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


~ by mdavey on June 3, 2012.

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