Copying and distributing are prohibited without permission of the publisher.


Pricing Curves In OTC Valuations

28 Jan 2011

Historically, financial institutions used a single standard curve to value derivatives. Recently market participants have started to move away from a single curve for both discounting and forecasting. Instead, they are using multiple curves, each playing a specific role in valuation. Forecast curves continue to be based on Libor, but are built specifically for different tenors. Also, a significant number of participants construct discount curves based on overnight indexed swaps rates.

Already a subscriber?

Continue reading this article

Try full access to GlobalCapital

Free Trial
28 Jan 2011