• OIS Curve Construction and OIS Discounting

    Author(s):
    Tim Xiao (see profile)
    Date:
    2021
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Tag(s):
    ois curve, ois discounting, ois curve construction
    Permanent URL:
    http://dx.doi.org/10.17613/hh8j-zd21
    Abstract:
    Overnight index swaps (OIS) curves became the market standard for discounting collateralized cashflows. The reason often given for using the OIS rate as the discount rate is that it is derived from the fed funds rate and the fed funds rate is the interest rate usually paid on collateral. As such the fed funds rate and OIS rate are the relevant funding rates for collateralized transactions. Many banks now consider that overnight indexed swap (OIS) rates should be used for discounting when collateralized portfolios are valued and that LIBOR should be used for discounting when portfolios are not collateralized.
    Metadata:
    xml
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted

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