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RiskUser
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Joined: July 19th, 2006, 4:30 pm

Paced Transition Plan, discuss....

October 30th, 2017, 5:29 pm

Hi All,
Interested to hear your views on step 4 of the Paced Transition Plan (link) - specifically, "Users may choose PAI basis: EFFR or New Rate".
Does this imply more than one discount curve for USD products depending on what is chosen? Would this also imply different forward rates depending on what is chosen for the same swap pay-off function? What about other derivatives that require USD discounting?
Cheers
RiskUser
 
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DavidJN
Posts: 242
Joined: July 14th, 2002, 3:00 am

Re: Paced Transition Plan, discuss....

October 31st, 2017, 1:34 pm

Impressive amount of acronyms in that document...
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: Paced Transition Plan, discuss....

November 1st, 2017, 9:13 am

I honestly have no clue...
 
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BigAndyD
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Joined: July 10th, 2013, 12:32 pm

Re: Paced Transition Plan, discuss....

November 1st, 2017, 1:44 pm

Step 4 seems to be just a transitional phase for acceptance of the new rate to take hold. I don't think the intent is for this choice to be a long term solution.
 
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RiskUser
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Joined: July 19th, 2006, 4:30 pm

Re: Paced Transition Plan, discuss....

January 30th, 2018, 10:47 am

 Bump
Recently had an interesting conversation where it was proposed that it is possible to have 2 price alignment rates but only 1 discount curve as all USD cashflows must be discounted using a common curve.
I always thought there was a 1-2-1 link between PAI and the discount curve.
Any thoughts?
 
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RiskUser
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Posts: 12
Joined: July 19th, 2006, 4:30 pm

Re: Paced Transition Plan, discuss....

July 18th, 2018, 2:10 pm