All Questions
Tagged with collateral ois-discounting
11
questions
0
votes
1
answer
293
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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 ...
0
votes
1
answer
373
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Cheapest-to-deliver (CTD) discount curve II
This is a follow up question on this thread
I have come across the following relationship in a CTD curve bootstrapping routine:
$$\frac{DF_{XXX}^{CSA.EUR}}{DF_{EUR}^{CSA.EUR}} = \frac{DF_{XXX}^{CSA....
- 63
2
votes
0
answers
353
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Switching from EONIA to ESTR for CSA discounting
In practice, when bilateral counterparties switch from OIS to ESTR discounting, the party which sees a fall in the fair value of the CSA contract gets compensated for the decrease by the other party (...
- 21
2
votes
2
answers
3k
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What is the difference between a cleared interest rate swap and a OTC interest rate swap with collateral in theory
I understand the aspect that central clearing reduced counterparty risks. From the valuation side, am I right that cash flows for both trades will be discounted at the OIS rate?
The party that holds ...
- 734
7
votes
1
answer
6k
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Cheapest-to-deliver (CTD) discount curve
Can someone explain, in layman's terms, the mechanics (the algorithm steps) of the construction of the discount curve in the case when the CSA allows the posting party to choose a currency (from a ...
- 250
0
votes
1
answer
4k
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Collateralized Interest Rate Swap
I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are ...
- 137
1
vote
1
answer
271
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Which volatility to use in cap pricing with CSA discounting?
I'm currently trying to price a cap on a Libor 3M (US) collateralized in EUR. I understand that my discount curve should be the CSA and the price of a caplet should be using a Black-scholes price:
$$...
- 207
8
votes
3
answers
14k
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CSA discounting vs OIS discounting
In the fixed income literature, is the CSA discounting the same as OIS discounting? Seems they're referring to the same thing, but couldn't find an explicit statement confirming it.
- 141
0
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1
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One Way CSA Agreements
This is probably an older topic but I don't seem to find any related threads on this forum.
What is the best way to value, let's say, a vanilla IR swap (you receive fixed) that you trade against a ...
- 17
8
votes
3
answers
8k
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Why is CSA currency OIS rate used in discounting instead of local currency OIS?
I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
- 81
13
votes
4
answers
9k
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Rationale for OIS discounting for collateralized derivatives?
Can someone explain to me the rationale for why the market may be moving towards OIS discounting for fully collateralized derivatives?
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