LIBOR vs. OIS: The Derivatives Discounting Dilemma. Introduction. The “risk-free” term structure of interest rates is a key input to the pricing of
“LIBOR vs. OIS: The Derivatives Discounting Dilemma”. Journal of Investment Management Valuing Derivatives: Funding Value Adjustment and Fair.
LIBOR vs. OIS: The Derivatives Discounting Dilemma. Introduction. The “risk-free” term structure of interest rates is a key input to the pricing of
http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/OIS_Discounting.pdf
Nov 27 2019 forged a consensus to discount such derivatives at the OIS curve
White “LIBOR vs. OIS: The Derivatives Discounting Dilemma”
Jul 13 2012 Hull
Jan 2 2022 LIBOR vs. OIS: The derivatives discounting dilemma
Investment Management in 2013. The paper is entitled “LIBOR vs. OIS: The. Derivatives Discounting Dilemma” (with Alan White).
Most derivatives dealers now use interest rates based on overnight indexed swap (OIS) rates rather than LIBOR when valuing collateralized derivatives LCH
4 fév 2013 · This paper examines this practice and concludes that OIS rates should be used in all situations Keywords: LIBOR OIS Derivatives Discounting
Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives This practice has been called into
This practice has been called into question by the credit crisis that started in 2007 Many banks now consider that overnight indexed swap (OIS) rates should be
Dataline A look at current financial reporting issues No 2013-25 December 10 2013 What s inside: Overview 1 Background 2 OIS discounting an illustration
22 déc 2017 · The practice of discounting derivatives cash flows exclusively at the LIBOR is thus no longer appropriate and LIBOR itself has been subject to
In this section we review the procedures for bootstrapping a riskless zero curve from LIBOR swap rates We start by examining how bonds and swaps are priced
14 juil 2014 · This paper examines this practice and concludes that OIS rates should be used in all situations 0 comments add one Please Login to post a
With OIS discounting the result that the implicit floating-rate bond paying LIBOR is priced at par value no longer holds It is useful to infer the LIBOR
For several years practitioners have build a single curve to discount and forecast cash flow within interest rate deriva- tives market