3 ms·
That’s not the correct curve to use for pricing in general. You’d infer discount factors from overnight indexed swaps (OIS) instead as the overnight rate (ESTR,
by brewmarche 2y ago
That’s not the correct curve to use for pricing in general. You’d infer discount factors from overnight indexed swaps (OIS) instead as the overnight rate (ESTR, SOFR, SONIA, etc.) is what is used for collateralisation typically. To create such a discount curve you need OIS swap rates.