OIS Discounting definition

OIS Discounting means calculating the NPV of the Notional Future Cash Flows using discount factors derived from the Exchange's GBP overnight index swaps curve;

OIS Discounting means calculating the NPV of the Notional FutureCash Flows using discount factors derived from the Exchange's GBP overnight index swaps curve;

Examples of OIS Discounting in a sentence

• Table 2 shows 3-month LIBOR forward rates calculated using OIS discounting minus the same three-month forward rate calculated using OIS discounting.3. OIS Discounting and Swap Pricing Changing from LIBOR discounting to OIS discounting changes the values of LIBOR swaps.

• OIS Discounting and LIBOR Rates To explore how LIBOR zero rates change when OIS discounting is used, we consider the case in which the zero curve is bootstrapped from swap market data for semi-annual pay swaps with maturities from 6 months to 30 years using the procedures outlined in the previous section.

• OIS DISCOUNTING Reading: OIS Discounting, Credit Issues, and Funding Costs (Chapter 9, John Hull, Options, Futures, and Other Derivatives,9th Edition (New York: Pearson, 2014)) 1.

• Barclays Capital, Interest Rates Strategy, Understanding OIS Discounting (Feb.

• The amended interest rates are now also the relevantrates for OIS Discounting.

• Box 2: PAI and OIS Discounting Price alignment amount or price alignment interest (PAI): PAI for a centrally cleared derivative is an amount calculated by applying an overnight interest rate to the variation margin (VM) for the derivative in order to align the economics of the cleared derivative with the economics of uncleared derivatives (for which interest is paid on cash VM postings).