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7

Firstly, understand that the 1y Libor is not useful here; the swap is 2 6-month periods, which will each fix on 6m Libor. These days, the *ibor fixings at different tenors are essentially separate, and 0x6 & 6x12 do not compound up to 0x12. So we have 6m fixing at 0.63006%, and a 1y swap at 0.645% mid. To do this properly, we would need a discounting ...


5

The short answer is that Libor swap rates come from the market. They represent a series of cashflows in the future whose value is determined by the fixing, which the market participants have their own valuations of. Since the actual cash flows are now discounted using a separate funding curve, the swap prices embed both a prediction of future fixings and a ...


4

It depends a little what you mean by "current" but the CDS market developed a "standardized model" for transforming between upfront and spread-based quotes. The model depends on an agreed curve of risk-free rates. The LIBOR rates used for CDS settlement are available at: https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip This is not up-to-the ...


4

Regarding swaps, the current preferred fixings for IRS in various currencies are given below. As with all OTC instruments, you're free to use whatever you like when you agree a deal, though most banks will stick to particular fixings. Ccy Dom Int Alt Int AUD BBSW BBSW LIBOR CAD CDOR CHF LIBOR CZK PRIBOR DKK CIBOR EUR ...


4

First point to consider : some banks are by nature "positive" in their account to the central banks , for instance classical saving banks tend to get more deposit than loans; conversely others are more engage in loans activity (investments banks..) and are by "nature" borrowers on Interbank markets. Secondly (the point you underestimate), mandatory ...


4

Why does USD based security valuation have to give a thing about what London Banks think? Your question is based on false premises: the USD Libor is not determined by polling London based banks as you seem to believe, but banks on the London money market. The difference is important, as there are—of course—banks which are not based in London and active ...


3

The main problem is that you cannot achieve Libor in the markets. So the old-fashioned method of discounting at Libor doesn't work any more. As an example, if you compound up the 3m Libor with today's price on a 3x6 FRA, you won't get 6m Libor. Traditionally, that would mean arbitrage, but these days it's just a fact of life. You cannot achieve 3m Libor for ...


3

I think to have the answer: use qlBondPreviousCashFlowDate() pointing at your FloatingRateBond object to get the last date of payment; use qlInterestRateIndexFixingDate() to get the fixing date referring to the last payment date; use qlIndexAddFixings() to add a fixing rate to the fixing date you got above; repeat for each one of your bonds if they share ...


3

The reference rate used in Australia is the Bank Bill Swap Rate. According to Investopedia "The bank bill interest rate is the wholesale interbank rate within Australia and is published by the Australian Financial Markets Association (AFMA). It is the borrowing rate among the country's top market makers, and is widely used as the benchmark interest rate for ...


2

Here are your Australian LIBOR rates: http://www.homefinance.nl/english/international-interest-rates/libor/libor-interest-rates-aud.asp Couple points in addition: Every major financial market has an established rates market at which banks are borrowing and lending among themselves. In fact such transactions are performed every single day in order to ...


2

The importance here is that it actually does not matter in what time zone or market the libor rates are set. Key is that it is supposed (!!!) to be a gauge at what rate contributing banks could borrow funds at in the inter-bank market. Like you can go to any African country and borrow or lend US dollar, so can any Japanese, European, or American bank borrow ...


1

The interbank rate probably isn't reasonable given your second example. However, between the constant capital flows going back and forth between thousands of banks on a daily basis and the asymmetric nature of the banking model, it's difficult and unrealistic to determine a fair market rate between the two parties. As far as I'm concerned, bank A got the ...


1

If a bank lends 6m Libor and finances it by borrowing 3m Libor and borrowing forward 3x6 libor, this is not arbitrage, as the bank is assuming 6m credit risk whilst his financing is 3m credit risk. (There are also other factors like regulatory capital, tying up balance sheet for 6m, etc.) So the text book case where the 3x6 FRA (or front Eurodollar) is equal ...



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