Timeline for What interest rate should I use for testing the covered interest parity?
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
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| Jun 15, 2015 at 21:47 | comment | added | Helin | @brett Yes, you should have a complete OIS curve, allowing you to compute matched-maturity OIS rates. | |
| Jun 15, 2015 at 20:53 | comment | added | brett | I have considered using OIS rates, but since they are overnight rates, how would you match the OIS maturities with the forward premium maturities? LIBOR is nice in that context because there is no mismatch in maturities. There are overnight, weekly, monthly, bi-monthly, semi annual, and annual LIBOR rates to reflect the forward rates. Would bootstrapping the OIS rates be appropriate? Or make a roll-over assumption? | |
| Jun 15, 2015 at 11:50 | history | answered | Helin | CC BY-SA 3.0 |