Multi-curve hedge accounting models

Multi-curve hedge accounting models


Financial market professionals are still getting to grips with the many changes that have occurred to pricing practices since the financial crisis. Whereas practitioners could once afford to ignore the tiny differences that existed between key market rates – Libor and overnight indexed swap (OIS) rates or three-month and six-month Libor, for instance – the crisis meant that was no longer possible. The basis between Libor and OIS, as well as between different parts of the Libor curve, blew out

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