Overnight Index Swaps

[mlavin]

Has anyone begun work on modeling Overnight Index Swaps (EONIA, SONIA, etc)?
If not and noone objects I thought I would try my hand at it.

[snovik]

I would only really appreciate it.

mlavin wrote

Has anyone begun work on modeling Overnight Index Swaps (EONIA, SONIA, etc)?
If not and noone objects I thought I would try my hand at it.

[Luigi Ballabio]

On Tue, 2008-05-20 at 05:34 -0700, mlavin wrote:
> Has anyone begun work on modeling Overnight Index Swaps (EONIA, SONIA, etc)?

Not that I know of.

> If not and noone objects I thought I would try my hand at it.

Yes, go ahead.

Thanks,
        Luigi


--

The wisdom of the wise and the experience of the ages are perpetuated
by quotations.
-- Benjamin Disraeli



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