Many sources put the switch from LIBOR discounting to OIS discounting at some point in 2008, or perhaps a little earlier (the earliest I have seen is August 2007). It seems that this may be optimistic, and that the switch did not happen until a couple of years later, some time around 2010.

As far as I can tell, 10Y OIS were not often quoted until mid-2008 (Bloomberg has prices from 6th July) and longer term OIS were not quoted until the end of 2011 (Bloomberg has 15Y+ OIS quotes from 27th Sep 2011).

There is some overlap when the market built OIS discount curves, but long-term OIS swaps were not liquidly traded. What techniques were used to build the discount curve in the absence of OIS quotes?


The ois curves were (and still are) primarily build from adding together (a) interest rate swap rates and (b) Fed Funds/Libor basis swaps. For example, if 10yr swaps are 2.0%, and 10yr fF/libor is -35bp, the 10yr ois is 1.65%.

The basis swaps have been liquid for decades, so this calculation has always been possible. However, participants didn't discount swaps at ois until after 2008, when the FF/Libor basis widened dramatically.


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