OIS discounting

[vijayaraghavan sundararajan]

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.

1. Do BT has any instructional videos on that? I could not find any videos under the readings.
2. How important is this topic from exam point of view.
3. There is a document in BT, which is good but also covers CRA,CVA & DVA adjustments. Do we need to study that document.

Any help on my clarification is much appreciated..

Many Thanks in advance,
Vijay.

 

[afterworkguinness]

Hi Vijay, whereas I can't speak to what current material BT has, if you have a specific question about OIS discounting, I can try and answer it for you.

I can't speak to it showing up on past exams, but the topic is an important one (in my opinion) and good to know.

 

[vijayaraghavan sundararajan]

@afterworkguinness , thanks a lot for your offer for help.

I am only concerned about the relevance of this subject as BT does not have any videos on that and neither do schweser notes cover this topic in depth, hence I am bit clueless.

I will let you know if I have any doubts on that..

Thanks again for your endeavour

Rg,
Vijay.

 

[WhizzKidd]

Hi @afterworkguinness,

Do you have anything that can explain OIS discounting in an easy to read fashion? For instance how OIS relates to multi-curve discounting and what some practical uses are? To my understanding it sometime is just a 40bps spread over the rf rate.

 

[brian.field]

The assigned readings on OIS are pretty accessible.

 

[bpdulog]

It looks like there is not much to know from a calculation perspective?