Numerix: Swap Pricing at its Core: OIS Discounting and Curve Construction

Since July 2013 when the Financial Accounting Standards Board (FASB) issued guidance permitting firms to use the Fed Funds Effective Swap Rate (Fed Funds rate), or Overnight Index Swap (OIS) rate for derivatives discounting both buy- and sell-side firms, have faced complex challenges in terms of the actual adoption and use of OIS discounting for pricing collateralized deals. 

It’s a daunting challenge when faced with having to rethink one’s entire interest rate pricing framework from its

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risktech Forum? Register for access

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can contact us to request an individual account here.