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US: Swaps vs. Treasuries for Discounting
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Hydraskull
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February 19th, 2016, 4:26 pm
US: Swaps vs. Treasuries for Discounting
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#1
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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188
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July 18th, 2006, 5:49 am
Re: US: Swaps vs. Treasuries for Discounting
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#2
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.
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