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Topic Title: OIS curve building
Created On Fri Oct 29, 04 09:12 AM
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zzbool
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Fri Oct 29, 04 09:12 AM
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Hello,

I'm looking for help from practitioners to explain how one could build an OIS curve : what is the data required, what is the method to use ?
If you have any pdf or reference that could help me, I'll be delighted. I've got another question : does Bloomberg, Reuters or any other data resource provide the OIS curve ?

Your help will be greatly welcome !

Thanks in advance !

Regards.
 
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Paka
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Mon Nov 01, 04 08:39 AM
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zzbool: What does OIS stand for?



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MichaelA
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Tue Nov 02, 04 01:55 AM
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I presume that OIS in this context means overnight index swap.

Dollar-OIS (is it called Donia, or am I just making this and Eonia (EUR) are both liquid. Sonia (GBP) isn't too bad.

I know you can get Eonia on Reuters - can't remember the right page, but ICAP10 might be a good starting point - there are probably other source of it out there as well. If you get lost, go to the "MONEY" page on Reuters.

As for Bloomberg, I know that it carries Eonia, and thus presumable USD-OIS - have a look at either the "WCV EUR" or "MMR" or "BTMM EU" pages to see what you can find for Eonia as an example
 
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Stochastix
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Tue Nov 09, 04 03:16 PM
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Overnight index swaps are roughly speaking swaps where the floating leg is the average of a central bank's target rate over a given period. I say roughly because the floating leg is generally compounded and the rate is usually an effective rate (some average of a given day of the overnight repo and/or funding transactions).

This being said, there are two main ways to price them. One is assuming that they trade at a spread to LIBOR swaps. The other way, which is what I like to do is to bootstrap given market quotes and extract central bank move anticipations. Then you can compute OIS values on any given date.

Hope that helps.
 
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