{"title":"Discounting Consistently with Collateral Posting","authors":"Messaoud Chibane, Yi-Chen Huang, JayaPrakash Selvaraj","doi":"10.2139/ssrn.2084452","DOIUrl":null,"url":null,"abstract":"In this paper we investigate the impact of collateral posting on derivative prices. We build a complete discounting framework from vanilla swap pricing to single currency exotic option pricing. We show how to extract initial discount and forecast curves from the market of OIS and IR Vanilla swaps. We extend our considerations to the case of collateralisation in a currency other than the transaction denomination currency.","PeriodicalId":280702,"journal":{"name":"ERN: Econometric Studies of Derivatives Markets (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Econometric Studies of Derivatives Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2084452","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
In this paper we investigate the impact of collateral posting on derivative prices. We build a complete discounting framework from vanilla swap pricing to single currency exotic option pricing. We show how to extract initial discount and forecast curves from the market of OIS and IR Vanilla swaps. We extend our considerations to the case of collateralisation in a currency other than the transaction denomination currency.
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