Class for managing overnight index rate swaps (OIS) and Fed Fund swaps. This is a contract in which a fixed payment leg is exchanged for a payment which pays the rolled-up overnight index rate (OIR). There is no exchange of par. The contract is entered into at zero initial cost. NOTE: This class is almost identical to IborSwap but will possibly deviate as distinctions between the two become clear to me. If not they will be converged (or inherited) to avoid duplication. The contract lasts from a start date to a specified maturity date. The fixed cpn is the OIS fixed rate for the corresponding tenor which is set at contract initiation. The floating rate is not known fully until the end of each payment period. It's calculated at the contract maturity and is based on daily observations of the overnight index rate which are compounded according to a specific convention. Hence the OIS floating rate is determined by the history of the OIS rates. In its simplest form, there is just one fixed rate payment and one floating rate payment at contract maturity. However when the contract becomes longer than one year the floating and fixed payments become periodic, usually with annual exchanges of cash. The value of the contract is the NPV of the two cpn streams. Discounting is done on the OIS curve which is itself implied by the term structure of market OIS rates.