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Constructing, Bootstrapping and Interpolating OIS Curves

Recovering the LIBOR Curve from the OIS Curves in modern derivatives

20 March 2013 – Singapore

Why should you attend?

This one day workshop is geared to bring you up to date with the modern methods of bootstrapping and interpolating / extrapolating the “OIS” curve (overnight index swap). The course is half built on traditional “teaching” as it develops the underpinning theoretical framework and half hands-on case study based as it asks participants to work in Excel several relevant cases.

At the end of this course you will better understand the modern way of Interest Rate Derivative Pricing while eliminating basis risks between the Fed Funds rates earned by collateral and the LIBOR rates earned by derivatives.

Key Benefits:

  • Getting hands-on cases of international best practices for creating the OIS curve
  • Analyse modern methods of bootstrapping and interpolating/extrapolating the “OIS” curve
  • Examine the recovery of interest rate derivatives prices under the OIS curve
  • Relate the OIS curve to the traditional LIBOR curves
  • Relate pricing of derivatives traded under LIBOR to collateral and margins earning overnight rates while eliminating basis risks

Who Should Attend?

  • Fixed Income and FX Derivatives Traders
  • Dealers
  • Treasury Professionals
  • Internal auditors
  • External auditors
  • Product Controllers
  • Risk Controllers
  • Market Risk Managers