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OIS Discounting
Posted: July 26th, 2012, 10:08 am
by iwannaknow
Can anyone suggest a good resource to understand the importance of OIS discounting (i.e. why this is now necessary, measurement impact, etc)?
OIS Discounting
Posted: July 26th, 2012, 11:44 am
by mynetself
OIS Discounting
Posted: July 31st, 2012, 1:08 pm
by Baghead2010
Useful could beLipman, Mercurio - The New Swap MathMercurio - Interest Rates and the Credit CrunchOften cited ar ealso papers from Bianchetti
OIS Discounting
Posted: August 8th, 2012, 10:00 am
by RiskUser
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)?