Integration with the Principia Analytic System

OIS Discounting Derivative Valuations

As OIS Discounting becomes the standard for derivative valuations and the market moves towards central clearing, PAS provides clients with a multi-curve valuation and risk management environment for derivative transactions. Our solution enables the end-to-end valuation, impact analysis, hedge effectiveness testing, risk and operational implementation of OIS discounting. PAS also provides and automates delivery of extensive daily market curves as standard for highly accurate valuations, proven to match broker pricing.

As financial institutions assess the impact of implementing OIS discounting in derivative valuations, web access to PAS's market-proven, multi-curve derivatives platform provides the flexibility needed to:

  • Analyze the materiality of the OIS discounting switch
  • Perform independent model validation of your OIS changes
  • Deliver daily market and collateral valuations with OIS discounting
  • Integrate OIS into hedge effectiveness testing
  • Independent market curves and volatility

With a low-cost monthly subscription, you can access PAS via a web-browser to quickly perform comprehensive OIS based valuations. This includes the power to capture subtleties embedded in even the most complex instruments.

OIS discounting with Principia Analytic System:

  • Multi-curve - coherent framework for curve construction and valuations
  • Construct OIS discount curves - for USD, EUR etc
  • Dual calibration - Incorporates OIS discounting into Libor curve bootstrapping
  • Curve construction control - Build curves from rates or basis swap spreads (RFR/SOFR vs or LIBOR vs)
  • Basis, tenor and cross currency - Curves calibrated assuming OIS discounting
  • Volatilities - LIBOR and RFR / SOFR volatility and model calibration
  • Analyze curve arbitrage - Derive one set of curve benchmarks from another set (e.g. derive OIS vs Libor from OIS all-in rates)
  • Daily market curves and volatilities - To deliver automatic MTMs; including basis spread, tenor spreads, OIS, volatilities, and market skews
  • Valuations - Accurately price your swaps or derivatives incorporating OIS-adjusted projected LIBOR and OIS discounting
  • Options and Swaptions - Support separation of OIS discount between option payoff and underlying swap or bond for Swaptions
  • Risk - Assess the impact of OIS rates and calculate OIS - Libor spread risk sensitivity
  • Integration - Flow valuations and cashflow projections into risk, mark-to-market and accounting
  • Hedge effectiveness testing - Support the subtleties around using the LIBOR (OIS-adjusted and OIS unadjusted) and OIS curves within HET
  • Flexibility - Switch OIS discounting on or off for ad-hoc valuations, or persistently for any position, the entire portfolio or a sub-set of valuables

Our whitepaper series on OIS discounting looks at the implications of the transition to OIS discounting, multi-curve valuations and central clearing for vanilla and OTC derivatives.