1
$\begingroup$

Can you please confirm on the following?

The difference between TONA (also called TONAR), JPY Libor, TIBOR is that:

  • JPY Libor, TIBOR are based on quotes from panel banks. The difference between them is that Libor is the offshore yen rate based on UK banks quotes and TIBOR the onshore yen rate based on Japanese banks quotes.

  • TONA/TONAR is the overnight unsecured risk free rate that will replace Libor based on actual transactions right? Also, do you know where I can find its calculation methodology?

$\endgroup$
1
$\begingroup$

The OpenGamma guide (https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf) has info on both TONAR and TIBOR. It was published in 2013 so some info might now be out-of-date, but it's a useful starting point.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.