1. Nicole Seaman

    P1.T3.723. Swaps: valuation with OIS and LIBOR, comparative advantage, and currency swap valuation

    Learning objectives: Explain the mechanics of a currency swap and compute its cash flows. Explain how a currency swap can be used to transform an asset or liability and calculate the resulting cash flows. Calculate the value of a currency swap based on two simultaneous bond positions. Calculate...
  2. V

    OIS discounting

    Hello @Nicole Manley @David Harper CFA FRM CIPM , For FRM part-2, Chapter 9 from Hull's Futures, options and other derivatives-9th edition is the assigned reading. Do BT has any instructional videos on that? I could not find any videos under the readings. How important is this topic from exam...
  3. Nicole Seaman

    P2.T5.506. Risk-free rate versus LIBOR and the overnight indexed swap (OIS) rate

    Learning outcomes: Explain the main considerations in choosing a risk-free rate for derivatives valuation. Describe the OIS rate and the LIBOR-OIS spread, and explain their uses. Questions: 506.1. With respect to the risk-free rate, LIBOR, and the overnight indexed swap (OIS) rate, consider...