response does not compare the tools in detail, and it notes that one service may require a login. Users would need to check that a calculator supports the relevant currency, observation convention, dates, and trade terms before relying on its output.

Key ideas

• Online realized-rate calculators can help recalculate overnight swap coupons.
• The exchange points to a Bank of England comparison of calculator features.
• A Bloomberg function is mentioned as another way to calculate OIS coupons.
• The response provides resource leads but does not teach the underlying accrual calculation.

Tags

# Computing Daily OIS overnight trade coupon payments in excel


# Computing Daily OIS overnight trade coupon payments in excel












So I currently work in MO G10 rates sales support and we always get referrals from our setts department to recalculate discrepancy's in vanilla swaps trades coupon payments, this issue is, training within my bank is very limited and would love to get some help in calculating these, does anyone have any links to excel templates I could use and informative web pages/videos that show you to input all the data and back calculate it, its not a speculative calculation of the forward rates, its just back calcs of already specified rates.

Any help on the matter would extremely appreciated.

Regards

## Answer by KevinT (score 1)

https://quant.stackexchange.com/a/74244

I don't know of any Excel templates but the formulas are very easy to code up yourself.

There are the following sources (and I'm sure if you google-search more deeply, you'll even find more):

- https://www.realisedrate.com/ - from Natwest & ICE

- https://rfrcalculator.ihsmarkit.com/ - Markit's calculator, I think you need a login for this now (might be free though..?)

I also found this summary of the BoE some months ago that compared the functionalities between these online portals.

If you have access to a Bloomberg terminal, you can also use `OISC <GO>`.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.