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sraghu40
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Posts: 1
Joined: October 11th, 2018, 12:06 pm

Interest rate modelling for counterparty risk project clarification

December 14th, 2018, 2:27 am

Hi ...Have chosen the above topic. Require clarification on:
1.How to implement OIS : four methods have been given
2. OIS implementation is used for computation of discount rates i suppose which is used for discounted the MtM. Do we have compute discount rates using all the methods and plot MtM for all the methods
3. Which period LIBOR rates we have to choose. Do we have to randomly select any period, and which website gives this data? Do I have to pay for this data service
4. Do I have to simulate LIBOR rates from given rates in the website