Swap valuation with OIS discounting OIS-discounting (from Overnight Indexed Swap) is a derivatives valuation method considering multiple curves (and not one as before) for discounting and for projecting future cash flows.It’s used for collateralized derivatives. CSA (Credit Support Annex) its…

the collateral at every moment must coincide with value mark-to-market of swap let’s take as a example simple swap with just one cashflow , which pays 100 euros at time T [it has no variable leg] at time T swap’s…