New Global Discount Curve Revolutionizes Pricing of Cross-Currency Products!
The way we price cross-currency products has changed with OIS discounting. Instead of using separate discount curves for different currencies, it now makes sense to use one curve for both single currency and cross-currency products. This means defining all curves in a currency different from the funding currency in a way that considers market quotes for both types of instruments. A simplified approach for this is provided in a previous study.