Estimating the South African Overnight Indexed Swap Curve
Author:
Publisher
Elsevier BV
Subject
General Economics, Econometrics and Finance
Reference10 articles.
1. Smith DJ. A Teaching Note on pricing and valuing interest rate swaps using LIBOR and OIS discounting. SSRN Working Paper 2012.
2. Clark J. Swap discounting and Pricing Using the OIS Curve. Edu-Risk International 2011. (Available at http://www.eduriskinternational.com).
3. Hull J, White A. LIBOR vs OIS: The derivatives discounting dilemma. Journal Of Investment Management 2012; 11:14-27.
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5. Valuation of Interest Rate Derivatives under CSA discounting;Daniels;Modelling Dependence in Econometrics. Springer International Publishing,2014
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