OIS Discounting

OIS Discounting methodology in Summit proposed by GMS

Since the 2008 global financial crisis, the way the Market values derivatives’ future cash-flows has changed. This has lead to financial institutions adapting their discounting process and thus the valuation functions, the interest rate curves bootstrapping, the collateral management as well as their risk analysis.

GMS has extensive experience with implementation projects of the “OIS Discounting” methodology in Summit Front-to-Back workflow.


GMS’ Paris relocation

3 January 2018

The New Initial Margin Obligation for Non-centrally Cleared OTC Derivatives

3 October 2016 How ISDA's SIMM really works

Annual GMS Event in Provence

30 September 2016 29.30th of September

GMS work package includes:

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GMS work package includes:

  • Plug-in of external quantitative libraries taking the curves’ dependencies into account at bootstrapping time,
  • Functional setup of the system in order to fit with the new market standards in terms of rate quotations and curve definitions,
  • Risk indicators computation to reflect the trade’s new exposure ; technical optimizations to avoid performance issues,
  • Front-Office workflow enhancement for handling collateralized deals.

The GMS Project team produced a global solution to answer this challenging problem by providing developments, setup and consulting on Summit.

IR curve bootstrapping

  • Functional setup of IR curves and their respective dependencies
  • Integration of external quantitative libraries
  • Validation of Zero-Coupon rates curves bootstrapping
  • Real-time market data update


Trades Valuation&Risk analysis

  • Validation of Risk analysis results : Sensitivities (Delta, Gamma), Stress, VaR, P&L explain
  • Test cases and scenarios
  • Computation of Multicurve switch impact (MtM, Risk, users training)


CSA management

  • Analysis of the client collateral structure
  • Development of ad-hoc tools for the automation of trade assignment and default index derivation
  • New application to check trade’s assignment