Since July 2013 when the Financial Accounting Standards Board (FASB) issued guidance permitting firms to use the Fed Funds Effective Swap Rate (Fed Funds rate), or Overnight Index Swap (OIS) rate for derivatives discounting both buy- and sell-side...
Written Blog

Watch the Video: The True Cost of OTC Derivatives Funding - FVA, OIS, and Profitability
The question at the root of the OTC derivatives decision process, "Is this trade profitable?", may at its core seem like a simple proposition. But in the...
Video Blog

In this video blog Numerix CMO, Jim Jockle speaks with Olga Us, Senior Quantitative Analyst about her recent PRMIA Master Class lecture, "OIS discounting Valuation Approaches Re-examined." Olga explains the drivers behind this paradigm shift in...
Video Blog

In this video blog, Numerix experts discuss the historical context and interconnectivity between OIS discounting, cheapest-to-deliver, funding valuations adjustments, CVA, DVA, and CSAs – and why the entire Economic Value Adjustment is now critical...
Video Blog

Following the 2008 financial crisis, OTC derivative market participants have come to realize that the valuation of derivatives requires forecasting curves dependent on an underlying index? in addition to separate discounting curves dependent on...
Video Blog
How will the evolution of the interest rate options market toward the OIS approach impact pricing and modeling risks?  As part of our ongoing exploration into the market’s increasing complexities given OIS discounting and multi-curve approaches, we’...
Written Blog
Curve construction in ‘the new world’ has become increasingly complex ?even when it comes down to vanilla deals. As part of our ongoing series on the impact of Overnight Index Swaps (OIS) discounting on valuation approaches, Numerix recently hosted...
Written Blog
Numerix CrossAsset, Version 10.0 Provides Model Innovation for Multi-Curve Pricing

New York, NY – March 13, 2012 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management,...
Press Release
Get up to speed quickly on OIS discounting – from foundations to advanced applications
Since the global financial crisis, OIS Discounting has emerged as a market standard for valuing swaps and interest rate derivatives, but the speed and level of...
Event Recording
The Dodd-Frank Act requires swap dealers and many of their clients to clear eligible Interest Rate Swaps through central counterparties. Since clearinghouses use Overnight Index Swap (OIS) discounting for pricing collateralized swaps instead of...
On-Demand Webinar

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