Timeline for Pricing of OIS on USD at t=0
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 20, 2023 at 10:12 | comment | added | EconFox | Thank you @DimitriVulis. | |
| Nov 19, 2023 at 16:44 | comment | added | Dimitri Vulis | E.g. bloomberg.com/quote/FDFD:IND esimates the official EFFR (not OBFR) to be published the next NY morning newyorkfed.org/markets/reference-rates/… "The ICAP Fed Funds rates (Bid/Ask) are posted by the ICAP Fed Funds Desk. These rates are general indications and are determined by using the levels posted to the desk by highly rated large domestic and international banks. The trading day generally begins at 7:30 am and continues until the fed wire closes, typically at 6:30 pm." | |
| Nov 19, 2023 at 16:24 | comment | added | EconFox | ~So the quoted OIS rates as of today are just estimates ? | |
| Nov 19, 2023 at 16:00 | comment | added | Dimitri Vulis | Related: quant.stackexchange.com/questions/29644 . In general, not necessaily applicable to your question, sometimes you need to need to calculate the official mark to market and P&L shortly after NY close, but that uses an observable/effective rate that is not officially published until 8am NY the next day. You can get an estimate of the observable rate from a data vendor and use that in your calculations; then the next day recalculate the mtm using the official published rate and include any mtm change as an adjustment in the next day's P&L. | |
| Nov 19, 2023 at 14:05 | comment | added | EconFox | Really ? I thought that OIS are valuation following no arbitrage principles | |
| Nov 19, 2023 at 11:09 | comment | added | Attack68♦ | you build a curve and forecast them. | |
| S Nov 19, 2023 at 10:52 | review | First questions | |||
| Nov 20, 2023 at 8:15 | |||||
| S Nov 19, 2023 at 10:52 | history | asked | EconFox | CC BY-SA 4.0 |