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OIS Yield Data

FinPricing offers:

Four user interfaces:

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OIS Yield Curve and OIS Discount Curve Sample Data

FinPricing offers the following curves for various currencies via API:

• OIS curves
• RFR (risk free rate) curves
• SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
• IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) fallback rate curves
• Swap rate curves
• Basis curves
• Spot rate or zero rate curves
• Forward rate curves
• Discount curves
• Inflation Swap rate (CPI, RPI, HICP) curves
• Nordic electricity futures curve
• VIX futures curve
• S&P 500 futures curve

OIS curves is the market standard for discounting collateralized financial derivatives. Given more than 90% of derivatives are protected by collateral, OIS discounting becomes mainstream in the market. The reason often given for using the OIS rate as the discount rate is that it is derived from the fed funds rate and the fed funds rate is the interest rate usually paid on collateral. As such the fed funds rate and OIS rate are the relevant funding rates for collateralized transactions.

To bootstrap an OIS yield curve, you need both market quoted swap rate curve and OIS curve. A derived OIS yield curve is shown below:

• Swap rate curves
• SOFR curves
• OIS curves
• interest rate curves
• Inflation swap rate curves
• Forward yield curves
• FX forward curve
• FX vol surface