Overnight Index Swap



Yield Curve

Also known as the Overnight Curve
The third set is based on sterling overnight index swap (OIS) rates, which are instruments that settle on overnight unsecured interest rates (the SONIA rate in the UK).


OIS curves are for nominal rates only.


OIS swaps
OIS-LIBOR basis swaps
LIBOR swaps
LIBOR-LIBOR basis swaps
Cross Currency curves


Build OIS curve to match OIS swap quotes ( used for forecast and discount)


Building Single Currency Curves first
EUR OIS curve
LIBOR 1month curve
LIBOR 3 month curve
LIBOR 6 month curve
LIBOR 12 month curve



EONIA

Euro Overnight Index Average
This is a benchmark published by the European Central Bank (ECB) specifically for the EUR overnight interest rate.




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