OIS discounting dilemma for the buy-side

Discounting dilemma


Derivatives end-users have historically had a sure-fire way of making certain they’re receiving a reasonable price from a dealer – they could price the derivative themselves. Armed with little more than a basic knowledge of financial maths and an Excel-based pricing model, canny investors and hedgers could quickly replicate prices – for simple plain-vanilla products at least – and ensure their banks were treating them fairly.

That’s not so easy today. Derivatives prices now depend on a multitude