List1....sorry I have no idea what you are talking about! How does this relate to my original question on whether an OIS discounted LIBOR swap needs a Bianchetti style "quanto" adjustment?

<t>QuoteOriginally posted by: list1It is wrong to impossible to apply OIS rate to get in future known $C. OIS rates are probably close in value and positively correlated with T-bond or LIBOR rates therefore one can use them. Nevertheless it looks like a sort of manipulation in which one is trying to...

<t>I don't understand exactly what you are trying to do (e.g. are you using a single rate or a curve, what are you doing with the rate etc), but I suspect what you want to do is take regular rate history over 2007 to 2010 and work out the mean and std dev. Then use the mean - 2*sd value as your rate...

<t>The "normal" or simple argument is the one that I've seen most people use to justify OIS discounting. It usually goes something like this. If a swap is in the money to a bank, collateral will be posted. This collateral will gain interest at the daily SONIA rate. How much collateral should be post...

Care to elaborate? It would be quite helpful to have a reasonable explanation for this.

<t>Thanks for the reply.But then which one is correct? Are you saying the Bianchetti version is generally correct, whereas the classical no arbitrage argument is only correct in some cases i.e. when the correlation or volatilities are 0? I don't understand why the normal argument wouldn't work in th...

<t>There are a number of papers that say if you have a collateralised LIBOR swap, you should use an OIS curve for discounting. This is based on no arbitrage arguments. Then there is the "Two Curves One Price" paper by Bianchetti. He uses no arbitrage arguments as well, but come to the conclusion tha...

Hi. I have a newbie question on yield curve trading. I've been reading various papers and come across terminology such as 10s30s, 2s7s20s, 10y10y, 10y20y, etc. I haven't found an explanation of what this means anywhere. Can someone explain?Thanks in advance!