Pricing Curves In OTC Valuations

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.

  • 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 ...

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All International Bonds

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5 Goldman Sachs 20,005.21 49 5.42%

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1 BNP Paribas 299.85 1 21.73%
5 UBS 60.22 1 4.36%

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2 Credit Suisse 1,301.65 4 18.65%
3 UBS 970.80 3 13.91%
4 BNP Paribas 522.35 4 7.49%
5 SG Corporate & Investment Banking 444.17 3 6.37%