# Questions tagged [ois-discounting]

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### Quantlib OIS USD discount rates don't match Bloomberg discount rates

The Bloomberg USD OIS discount factors for 2024-03-01 do not match the values calculated using Quantlib beyond the 18M tenor. What do I need to do get them to match? Sorry, I am unable to paste a ...
• 123
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### Why do people say "SOFR vs OIS discounting" when OIS depends on a rate that could be SOFR?

As I understand it, OIS is not a published rate. SOFR is a published rate. Based on this published rate, OIS swaps are constructed. The fixed rate on these swaps that makes both legs worth the same is ...
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### GBP OIS Curve - Zero Rate Curve Calculation in Quantlib

I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds. I have Looked at the documentation: https://quantlib-...
1k views

### How does Bloomberg use the OIS curve to get the zero rates?

I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly ...
380 views

### SOFR OIS Curves & Zero-Coupon Variants

Currently looking at yield curves, specifically SOFR OIS Curves, and I'm struggling to find a good explanation between a zero-coupon OIS curve and an annual coupon-pay OIS curve (both SOFR). When ...
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### Confusion about Initial Pricing IRS with Dual Curves

This is my first time delving into dual curves, or multiple yield curves. A question struck me about using OIS discounting when choosing the swap rate of a new IRS. Without multiple yield curves I ...
322 views

### OIS floating-floating cross-currency basis swap

I'm trying to understand whether notional resets on a floating-floating cross-currency basis swap play a role or not when the coupon payments are SOFR-based (with no spread) and they are discounted ...
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1 vote
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### Why should the Discount Curve be risk-free?

I have read up about the discount curve that is being used to value securities. The multi-curve methodology for valuing derivatives was mainly adopted because LIBOR was no longer seen as a proxy for ...
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### Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap

I am just starting to use Quantlib, and want to try and replicate the SWPM-functionality in Bloomberg, and price a vanilla 5Y EUR OIS. Below is the overall swap data used in BBG: Overall settings ...
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### How to account for the credit spread ( e.g. LIBOR + 2%) when using the Multicurve Methodology in valuing a Swap

When valuing an Interest rate swap, counterparties will typically issue the contract at a Libor + credit premium, e.g. Libor +2%. When valuing a swap, we require a LIBOR forward curve and Discounting ...
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### Convexity Adjustment of Daily Compounded Swap under Hull-White Model

I am working on a problem that deals OIS daily compounded swap under Hull-White 1-factor model. I am struggling with pricing the floating leg, on a delayed payment date: \$E^{T^p}_t[\prod_{i=0}^{n-1} (...
274 views

### Why do we theoretically have to take cross currency basis volatility into account when constructing Cheapest To Deliver (CTD) discount curves?

Let's take a collateralized USD IRS where there is optionality in collateral currency. My understanding is that it is standard practice to compute forward XXX/USD OIS basis curves for all currencies ...
389 views

### PV and Risk on a RFR cross currency swap

When pricing a XCCY basis on RFR (assuming USD CSA so under SOFR), for example ESTER versus SOFR (USD leg resettable) : I observed that the PV / Risk and also FX Delta are close to zero. I have been ...
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### Is SOFR to replace LIBOR or Fed Fund Rate or both

I am a bit confused on what is going on regarding the new benchmark rate SOFR. My understanding is that SOFR is to replace Libor. However, I also get information on Fed fund OIS discounting is ...
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1 vote
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### What is Overnight index swaps (OIS) curve

Overnight index swaps (OIS) curves became the market standard for discounting collateralised cashflows. However I failed to understand what is the meaning of the ...
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### Collateralized Interest Rate Swap

I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are ...
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1 vote
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### Equations for multicurve calibration with OIS discounting

I am trying to calibrate my forecast and discount curves using the multi-curve approach with OIS discounting. To do so, I have a implemented multivariate Newton-Raphson root finder. I am finding a bit ...
• 139
7k views

### Why do we discount in ois and not treasuries

OIS is the 1-day non-collateralized interbank interest rate. Such a rate is not risk-free. The market trades a very useful curve that is much closer to "risk-free": the government bond curve. So the ...
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### Quantlib python dual curve bootstrapping example

Apologies if this has been asked in the forum (I couldn't find any examples)- Can someone please point me to a worked example in python using Quantlib for dual curve bootstrapping (using EONIA for ...
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