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OIS Discounting

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iwannaknow
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Joined: August 31st, 2007, 12:30 pm

OIS Discounting

July 26th, 2012, 10:08 am

Can anyone suggest a good resource to understand the importance of OIS discounting (i.e. why this is now necessary, measurement impact, etc)?
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mynetself
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Joined: March 27th, 2010, 6:40 pm

OIS Discounting

July 26th, 2012, 11:44 am

A paper I liked: http://www.rotman.utoronto.ca/~hull/Dow ... RvsOIS.pdf
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Baghead2010
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OIS Discounting

July 31st, 2012, 1:08 pm

Useful could beLipman, Mercurio - The New Swap MathMercurio - Interest Rates and the Credit CrunchOften cited ar ealso papers from Bianchetti
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RiskUser
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Joined: July 19th, 2006, 4:30 pm

OIS Discounting

August 8th, 2012, 10:00 am

Probably best to focus on "collateral" discounting and treat OIS discounting as a subset of this.In practice OIS discounting is only relevant if you cash collateralise in currency daily i.e. in the majority of cases clear via SwapClearQuoteOriginally posted by: iwannaknowCan anyone suggest a good resource to understand the importance of OIS discounting (i.e. why this is now necessary, measurement impact, etc)?
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