The Welsh region have won their first three matches but now face a mammoth task against Leinster in Dublin who have won all but one of their last 27 matches at home.
Holley said: "The Magners League is getting tougher year on year and it's great we can take such a strong team.
"Leinster are the benchmark of the league but we usually have tight matches with them and I expect this will be another close game.
"It's really exciting because there will be a sell-out crowd and it will be live on television. This is what we're in the game for."
The Ospreys have already won in Ireland following an opening day victory at Connacht before hammering Welsh rivals Cardiff Blues.
But Ospreys captain Ryan Jones expects his men will have to step their game up a notch to gain a fourth successive win of the campaign at the Royal Dublin Showgrounds.
Jones said: "Every game has been a test. We've put in some good performances so far but Leinster are the champions, and playing like it."
Wales wing Shane Williams misses out with a dead leg while New Zealand A scrum-half Jamie Nutbrown joins Gavin Henson and Mike Phillips on the sidelines with a foot injury.
Richard Hibbard and Lyndon Bateman are set to make their return from injury for Aberavon at Llanelli this weekend.
Ospreys: L Byrne; T Bowe, S Parker, A Bishop, N Walker; J Hook, R Webb; D Jones, H Bennett, A Jones, AW Jones, I Evans, J Thomas, R Jones (capt), S Tandy
Replacements: E Shervington, P James, I Gough, F Tiatia, R Wells, D Biggar, J Vaughton
Leinster (from): Chris Whitaker, Chris Keane, Paul O'Donohoe, Jonathan Sexton, Felipe Contepomi, Brian O'Driscoll, Gary Brown, Shane Horgan, Luke Fitzgerald, Isa Nacewa, Fergus McFadden, Rob Kearney, Simon Keogh, Eoin O'Malley, Girvan Dempsey, Cian Healy, Stephen Knoop, Ronan McCormack, Bernard Jackman, Brian Blaney, John Fogarty, Stan Wright, Cameron Jowitt, Malcolm O'Kelly, Leo Cullen, Devin Toner, Trevor Hogan, Stephen Keogh, Shane Jennings, Sean O'Brien, Kevin McLaughlin, Jamie Heaslip
Referee: Nigel Owens (WRU)