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

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