Suppose that OIS rates are given below. Compute OIS zero curve. Ignore day count convention (e.g....
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Suppose that OIS rates are given below. Compute OIS zero curve. Ignore day count convention (e.g. just use 3/12 for the 3-month period, etc.). For 3-mo, 6-mo, and 12-mo OIS, assume that cash flows are exchanged only once. For the 2-year OIS, cash flows are exchanged quarterly. [Further clarification: compute the continuously compounded zero rates. Also note that OIS swaps up to 1 year only have 1 exchange, while OIS beyond 1 year maturity has quarterly exchanges.] OIS maturity OIS rate 1.8% 1.9% 2.1% 2.5% 3 months 6 months 12 months 2 years Compounding frequency for OIS rate Quarterly Semi-annually Annually Quarterly Suppose that OIS rates are given below. Compute OIS zero curve. Ignore day count convention (e.g. just use 3/12 for the 3-month period, etc.). For 3-mo, 6-mo, and 12-mo OIS, assume that cash flows are exchanged only once. For the 2-year OIS, cash flows are exchanged quarterly. [Further clarification: compute the continuously compounded zero rates. Also note that OIS swaps up to 1 year only have 1 exchange, while OIS beyond 1 year maturity has quarterly exchanges.] OIS maturity OIS rate 1.8% 1.9% 2.1% 2.5% 3 months 6 months 12 months 2 years Compounding frequency for OIS rate Quarterly Semi-annually Annually Quarterly
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To compute the OIS zero curve we will use the given OIS rates and compounding frequencies Well assum... View the full answer
Related Book For
Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
Posted Date:
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