INR OIS CURVE for valuation
INR OIS CURVE for valuation
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Rupesh Mishra · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Rupesh Mishra
Original post: https://quant.stackexchange.com/questions/85849
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I’m a beginner trying to understand INR OIS curves and discount factors for a practical valuation exercise. I need to value an INR FRA / Bond Forward as of 30 June 2026, and the valuation methodology requires an INR-OIS discount curve to discount the future cash flows. I found the CCIL MIBOR-OIS page, which gives OIS rates by tenor (3M, 6M, 9M, 1Y, etc.), but I’m confused about how to go from those quoted OIS rates to the actual discount factor for a specific date.
For example, if my valuation date is 30-Jun-2026 and the settlement date is 15-Mar-2027, I need something like:
DF (30-Jun-2026 → 15-Mar-2027)
My questions are:
Where can I obtain the INR OIS curve for a historical date such as 30-Jun-2026?
Is CCIL MIBOR-OIS data sufficient, or do I need Bloomberg/Refinitiv/another source?
How are the OIS quotes (3M, 6M, etc.) converted into zero rates / discount factors?
Would I need to bootstrap/interpolate the curve to get a DF for 15-Mar-2027?
Is there any publicly available source that provides the actual discount factors directly?
I’m particularly interested in understanding the process myself rather than just getting the final DF.
Any guidance, examples, or references to the relevant methodology would be greatly appreciated.
PS: used AI
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Rupesh Mishra Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/85849 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I’m a beginner trying to understand INR OIS curves and discount factors for a practical valuation exercise. I need to value an INR FRA / Bond Forward as of 30 June 2026, and the valuation methodology requires an INR-OIS discount curve to discount the future cash flows. I found the CCIL MIBOR-OIS page, which gives OIS rates by tenor (3M, 6M, 9M, 1Y, etc.), but I’m confused about how to go from those quoted OIS rates to the actual discount factor for a specific date. For example, if my valuation date is 30-Jun-2026 and the settlement date is 15-Mar-2027, I need something like: DF (30-Jun-2026 → 15-Mar-2027) My questions are: Where can I obtain the INR OIS curve for a historical date such as 30-Jun-2026? Is CCIL MIBOR-OIS data sufficient, or do I need Bloomberg/Refinitiv/another source? How are the OIS quotes (3M, 6M, etc.) converted into zero rates / discount factors? Would I need to bootstrap/interpolate the curve to get a DF for 15-Mar-2027? Is there any publicly available source that provides the actual discount factors directly? I’m particularly interested in understanding the process myself rather than just getting the final DF. Any guidance, examples, or references to the relevant methodology would be greatly appreciated. PS: used AI
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