Questions tagged [interest-rate-swap]
The interest-rate-swap tag has no usage guidance.
274
questions
0
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1answer
79 views
NPV of Interest Rate Swap not coming to be 0 at initiation
I am using the iPython notebook published by Gouthaman Balaraman at [http://gouthamanbalaraman.com/blog/interest-rate-swap-quantlib-python.html][1]
This is to value the Interest Rate Swap. I am ...
2
votes
3answers
152 views
Curve Trades - Forward Swap vs Swap(Payer and Receiver)
let's say I want to do a steepening trade. What would be the difference between
entering a swap starting in 5 years and lasting for 5 years (5y5y)
entering a payer swap with a tenor of 10 years and ...
0
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0answers
28 views
Hull-White-1F swaption price Parameters using tf_quant_finance
Sorry for this rather general question but im new in this field.
I'm asked to model the Expected Expsoure of an interest rate swap.
The Short Rate should be modelled via a 1factor Hull-White model:
$...
0
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0answers
23 views
How to calculate net exposure on a Interest Rate Swap (and on derivatives in General)?
I would like to know how to measure Exposure on swaps (IRS, TRS...) in general .
Example, if a party A has a OTC position of 100 million USD in IRS with party B, is party A exposure = 100 million ...
1
vote
0answers
42 views
forward LIBOR curve bootstrapping
how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info:
par rates of a set of OIS
fixed 6M LIBOR rate
par rates of a set of Swaps which the underlying ...
3
votes
0answers
96 views
How to simulate interest rate index fixings?
When calculating the PV of an interest rate derivative (IRD) that is linked to a rate index $-$ e.g. an interest rate swap $-$ we usually require the actual, or projected, index fixings in order to ...
0
votes
0answers
11 views
How to compute CME IRS daily close quote from ['Zero', 'DF'] in CME archieved IRS files?
I am looking at CME IRS data.
CME archived irs data has following format:
...
1
vote
1answer
103 views
Quick rule of thumb for DV01 and CS01 calculations
If someone tells me there is a IRS and a CDS both with 10M notional and 5y maturity, is there a reliable quick calculation that I could easily do mentally to approximately calculate their ...
0
votes
1answer
97 views
Duration of Floating rate bond
I have read in several places that the duration of a floating rate bond is simply the time until next coupon payment, because the upcoming coupon payments are not known. I have 2 questions here:
Why ...
0
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0answers
59 views
Plotting a CSA curve in QuantLib
IRS under a CSA
Let's consider an example of Interest Rate Swap under a CSA.
To calculate discount factors that can be used to discount cashflows in one currency, $C_{1}$, collateralized in another ...
0
votes
2answers
72 views
Compute forward swap rate from spot swap rate?
I am pretty new to interest rate swap and this question might sound silly.
Why does 3y2y (3yr forward and 2yr tenor) swap rate roughly equal to (5*5y swap - 3*3y swap) / (5-3)?
Any explanation would ...
2
votes
1answer
548 views
Can an IRS have a different payment calendar by leg?
I have to model IRS in an IT system and I have a question related to this modeling.
Can an IRS have a different payment calendar by leg ?
Thanks and regards
1
vote
0answers
60 views
Bootstrapping EURIBOR curve
I’m trying to bootstrap a 1m, 3m and 6m euribor curve.
The data I’m using is 3m Euribor swaps, 1m/3m basis spreads and 3m/6m basis spreads. I’ve successfully used quantlib to bootstrap a 3m curve but ...
2
votes
1answer
116 views
SOFR Transition
I have few doubts regarding transition from IBOR to SOFR rates.
How will the method of calculating/estimating curve rates change after changing to SOFR?
Will there be any change in valuation ...
1
vote
1answer
82 views
Collateral on Derivative Position
Let say a bank enters an Interest rate swap with a counter-party, and this trade is collateralised.
I have heard about a specific term in such collateral agreement, wherein it states that the interest ...
0
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0answers
85 views
Price of Interest Rate Swap (Float-Float)
Let say I have 2 Forward start Float-Float Interest Rate Swaps starting in 1 year and 2 years and both have 5 years of life.
I know the prices of both these swaps say $P_1$ and $P_2$
Given this ...
1
vote
0answers
46 views
DV01 on IRS giving error in Quantlib for ZAR curve “1st iteration: failed at 14th alive instrument”
I am at my wits end to calcualte the DV01 of a swap but keep getting the error "RuntimeError: 1st iteration: failed at 14th alive instrument, pillar May 28th, 2024, maturity May 28th, 2024, ...
1
vote
2answers
124 views
What does it mean for a coupon bond to have “par value”?
I am doing the Interest Rate Models course on Coursera. In the third lecture of the second week, the lecturer provides this lemma:
Lemma 1
A coupon bond has par value at $T_0$ if and only if its ...
-1
votes
1answer
152 views
Whos OIS rate? Is there only one?
I have a hard time understanding the OIS rate. My understanding is that this is the rate someone is willing to exchange federal funds rate over say 10 years to someone else. For example, some bank pay ...
3
votes
2answers
131 views
EPE for interest rate swap
Hey how to calculate Expected positive exposure in the case of interest rate swap? Assume that I simulate $M$ interest rate paths for time grid $0=t_0\le t_1 \le ... \le t_N = T.$ What is the ...
0
votes
1answer
44 views
How to interpret negative fixed rate in Vanilla IRS [closed]
Currently a vanilla 4Y EUR vs. 6M Euribor IRS has a negative price e.g. -0.35%.
I do not understand how to interpret the swap when the fixed rate is negative. If I am the fixed rate payer in this swap ...
1
vote
1answer
87 views
Work out example of Valuation adjustment
Currently, there are many valuation adjustments for the fair price of a derivative instrument, when pricing is based on RFR. One of such adjustment is ...
4
votes
2answers
254 views
Different types of swaps and generalized pricing structure - correlation swap, variance swap, volatility swap, gamma swap, etc
I am very new to derivatives pricing, and I am currently trying to learn these on my own.
As far as I can tell, most of the derivatives that are simple (in the sense of having a constant strike that ...
0
votes
0answers
58 views
Is there no problem when par rate is used for IRS stress-test?
I want to do stress-test such as principle component analysis on IRS(interest rate swap) in order to calculate risk for the future change in interest rate. However it is so confusing which interest ...
1
vote
1answer
85 views
Cash flow mapping on multi curve framework
I am trying to map cash flows according to FRTB pillar dates, on an Interest Rate Swap fixed Vs Euribor 6 months. Using the sensitivity preserving approach, under the OIS framework, this has to be ...
1
vote
2answers
129 views
Repricing SOFR Quotes and Non-Zero NPV
I generated/calibrated a SOFR Curve using Quantlib Python and would like to know why when repricing the swaps have non-zero NPVs. Appreciate any assistance. Thank you.
Parameters
...
0
votes
0answers
45 views
Collateral and discounting of future cash flows
I am a beginner in this space and did some research on how the collateral posted affects the choice of the discounting curve in derivatives transactions.
We have two scenarios based on the PV of a ...
0
votes
0answers
56 views
OIS Floating Leg Value at Swap Start with OIS discounting with payment lag
Is it safe/OK/acceptable to assume that $PV_{float}=1$ at on a Swap that projects and discount with the same OIS index, at starting date, if payments are done with a 2D lag i.e. $t_{pay} = t_{...
0
votes
1answer
148 views
Swap data- couldn't find any
I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
0
votes
0answers
32 views
CCIRS Valuation - Discount rate adjustment
I am trying to value a CCIRS fixed USD vs fixed EUR in Bloomberg collaterized in EUR with a 10y maturity.
Are there any adjustments I need to make to the USD vs EUR OIS discount curve as the NPV is ...
1
vote
1answer
154 views
OIS example in Hull's book
In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \$100 ...
0
votes
1answer
46 views
Swap Spread Positions with Duration Bias
In practice, how are swap spread positions actually sized and constructed between the two legs? I would suppose the two legs are simply matched in notional terms.
However, in practice, do traders ever ...
1
vote
1answer
138 views
QuantLib constructing yield curve error: root not bracketed
much appreciated if anyone can help with the below, basically i'm trying to construct a yield curve using some real market data. I have pasted the python code below. I use a list of swap rates and ...
0
votes
1answer
227 views
Gamma/Convexity of a Swap vs a similar bond
As a rule of thumb, how would the duration and convexity of a 30y UST bond paying X% compare to the duration and convexity of a matched maturity vanilla interest rate swap, with a similar fixed rate.
...
1
vote
1answer
137 views
Understanding Asset Swap Spread Example
Here is an overview of the asset swap spread I found online: https://www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf
I can't seem to make sense of the numbers in this example:
Specifically, ...
0
votes
1answer
229 views
in bloomberg, how do they calc dv01 per leg of a IRS
note: i am asking about dv01 per leg.
i see the fixed leg has virtually all the dv01, floating has hardly any, which tells me they are treating each leg as a bond in some way.
it looks like they calc ...
0
votes
1answer
144 views
What is the difference in the two swap rate as seen in this link? [duplicate]
https://www.chathamfinancial.com/technology/us-market-rates
there are two swap rate, Swaps – Semi-bond and Swaps – Monthly Money. What is the difference between the two rate?
0
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0answers
40 views
Why Swap rate is accompanied with par yield?
Recently I got some question about Spot Curve which is extracted from Swap rate.
And the logic starts with this : Fixed rate bond's value is equal to Floating rate bond's value "at reset date&...
0
votes
1answer
82 views
Zero notional on swap leg
Can there be a swap with zero notional on one leg alone? If so, what is the swap used for ?
9
votes
3answers
505 views
LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking
This question emerged from comments in this feed: OIS rate to build Term structure.
I was wondering how the float leg of an IRS will look like in a post-LIBOR world. Assume the following time-line, ...
3
votes
4answers
789 views
What is the relation between the USD Swaps Rates and US treasuries?
I asked this question HERE and redirected to https://quant.stackexchange.com
I understand a swap rate is the fixed leg on a IRS (source), and a swap spread is the difference between a swap rate and ...
1
vote
3answers
247 views
Interpolating Libor 9M rate?
Libor atm is:
3M = -0.54486 %
6M = -0.52514 %
9M =
1Y = -0.47443 %
How to retrieve the 9M Libor rate?
1
vote
0answers
49 views
Swap curve is unsmooth at front end with naive interpolation
I am looking at swap curve building at front end and find it difficult to get a smooth forward curve with a fast generic algorithm. For example, EUR 6m curve has 6m deposit, and then a series of FRAs (...
4
votes
2answers
966 views
Difference between OIS Rate and Risk-Free Rate
What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...
-1
votes
1answer
113 views
Impact of fixing on the valuation of derivatives
I would like to know what is the impact of a fixing on the value of a fixed vs floating interest rate swap (IRS). Also, I have the same question about the fixing impact on a cross currency swap?
On a ...
4
votes
1answer
191 views
Transition to SOFR Swaps and single curve pricing
As in the US there is a push to replace IBOR based swaps with SOFR rate does that mean that SOFR swap pricing will return to using a single curve framework as LIBOR swaps did pre the financial crisis?
0
votes
1answer
84 views
Replication of European swaption
Suppose we have a European payer swaption with 5-year maturity and 10-year tenor. The underlying is clearly the 10-year tenor payer swap. Does it mean that to replicate the swaption I need to ...
0
votes
0answers
292 views
Bootstrapping Swap Curve
I am trying to get the zero rates from the swap curve for chilean pesos (vs Camara). I tried this code (from a previuos question similar to mine from other person) and I am very close to get the ...
2
votes
0answers
248 views
How to find the risk-free rate and dividend rate for S&P 500 index options?
I'm currently working on a project using S&P 500 index options(European) data. I haven't done any empirical experiments before, so I'm confused how to find the corresponding risk-free rate and the ...
1
vote
1answer
244 views
Forward Swap Rate calculation using Quantlib
Here, we have an example for the calculation of Forward Swap Rate - How to compute forward swap rates?
Below is my Forward Swap -
...
