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Just a very quick general question regarding the OIS market. Is it common place on termsheets to state a PV Notional and additionally a FV notional, if so what is the purpose of this and does market convention stipulate whether PV of FV notional should be booked ?

Most swaps i have dealt with previously - IRS & Commodity Swaps have generally always had one notional on both Fixed and Floating legs.

Appreciate any comments.

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Isn't this a discount quoting convention as with repos? ie - this is how the yield is quoted – experquisite May 15 '13 at 18:18
Have you seen this? Which notional was being used for cashflow calculations if they were different? – Phil H May 17 '13 at 8:10
Hi and thanks for the replies. Broker is quoting based on the PV notional and Dealers dealt on a FV basis which is wrong. Problem solved. – Quantless wonder Jun 12 '13 at 12:24

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