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OIS Curve Construction Explained

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 20 Apr 2022 English Publisher:Zenodo
Authors: Yang, Alex;

doi: 10.5281/zenodo.6498443 , 10.5281/zenodo.3928514

OIS Curve Construction Explained

Abstract

OIS curves became the market standard for discounting collateralized cashflows. This curve represents the market expectations of the Federal Reserve daily target for the overnight lending rate.

https://ia801507.us.archive.org/2/items/ir-ois-4_202105/IrOIS-4.pdf

Keywords

Overnight index swap, OIS, OIS curve, OIS discounting, OIS curve bootstrapping

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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