Credit data provider Markit has expanded the number of instruments and currencies available for the pricing of collateralized and uncollateralized securities using overnight index swap (OIS) curves.
The vendor has also enabled greater flexibility of choice regarding preferred discounting methodology.
Markit first rolled out OIS discounting in early 2011 to support the pricing of interest-rate swaps in US dollars, Japanese yen, euros and sterling. All vanilla interest-rate instruments are now cov
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails