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Hydraskull
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Joined: February 19th, 2016, 4:26 pm

US: Swaps vs. Treasuries for Discounting

January 23rd, 2017, 12:52 pm

USD swaps vs treasuries.

For US practitioners, which is better for discounting a set of cash flows and why?

I have a 20-year insurance liability and want to calculate the market consistent value of the liability.
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: US: Swaps vs. Treasuries for Discounting

January 23rd, 2017, 4:44 pm

For general mkt consistency - OIS.  For self-consistency - whatever is implied by the nature of the collateral (or lack thereof).

I believe there have been a number of threads on this over the years.