Beruflich Dokumente
Kultur Dokumente
Boston
University
School
of
Management
Research
Paper
Series
No.
2012-‐11
‘‘Valuing
Interest
Rate
Swaps
Using
OIS
Discounting”
Donald
J.
Smith
July 2012
Donald J. Smith
Associate Professor of Finance
Boston University School of Management
595 Commonwealth Avenue
Boston, MA 02215
Phone: 617-353-2037
Email: donsmith@bu.edu
The author acknowledges and thanks James Adams, Don Chance, Yu Wang, Anuj Gupta,
and Lawrence Galitz for their useful comments and corrections to an earlier draft.
interest rate swap valuation. Going from traditional LIBOR to OIS (overnight indexed
swap) discounting might not seem to be a profound event but it is more than just another
newfound appreciation of counterparty credit risk and the role of collateral and central
clearing. Implementation of OIS discounting has created a cottage industry for risk
management consultants and trainers to deal with the technicalities of the new approach.
From my academic perspective, it is clear that many of our finance textbooks that cover
The first section of this note reviews interest rate swap valuation in principle, the
reasons for the move from LIBOR to OIS discounting, the implications for swap rates,
and the “winners and losers” that arise from the transition. The second section works
sequence of discount factors that are consistent with interest rate swaps that have a
market value of zero. The implied LIBOR forward curve is derived (or, in general, the
forward curve for the money market reference rate). This curve becomes particularly
important under OIS discounting when valuing a swap as a combination of fixed-rate and
floating-rate bonds.
Fortunately for risk managers, OIS discounting uses the same types of analytic
techniques as the traditional approach. However, there are some differences that are
beyond the scope of this note, for instance, calculating the sensitivities of swap values to
changes in OIS rates and the LIBOR-OIS spread (i.e., working with dual curves rather
LIBOR is an interest rate that reasonably can be assumed to vary day by day in the
interbank market whereas OIS rates are more directly a tool of monetary policy,
suggesting that rate volatility depends on the pattern and timing of policy meetings and
actions.1
An interest rate swap can be interpreted as: (1) a series of forward contracts on the
reference rate, and (2) a long/short combination of a fixed-rate and a floating-rate bond.2
Consider a 2-year, USD 100 million notional principal, 5.26% fixed-rate, quarterly
the swap is a package of eight implicit forward rate agreements (FRAs), each exchanging
3-month LIBOR for a fixed rate of 5.26%. The counterparties to the series of FRAs are
the fixed-rate receiver on the swap (the “receiver”) and the fixed-rate payer (the “payer”).
In the second interpretation, the receiver has a long position in an implicit 2-year, 5.26%
quarterly payment bond and a short position in an implicit 2-year floating-rate note
(FRN) paying 3-month LIBOR with quarterly resets. The payer has the opposite bond
positions.
If this swap currently has a market value of zero, it is described as being “at-
market” or “at par”. Actual FRAs on 3-month LIBOR have a different fixed rate for each
future time period, reflecting the shape of the underlying forward curve. Unless that
curve is remarkably flat, the swap is a package of “off-market” FRAs because each has
the same fixed rate of 5.26%. However, the market values of the FRAs sum to zero. That
2
describes how the fixed rate on an at-market swap is determined at inception: It is set so
that the implicit FRAs, some of which have positive values and others negative values,
net to zero. In the bond interpretation, the implicit fixed-rate bond has a coupon rate set
so that its price matches that of the FRN paying 3-month LIBOR.
The upper panel of Exhibit 2 displays the balance sheets for the two
counterparties. The at-market swap having a value of zero is not shown—it is “off-
balance sheet” or, one can say, it is hidden on the line dividing assets from liabilities. The
shareholders’ equity that is used to register changes in the value of derivative contracts.
Now suppose that time passes and market interest rates change. The middle panel shows
the balance sheets if swap market rates fall. The derivative appears as an asset to the
fixed-rate receiver—it has migrated off the line—and as a liability to the payer. The
offsetting accounting items are increases and decreases in OCI. The lower panel shows
results if instead swap rates rise. The accounting rules for derivatives (e.g, SFAS 133 and
IAS 39) determine whether the changes in swap values also need to flow through the
The methods to value an interest rate swap and to determine the size of boxes in
Exhibit 2 follow from the two interpretations. In the first, the exposure to the eight
implicit FRAs can be hedged by entering a “mirror” swap, thereby eliminating the risk of
further volatility in LIBOR. Suppose that the fixed rate on a 2-year, quarterly settlement,
at-market swap is 3.40% and that the 5.26% now off-market swap was entered several
years ago and currently has two years remaining. Rates have fallen (or, possibly, the
swap has just slid down a stable but steeply and upwardly sloped yield curve), as in the
3
middle panel. The fixed-rate receiver can enter, in principle, a pay-fixed mirror swap to
lock in the value of its asset; the payer can enter a receiver swap to stanch further losses.
This establishes a sequence of eight quarterly payments on the order of USD 465,000,
depending on the day-count convention and neglecting the bid-offer spread, flowing from
the payer to the receiver: (5.26% – 3.40%) * 100,000,000 * 0.25 = 465,000. The swap
changes in the implicit fixed-rate bond. As rates are assumed to have fallen, the 5.26%
fixed-rate bond is priced at a premium above par value. By design, an FRN has limited
price volatility. Said differently, its duration is low and often is figured to be the time
until the next rate reset date. Using this interpretation, the duration of the swap can
calculated as the difference in the durations of the two implicit bonds. A receiver swap
has a positive duration statistic. A payer swap in turn has negative duration, meaning its
market value is positively correlated to rates, as shown in the lower panel of Exhibit 2.
The value of the swap is the premium price on the fixed-rate bond less the value of the
The key point is that swap valuation is all about discounting future cash flows.
The traditional approach has been to use discount factors that correspond to the reference
rate on the swap, e.g., 3-month LIBOR. That is a much stronger assumption that it might
seem. If the swap is not collateralized, it implies that the counterparty for which the swap
is a liability, here the fixed-rate payer, has credit quality consistent with the banks that
establish the LIBOR index. Presumably, this counterparty can borrow funds for two years
at LIBOR flat (meaning a margin of zero above or below the reference rate) on a
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quarterly payment floating-rate basis or at 3.40% fixed. In sum, the LIBOR discount
factors are appropriate to get the present value of its unsecured future obligations.
Suppose instead that the fixed-rate payer is a financially distressed company that
has had its credit rating lowered to non-investment grade. If the fixed-rate receiver
requested early termination of the swap, the payer would offer to settle the obligation for
an amount that reflects its cost of borrowed funds and not that of an investment-grade
early termination, it would be unwieldy for routine valuations carried out daily by swap
The advantage to using the LIBOR swap curve is that there are good data
publically available for a full range of maturities. Importantly, the bootstrapped numbers
are “internal” to the valuation problem. In this traditional approach, the fixed rates on at-
market swaps (or the prices on 2-year fixed-rate bonds and FRNs having comparable
credit risk) can be used to bootstrap the discount factors needed to value the swap book.
An important development in the interest rate swap market in recent years has
been widespread use of collateralization to mitigate counterparty credit risk. When the
market started in the 1980s, most swap contracts were unsecured and any imbalance in
the credit standings between the two counterparties was priced into the fixed rate or
managed by having the weaker party get some type of credit enhancement. In the 1990s,
after the introduction of the CSA (Credit Support Annex) to the standard ISDA
5
(International Swap and Derivatives Association) master agreement, posting collateral in
the form of cash or marketable securities became more common. Nowadays, bilateral
CSAs with a zero threshold, meaning only the counterparty for which the swap has
negative value posts collateral, is the industry norm. The specific terms of the CSA in the
ISDA document are complex and go beyond the scope of this note.
Johannes and Sundaresan [2009] contend that the fixed rate on a collateralized
swap should be higher than when it is uncollateralized and provide empirical evidence to
support that finding. The reasoning is similar to the convexity adjustment between
interest rates on exchange-traded futures and over-the-counter forwards. The idea is that
posting collateral is costly to the counterparty for which the swap is “underwater”,
meaning having a negative market value. Either the funds or the securities to satisfy the
The reason for the higher fixed rate on a collateralized swap is that the impact of
receiver suffers from interest rate volatility while the payer benefits. Suppose the swap is
underwater to the receiver because swap rates have risen since inception. If rates rise
further, more costly collateral is needed; if rates fall, less is required. In contrast, suppose
the swap is underwater to the payer because rates have fallen. If rates then rise, less
collateral is needed; and if rates fall further, more is required. Systematically, the fixed-
rate receiver posts more costly collateral when interest rates go up; the payer posts more
when rates do down. This asymmetry, other things being equal, leads to a higher fixed
6
The main implication of collateralization is that the credit risk on the swap
bilateral CSAs have a zero threshold so there still is some “tail” risk. In any case,
minimal credit risk means that the discount factors to get the present value of the annuity
for the difference between the contractual and at-market fixed rates (or to value the
Why then is it not market practice to use actively traded U.S. Treasury notes and
bonds, for which there are ample price data, to get the discount factors to value USD-
denominated derivatives that are nearly risk-free? The problem with Treasury yields is
that typically they are too low for this purpose. Treasuries are by far the most liquid debt
security and are in high demand as collateral in the repo market. Exemption from state
and local income taxes lowers their yields even more. Also, Treasury yields are more
volatile than swap rates because they are the first asset class to absorb fluctuations in
demand and supply arising from international capital flows, especially during flights to
quality.
The ideal discount factors to value collateralized contracts would come from
traded securities having the same liquidity, tax status, and volatility as the interest rate
swaps but credit risk approaching zero. Pre-2007, dealers as well as their regulators and
auditors viewed fixed rates on LIBOR swaps to be a reasonable and workable proxy for
the risk-free yield curve. However, in the post-2007 world the presence of a persistent
and sizable LIBOR-OIS spread exposes the “credit risk approaching zero” presumption.
7
An overnight indexed swap is a derivative contract on the total return of a
reference rate that is compounded daily over a set time period. In the U.S. dollar market,
the reference rate is the effective federal funds rate. It is calculated and released by the
Federal Reserve each day in its H.15 Report and is the weighted average of brokered
trades between banks for overnight ownership of deposits at the Fed (i.e., bank reserves).
The effective fed funds rate is not necessarily equal to the target rate set by the Federal
meetings. The Fed merely aims to keep the effective rate close to its target via open
market operations of buying and selling securities. In the Euro-zone, the OIS reference
rate is EONIA (Euro Overnight Index Average, which essentially is the 1-day interbank
rate. In the U.K., the reference rate is SONIA (Sterling Overnight Index Average).
Until August 2007, the LIBOR-OIS spread was consistently narrow, typically just
5-10 basis points, thereby justifying the use of LIBOR discount factors to value
collateralized swaps. Some commentators date the onset of the financial crisis at August
9, 2007, which was the day when the LIBOR-OIS spread first spiked upward. It remained
high, oscillating between 50 and 100 basis points, and then jumped again in the fall of
2008, reaching its pinnacle at about 350 basis points after the announcement of the
Lehman bankruptcy on September 15, 2008. It then returned to more normal levels in
2009 only to go up again in 2011 reflecting concerns over the Euro-zone sovereign debt
The OIS curve is now preferred by dealers to value collateralized interest rate
swaps because it removes the bank credit and liquidity risk that is being priced into
LIBOR. OIS rates, unlike LIBOR, now represent risk-free rates for banks and satisfy the
8
“credit risk approaching zero” criterion. Moreover, the Dodd-Frank Act of 2010
mandates that U.S. dealers use centralized clearing for standard swaps and
In general, fixed-rate receivers gain and payers lose following the switch from
LIBOR to OIS discounting when swap rates have come down from previous levels and
the LIBOR-OIS spread is positive. Nashikkar [2011] points out that this could impact
end-users who have a large “directional book”, meaning they typically enter the same
type of swap. For example, life insurance companies and defined-benefit pension plans
enter receive-fixed swaps to reduce the duration mismatch between their assets, which
are mostly equity and corporate bonds, and their long-term liabilities. On the other hand,
the GSEs (Government-Sponsored Enterprises) like Fannie Mae and Freddie Mac tend to
enter pay-fixed swaps to hedge their positions in long-term fixed-rate mortgages. Other
impacts are on hedging strategies for swap dealers and end-users because the switch
because the implied LIBOR forward curve changes, and on possible implications for the
accounting for interest rate swaps (e.g., whether the swap qualifies for hedge accounting
treatment).
valuation using LIBOR and OIS discount factors.3 Consider again a 2-year, USD 100
9
million notional principal, 5.26% fixed versus 3-month LIBOR, quarterly settlement
swap at a time when the otherwise comparable at-market fixed rate is 3.40%. A cursory
value of USD 3,581,649 is obtained by discounting the 8-period annuity of USD 465,000
using the at-market fixed rate and neglecting the actual day-count convention:
∑ =1
8 465,000
= 3,581,649
j
(1+ 0.0340 /4) j
This calculation assumes a flat swap curve because each payment is discounted by the
same interest rate. In general, LIBOR discount factors for the full term structure are used
to integrate the shape of the swap curve, which typically is upward sloping.
The traditional valuation method uses cash market rates for LIBOR for the first 12
months and then at-market swap fixed rates beyond that. For this numerical exercise,
assume these observations for LIBOR deposits: 3-month, 0.50%; 6-month, 1.00%; 9-
month LIBOR, 1.60%; 12-month, 2.10%. In the USD market, the actual/360 day-count
convention and simple interest are used to determine cash flows. For 92 days in the first
3-month time period (n = 1), for instance, from March 15th to June 15th, the LIBOR
1
DF 1LIBOR = = 0.998724
(1+ 0.0050 * 92 / 360)
For 92 days in the second quarter (n = 2) between June 15th and September 15th,
DF LIBOR
2 is:
1
DF LIBOR = = 0.994915
2
(1+ 0.0100 *184 / 360)
365 days is 0.979152. To generalize, quarterly LIBOR discount factors based on money
10
market rates are determined with this formula in which Aj is the fraction of the year for
the jth period given the particular day-count convention (i.e., actual/360, actual/365,
30/360):
1
DF nLIBOR =
(1 + LIBOR n * ∑ n
j =1 Aj ), n = 1 to 4 (1)
For this exercise, quarterly discount factors suffice; in practice, daily discount factors are
at-market swaps. Typically, these quoted rates start at a tenor of two years. That creates a
problem for the risk manager and the need to interpolate for the span between year one
and year two. That often leads to a jump or a kink in the LIBOR forward curve and
discount factors. This example finesses that problem by assuming that at-market (or par)
swap fixed rates are: 15-month, 2.44%; 18-month, 2.76%; 21-month, 3.08%; 24-month,
3.40%. These swaps are for quarterly settlement versus 3-month LIBOR and use the
This treats the swap as a 15-month, 2.44% fixed-rate, non-amortizing (i.e., “bullet”) bond
priced at a par value of 1. [All of the reported results for this and the following equations
is sensitive to rounding. The rounded results from the calculations with full precision are
11
The discount factor for the sixth quarterly period, DF LIBOR
6 , uses DF 1LIBOR
through DF LIBOR
5 along with the 18-month swap fixed rate of 2.76%.
Repeating the bootstrapping process for the seventh and eighth periods, which have 91
general formula for bootstrapping LIBOR discount factors from at-market swap fixed
1− SFR n * ∑ nj −= 11 A j * DF LIBOR
j
DF LIBOR = , n>4 (2)
n
(1+ SFR n * A n)
The implied forward rate, sometimes called the projected rate, for 3-month
LIBOR between period n – 1 and period n based on the LIBOR discount factors is
formula.
DF LIBOR
n − 1 −1 * 1
IFR nLIBOR
− 1, n = A (3)
DF LIBOR
n n
For example, the implied rate between period 7 and period 8 is 5.7815%.
0.946531 1
IFR LIBOR = −1 * = 0.057815
7, 8
0.933045 90 / 360
The implied, or projected, LIBOR forward curve is particularly useful in pricing options
on swaps (i.e., “swaptions”) and non-standard interest rate swaps that have, for instance,
a deferred start date or a notional principal that varies over the lifetime of the contract.
12
The bootstrapped LIBOR discount factors and implied forward rates are summarized in
Exhibit 3.
The 5.26%, 2-year, USD 100 million, off-market swap can be valued by
comparison to the at-market swap having a fixed rate of 3.40%. Its market value using
The swap is an asset to the fixed-rate receiver, and an equivalent liability to the payer.
This amount is higher than the cursory value calculated at the beginning of the section
because the actual/360 day-count is used, and the discount factors reflect lower rates due
value for the swap. The implicit FRN has a market value of USD 100 million. Often par
value on a rate reset date is simply assumed for a floating-rate note, but it is useful in
understanding the implications of OIS discounting to calculate its price by applying the
LIBOR discount factors to the sequence of implied, or projected, LIBOR forward rates.
+ 100,000,000 * DF LIBOR
8 = 100,000,000
The 5.26% fixed-rate note is priced at a premium above par value, USD 103,662,844,
because current swap market rates are lower than the contractual rate—in terms of bond
+ 100,000,000 * DF LIBOR
8 = 103,662,844
13
When the implicit bonds are priced using LIBOR discount factors, the difference in the
The key assumption behind this valuation using LIBOR discounting is either: (1)
the swap is uncollateralized and the fixed-rate payer, for which the swap is a liability, is a
LIBOR flat credit risk, or (2) the swap is collateralized (or centrally cleared) and LIBOR
discount rates are a reasonable proxy for the risk-free yield curve. Nowadays,
collateralization is the norm and the LIBOR-OIS spread is not insignificant. Therefore,
transactions. That explains why OIS discounting is becoming the new standard for
Suppose the 3-month fixed rate is 0.10% on an overnight indexed swap for a
notional principal of USD 100 million. At settlement, the settlement payoff will be based
on the difference between the fixed and floating legs on the swap. Assuming 92 days for
the quarter and an actual/360 day-count, the fixed leg is USD 25,556.
92
100,000,000 * * 0.0010 = 25,556
360
The floating leg depends on the sequence of realized daily reference rates.
100,000,000 * 1+ EFF 1 * 1+ EFF 2 * ...* 1+ EFF 92 −1
360 360 360
EFF1, EFF2,…, EFF92 are the reported daily observations for the effective fed funds
rate.4 Net settlement on the OIS is the difference between the two legs.
14
OIS fixed rates out to 12 months use simple interest, following market practice for
LIBOR in the money market. In the same manner as equation (1), OIS discount factors
1
DF OIS
n =
(1 + OIS n * ∑ nj =1Aj ), n = 1 to 4 (4)
Suppose that the OIS rates are: 3-month, 0.10%; 6-month, 0.60%; 9-month, 1.20%; 12-
month, 1.70%. These time periods translate to 92, 184, 275, and 365 days. Using
1
1 =
DF OIS = 0.999745 ,
(1+ 0.0010 * 92 / 360)
1
2 =
DF OIS = 0.996943
(1+ 0.0060 *184 / 360)
Consistent with LIBOR swaps, OIS contracts for tenors longer than 12 months
entail periodic settlement payments. Assume that these are quarterly settlements for an
actual/360 day-count. The OIS fixed rates are: 15-month, 2.00%; 18-month, 2.30%, 21-
month, 2.60%; 24-month, 2.90%. These assumed swap rates track a LIBOR-OIS spread
in the 40-50 basis point range. The general formula for bootstrapping the OIS discount
1− OIS n * ∑ nj −= 11 A j * DF OIS
j
n =
DF OIS , n>4 (5)
(1+ OIS n * A n)
The OIS discount factor for the fifth quarter (n = 5) is 0.974887.
1 − 0.0200* ∑ 4j = 1 A j * DF OIS
j
=DF OIS = 0.974887
5
(1 + 0.0200*92 / 360 )
15
6 = 0.965445 , DF 7
The remaining OIS discount factors are: DF OIS OIS = 0.954664, and
DF OIS
8 = 0.942599. The assumed OIS fixed rates and the corresponding discount factors
Now suppose that both the 5.26% off-market and the 3.40% at-market interest
rate swaps are collateralized (or centrally cleared) so that OIS discounting is appropriate.
This is higher than the market value using LIBOR discount factors, USD 3,662,844. The
size of the difference is a function of the gap between the contractual and mark-to-market
fixed rates, the tenor, the LIBOR-OIS spread, and the shape of the underlying yield curve.
What matters is that this market value better captures the minimal credit risk on a
An important point is that care needs to be taken in valuing the swap using the
implicit bonds need to be priced as risk-free securities. The market value for the implicit
2-year, 5.26% fixed-rate bond using the OIS discount factors is USD 104,671,244.
It is tempting to get the value of the implicit FRN by using the OIS discount factors on
the implied LIBOR forward curve, as reported in Exhibit 3. The market value for the
FRN would be USD 100,999,229, as expected above par value because of its risk-free
status.
16
MV FRN = 100, 000, 000 * ∑8j = 1 IFR LIBOR OIS
j − 1, j * A j * DF j
The value for the swap using OIS discounting and the combination-of-bonds approach
The problem is that this does not match the value using OIS discounting and the market-
forward curve is needed—one that is consistent with pricing LIBOR deposits and at-
market LIBOR swaps with OIS discount factors. For the money market segment of the
swap curve, for which observations on LIBOR deposits are used to get the discount
= LIBOR n * ∑ nj 1=
A j * DF OIS − ∑ nj − 11 IFR OIS OIS
j − 1, j * A j * DF j
j
n − 1, n =
IFR OIS
OIS
(6)
An * DF n
For n > 4, the at-market LIBOR swap fixed rates are used:
= SFR n * ∑ nj 1=
A j * DF OIS − ∑ nj − 11 IFR OIS OIS
j − 1, j * A j * DF j
j
n − 1, n =
IFR OIS
OIS
(7)
An * DF n
important result is that the market value of the implicit FRN for OIS discounting is USD
100,989,671.
17
The value of the 5.26%, 2-year collateralized swap using the combination-of-bonds
approach is USD 3,681,573, now matching the result for the mark-to-market method.
Pricing and valuing LIBOR swaptions and non-standard swaps are other applications for
equations (6) and (7). These procedures require a LIBOR forward curve—and it is the
implied LIBOR forward curve consistent with OIS discounting that is relevant.
Conclusion
The switch from LIBOR to OIS discounting in the valuation of collateralized (or
centrally cleared) interest rate swaps is not a technical advance coming out of financial
engineering or math finance research projects. In fact, the same bootstrapping procedures
are used, albeit with some adjustments to address the differences in the factors driving the
volatility in LIBOR and OIS rates and data availability. The switch is more conceptual in
that it establishes that counterparty credit risk and collateralization are significant
elements in valuation and that LIBOR swap discount factors no longer are a reasonable
proxy for the risk-free yield curve. Risk managers need to be aware of this switch even if
their swaps are not collateralized or centrally cleared; financial educators need to
introduce OIS discounting into their swap training materials and textbooks.
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Notes
1. For an illustration of these technicalities, see the articles by Justin Clarke of Edu-Risk
2. A third interpretation, which is not typically used in practice, is that an interest rate
swap is a long/short combination of an interest rate cap and floor that have strike rates
equal to the fixed rate on the swap; see Brown and Smith [1995].
3. This example of swap valuation using LIBOR discounting is based on Smith [2011].
abstraction. In practice, weekends and holidays are handled with an odd mix of simple
and compound interest. Suppose that for a 5-day OIS, the effective fed funds rate is
0.09% on Thursday, 0.10% on Friday, and 0.11% on Monday. The Friday rate is used for
Saturday and Sunday, however, on a simple interest basis. The floating leg would be
calculated as:
As formulated in the text, the Friday rate would be compounded for the three days:
0.0009 0.0010 0.0011
3
19
Exhibit 1
3-Month
LIBOR
Fixed-Rate Fixed-Rate Payer
Receiver
“The Payer”
“The Receiver”
5.26%
Fixed Rate
20
Exhibit 2
OCI OCI
Swap Swap
OCI
OCI
Swap Swap
OCI
OCI
21
Exhibit 3
LIBOR Discounting
LIBOR
Deposits and LIBOR
Number of Swap Fixed Discount Implied LIBOR
Period Days Rates Factors Forward Rates
1 92 0.50% 0.998724 0.5000%
2 92 1.00% 0.994915 1.4981%
3 91 1.60% 0.987925 2.7989%
4 90 2.10% 0.979152 3.5840%
5 92 2.44% 0.969457 3.9132%
6 92 2.76% 0.958690 4.3949%
7 91 3.08% 0.946531 5.0818%
8 90 3.40% 0.933045 5.7815%
22
Exhibit 4
OIS Discounting
23
References
Brown, Keith C. and Donald J. Smith, Interest Rate and Currency Swaps: A Tutorial,
Research Foundation of the Institute for Chartered Financial Analysts, 1995, available at
the CFA Institute website.
Clarke, Justin, “Swap Discounting & Pricing Using the OIS Curve”, Edu-Risk
International, available at www.edurisk.ie.
Smith, Donald J., Bond Math: The Theory Behind the Formulas, Wiley Finance, 2011.
24