Search: OIS
RBA Glossary definition for OIS
OIS – Overnight indexed swap, a bilaterally traded, or over-the-counter (OTC), derivative in which one party agrees to pay the other party a fixed interest rate in exchange for receiving the average cash rate recorded over the term of the swap.
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A Term Structure Decomposition of the Australian Yield Curve
30 Dec 2008
RDP
2008-09
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html
Appendix A: Zero-coupon Yields
30 Dec 2008
RDP
2008-09
Overall, while Treasury note yields would be preferable, in their absence OIS yields provide a very good substitute. ... This linearity allows us to write the vector of bond prices or OIS rates B as.
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-a.html
Data and Model Implementation
30 Dec 2008
RDP
2008-09
To estimate the risk-free zero-coupon yield curve at the short end, we use Treasury notes when they are available and OIS rates with maturities less than or equal to ... See RBA (2002) for details of how OIS contracts operate, and Appendix A for more
https://www.rba.gov.au/publications/rdp/2008/2008-09/data-model.html
Conclusion
30 Dec 2008
RDP
2008-09
Download the Paper 579. KB. We have used data on coupon-bearing Australian Government bonds and OIS rates to estimate risk-free zero-coupon yield and forward curves for Australia from
https://www.rba.gov.au/publications/rdp/2008/2008-09/conclusion.html
Model Overview and Related Literature
30 Dec 2008
RDP
2008-09
We start by estimating zero-coupon yield curves from observed overnight indexed swap (OIS) and government bond data (for further details see Section 4 and Appendix A).
https://www.rba.gov.au/publications/rdp/2008/2008-09/model-overview.html