I have been through the entire process of a full OIS migration of a large multi-currency trading book. From OIS curve construction, Dual Bootstrapping to OIS, CSA spread calculation, Multi-Collateral pricing, Regression testing of Derivative Processing Systems, VAR engine adaption, CSA Risk Transfers, CSA Risk Sensitivity Generation, Risk Translation to Underlying Driver Risk, Gamma Hedging and Driver PnL Decomposition.
There are a lot of choices to be made along the way. My advice to any bank is to start now as it can easily take up to two years to get this over the line. The very first step is to make everyone from senior management, traders, middle office and finance aware of the road ahead.
Maroon Analytics is very well placed to advise any bank on the journey ahead as we have been there before.