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)
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