Which of the following is true when a bank uses OIS discounting for valuing a LIBOR-for-fixed swap

A. The LIBOR/swap zero curve is calculated before the OIS zero curve
B. The OIS zero curve is calculated before the LIBOR/swap zero curve
C. The swap is valued using OIS forward rates and OIS discounting
D. The forward rates are calculated from the bank's borrowing costs


B
First the OIS zero curve is calculated. LIBOR forward rates are then calculated so that all swaps when entered into at mid-market swap rates have zero value

Business

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