Daily Archives: November 1, 2014

Webinar : Advanced OIS Curve Building: Best Practices, Date: Wednesday, November 5, 2014 Time: 11:00 am ET

Advanced OIS Curve Building: Best Practices

Date: Wednesday, November 5, 2014
Time: 11:00 am (EDT)8:00 am (PDT)4:00 pm (GMT)12:00 am (HKT)

Register Now

Please join the upcoming webinar on Advanced OIS Curve Building: Best Practices, hosted by Senior Derivatives Analyst, James Gavin.

Without accurate OIS curve construction, valuation, pricing, and risk output is compromised.

Because OIS is the standard funding rate in CSA agreements widely adopted in both OTC and centrally cleared markets, implications of not adopting best practices are significant.

During the webinar, James will discuss best practices for building robust OIS curves including:

  • Handling nuances of the short and long ends of the OIS curve
  • Dual-curve stripping and advanced smoothing techniques
  • Dual-curve calibration and hedging long dated OIS-Libor basis risk
  • Incorporating single currency CSAs into a multi-currency environment using USDAUD

Following the presentation, there will be an interactive question and answer period.

James Gavin, Senior Derivatives Analyst

Andy Condurache, Director of Exams & Publications, PRMIA

Please Join Us