Market View - Curves - CAD OIS Enhancements | Weekly Release 4/3/20

Enhanced CAD OIS to use the CAD 3M vs OIS basis to derive the OIS rate beyond the 5y point. Added a flag “use 3M OIS Basis” flag for option to use the CAD basis for 2Y – 5Y OIS rates

In the CAD OIS curve, Traders have the option to choose which data to use in the curve building. For swap terms 2 to 5 years, user can choose to pull in CAD OIS Swap rate by check/uncheck the ‘use3MOISBasis’ box.

  1. Checking “use3MOISBasis” will use the CAD3M vs. CADOIS basis to derive the OIS rates, such that OIS rate = CAD 3m Libor swap rate – (CAD 3M vs. OIS basis)

  2. Not checking the “use3MOISBasis” box will pick up the market quotes for CAD OIS Swap rates.

For swap term larger than 5 years, OIS Swap rates is always derived from Libor and CAD3M vs. CADOIS basis.


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