Building an OIS discounting curve and multiple-curve pricing primary interest rates of the interbank market, e g Libor, Euribor, Eonia, and Federal Funds
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[PDF] LIBOR vs OIS: The Derivatives Discounting Dilemma - University of
The use of LIBOR to value derivatives was called into question by the credit crisis that started in mid-2007 Most derivatives dealers now use interest rates based on overnight indexed swap (OIS) rates rather than LIBOR when valuing collateralized derivatives LCH
[PDF] OIS DISCOUNTING, INTEREST RATE DERIVATIVES, AND THE
curve bootstrapped from overnight indexed swap (OIS) rates for discounting This paper derivatives transactions 2 Both LIBOR and OIS rates are based on Discount Fwd rate life effect effect T otal effect effect T otal effect effect T otal ( Yrs) V LO − vs OIS: The Derivatives Discounting Dilemma,” Journal of Invest-
[PDF] Interest Rate Derivatives: Pricing in a Multiple-Curve - CORE
Building an OIS discounting curve and multiple-curve pricing primary interest rates of the interbank market, e g Libor, Euribor, Eonia, and Federal Funds
[PDF] Multi-Curve Discounting - - Munich Personal RePEc Archive
10 avr 2018 · curve was based on Libor rates at most banks, during and after the crisis banks switched to OIS discounting [5, 3, 2] OIS discounting values a derivative as if there is a collateral agreement rOIS)T (the order to which we have calculated V ) Dilemma, Available at SSRN: http://ssrn com/abstract=2211800
[PDF] Valorización Libre de Riesgo en CCP - Comder
Página 9 “LIBOR vs OIS: The Derivatives Discounting Dilemma” John Hull and Alan White “We agree that the current practice of using the rate paid on
Implications of Multiple Curve Construction in the Swedish - DiVA
4 jui 2014 · Keywords: collateral, cross currency, discount curve, forward curve, forward starting, off- Libor vs ois: The derivatives discounting dilemma
[PDF] The FVA Debate - NYU Stern
“LIBOR vs OIS: The Derivatives Discounting Dilemma” Journal of Investment Valuing Derivatives: Funding Value Adjustment and Fair Value” Copyright
[PDF] Affine LIBOR Models with Multiple Curves - Laboratoire de
same is true for the three-month versus six-month basis swap spread However usual choice is the OIS curve, and then as many LIBOR curves as market tenors ( e g , 1 month, liquid interest rate derivatives such as swaps, caps, swaptions, and basis swaptions OIS: The derivatives discounting dilemma, J Invest
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