Overnight Indexed Swaps (OIS) Introduction Similar to a LIBOR-based swap, an overnight index swap (OIS) is an interest rate swap whose floating leg is tied to an overnight rate, compounded over a specified term - a common example is the overnight Federal Funds rate which is published daily by the Federal Reserve in the US. Overnight Index Swaps (OIS) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface.An OIS contract is very similar to a plain vanilla interest rate swap, the only difference