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OIS Discounting - Yield Curve Construction & LIBOR
Overview
This 1 Day program is designed to help participants to learn about Pricing swaps in the multi-curve world of OIS and tenor basis.
Understand the fundamentals of zero-coupon swaps and their standard market quotations.
Explore the choice of instruments for money-market rates, including deposits (depos) versus forward rate agreements (FRAs).
Understand liquidity premiums, the tenor basis, and how different LIBOR curves became decoupled.
Learn about bootstrapping forward LIBOR curves from tenor basis swap prices and interpreting the spread.
Learning Objectives
Understand the principles and methodologies for constructing yield curves, including bootstrapping discount functions and forward curves.
Gain expertise in evaluating money-market instruments such as depos, FRAs, and interest rate futures, and learn the role of convexity adjustments in pricing.
Delve into the rationale behind Overnight Indexed Swaps (OIS) and their application in discount curve selection and valuation.
Learn how to compute forward LIBOR curves, analyze tenor basis spreads, and understand how different LIBOR curves decoupled post-crisis.
Acquire practical skills in valuing zero-coupon swaps, deriving projection curves, and addressing interpolation issues in real-world financial markets.
Who the course is for
Risk managers
IT
System developers
Traders and derivatives teams
Consultants and brokers
