Overnight Index Swaps (OIS)
DerivativesWeek offers an interesting read on “Interest-Rate Models: OIS and CSA Discounting”. The numerix blog also has a few interesting OIS postings. There’s even a video over on Learnng Markets that touch on this at a high level. There is also an interesting paper over on the Social Science Research Network, Valuing Interest Rate Swaps Using OIS Discounting.
I suspect given the above, I should really update my previously blogged code to avoid using LIBOR