Hi,does anybody have a reference to details about which rates (forward rate e.g. for a mc simulation and discount rate) to use in the valuation of exchange traded derivatives vs. otc derivatives? Is there a link to the switch to double curve pricing frameworks as for ir derivatives?Thanks!

what you mean by otc derivatives ?market tended to discount IRS legs via OIS curve, after recent turmoil. one can extend the duration of the swap by this way.for further numerical details, please be more clear and contact me on pm.R

Since exchange-traded and OTC derivatives are traded in the same mkt (at least that's the case in rates), IMHO the methodology should be consistent between the two. Otherwise, it gets funny.

Thanks for your replies. Does the nes OIS curve standard apply to the valuation of e.g. equity derivatives as well? What is the correct curve for collateralized and uncollateralized trades? Exchange traded derivatives should be handled like collateralized trades?

if the so called derivatives transaction is consist of at least one cash flow generating leg, you are able to apply new OIS thing. besides, if an agreement -say an libor IRS- is done under ISDA rules; you ought to pay/be paid FFE rate in CSA terms. that was why market needed to calibrate the discount curve from libor to OIS.critical point is the term sheet rules of the deal, and if it is to be an exc-traded one, you sudn't be able to discount it with ois (FF).R

QuoteOriginally posted by: bianchiThanks for your replies. Does the nes OIS curve standard apply to the valuation of e.g. equity derivatives as well? What is the correct curve for collateralized and uncollateralized trades? Exchange traded derivatives should be handled like collateralized trades?The correct curve is determined on a case-by-case basis, everywhere and always... Whatever your actual funding costs are, that should be your rate. As far as I am aware, local ccy OIS (where available) is currently used as a (more or less) universal "marginal mkt participant" standard for the overwhelming majority of contracts, both OTC and exch-traded. However, in reality, the answer is that it depends on the specific case.

Thanks a lot for your answers. That helps for a first understanding.