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quanteric
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Posts: 79
Joined: June 4th, 2010, 12:01 am

LCH.Clearnet OIS discounting

September 19th, 2012, 4:31 am

Hi, I am wondering if anyone have any information on the "OIS discounting" method being used by LCH.Clearnet? It appears that they have moved to OIS discounting, but the finer details is not so clear... Thank you for your help on this....
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

LCH.Clearnet OIS discounting

September 19th, 2012, 2:33 pm

I am not sure they make "finer details" available. You might want to call them and ask, though.
 
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pcaspers
Posts: 700
Joined: June 6th, 2005, 9:49 am

LCH.Clearnet OIS discounting

September 19th, 2012, 5:59 pm

you can get the detailled setup from them. you are interested in anything special ?
 
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quanteric
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Posts: 79
Joined: June 4th, 2010, 12:01 am

LCH.Clearnet OIS discounting

September 19th, 2012, 11:43 pm

Maybe I will give them a shout.I am implementing OIS discounting and am interested in how they actually do it, so that I can attempt to match them. There are finer issues such as calendars, interolation, data sourcing etc that I am not too sure of. Like for the ISDA CDS model, the yield curves are well-defined (officially published, linear flat forward, weekday calendars), so am wondering if we have this for their OIS curves too.....
 
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kelang
Posts: 46
Joined: November 14th, 2011, 4:53 pm

LCH.Clearnet OIS discounting

September 20th, 2012, 12:31 pm

ask them, they do provide detailed curve construction methodology to their clients (up to 17 currencies), you can match their pricing and curves pretty closely, less than 0.01bps
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

LCH.Clearnet OIS discounting

September 20th, 2012, 2:53 pm

QuoteOriginally posted by: kelangask them, they do provide detailed curve construction methodology to their clients (up to 17 currencies), you can match their pricing and curves pretty closely, less than 0.01bpsYeah, I can now confirm this as well... I talked to some people here and they tell me of some reasonably large and detailed file from LCH that they looked at to match the methodology.
 
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pcaspers
Posts: 700
Joined: June 6th, 2005, 9:49 am

LCH.Clearnet OIS discounting

September 20th, 2012, 5:37 pm

what surprised me a bit is that their methodology does not seem to be 'state of the art' in some details
 
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quanteric
Topic Author
Posts: 79
Joined: June 4th, 2010, 12:01 am

LCH.Clearnet OIS discounting

September 21st, 2012, 12:10 am

Ar...., so if I am not one of their clients, they would not entertain my request for information?
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