Wilmott Forums - FF/Libor and Libor/OIS basis swaps

Wilmott Forums - FF/Libor and Libor/OIS basis swaps

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日期:2026-04-20
Hello, I would like to know what conventions (maturities, frequencies, spread quotation, day basis...) are used for Libor vs OIS basis swaps in EUR and US markets? I found following information on Libor/FF basis swaps but am not sure whether they apply to...看更多