Overnight indexed swap

term overnight indexed swap (OIS) rate is the rate on a derivative contract on the overnight rate. (In the United States, the overnight rate is the effective federal funds rate.) In such a contract, two parties agree that one will pay the other a rate of interest that is the difference between the term OIS rate and the geometric average the overnight federal funds rate over the term of the.

His research has an applied focus and is concerned with risk management, bank regulation, and valuation of derivatives. Rethink the curves you build and the way you build them. This reflects counterparty credit risk premiums in contrast to liquidity risk premiums. In Hull and White a, , we develop a way this can be done using a trinomial tree. One way of doing this is described in Hull and White b.


An overnight index swap (OIS) is a swap in which one party pays a fixed rate of interest known as the OIS rate which depends on the term of the swap and is known at trade inception. It is linked to the cost of unsecured lending.

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