Questions tagged [interest-rate-swap]
The interest-rate-swap tag has no usage guidance.
174
questions
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1answer
26 views
Find Interest Rate Swap BUMPs from Bloomberg in Excel
I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. ...
3
votes
1answer
76 views
Two questions on Interest-Rate Basis Swap compounding
I have 2 questions on Basis Swap compounding and market conventions. These obviously apply where the reset period is shorter than the payment period
Where both fixings have shorter reset period than ...
2
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0answers
51 views
Valuing TRYUSD currency swap on Bloomberg
Usually a leg in a swap is discounted using the corresponding OIS curve if the deal is collateralized and if collateral is posted in a different currency teh discounting happens with the corresponding ...
2
votes
2answers
91 views
Carry vs Roll-Down on a zero-coupon IRS
I am trying to understand the differences between carry vs roll-down on a zero-coupon interest rate swap.
Lets say we have a 10 day ZC IRS, meaning we will only swap once on maturity. We are a payer ...
1
vote
1answer
20 views
In a cleared inflation swap agreement, what determines how much “collateral” a party needs to deposit into the third party escrow account?
Does realized inflation or expected future inflation determine how much money needs to be placed into the escrow account each day?
1
vote
1answer
61 views
Interest Rate Swap curve: CMS vs. OIS?
I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions.
We received data from Interest Rate Curves called ...
0
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1answer
74 views
What happens to both sides of an inflation swap agreement if there is deflation?
If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI?
I.e. does he lose twice?
2
votes
2answers
61 views
What is the difference between a cleared interest rate swap and a OTC interest rate swap with collateral in theory
I understand the aspect that central clearing reduced counterparty risks. From the valuation side, am I right that cash flows for both trades will be discounted at the OIS rate?
The party that holds ...
3
votes
1answer
84 views
Difference between FRA and a zero coupon swap
Wanted to know the difference between an FRA and zero coupon swap with both legs having payment at maturity. If the zero coupon swap is forward starting, will it be equivalent to an FRA?
2
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0answers
59 views
Basic question on Plain Vanilla Interest Rate Swap pricing
I'm new to quant and would like to understand on pricing AUD Plain Vanilla Interest Rate Swap. In post/article/book often explain for long end, we use SWAP RATE that are observed in market. But I'm ...
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0answers
29 views
Is the ACT/ACT.AFB convention meant to supersede the ACT/ACT convention for interest rate swaps
https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf
The determination of day counts are slightly diferrent between ACT/ACT (ISDA) and ACT/ACT(AFB).
Is the latter more common ...
2
votes
2answers
130 views
Calculating Cross Currency basis swaps
I am trying to calculate cross currency basis swaps for personal use. I generally understand what they are (essentially swapping one currency for another currency on a floating interest rate basis) ...
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4answers
1k views
Why does the ultra long-end of a yield curve invert?
The shape of the yield curve (at least in the GBP Rates market) is upward sloping from the front end up to the long end (i.e. 30y), but then begins to become downward sloping as we go beyond 30y and ...
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0answers
34 views
IRS Valuation to calculate the expected exposure [closed]
I have several levels of fixed rate swap vs. Euribor 6 months from 2007 up to now. I would like to know how to calculate with these data the fixed and floating leg of the swaps.
This is a part of the ...
0
votes
1answer
68 views
Cross Currency swap - Bond Yields arbitrage
Could somebody explain me step-by-step how can I compute the cross-currency yield of a bond bought by a foreign investor and x-ccy swapped back into his domestic currency? I basically would like to ...
0
votes
1answer
64 views
Interest rate swap valuation date convention
When we value interest rate derivatives on any date $t$, we can estimate our future payments using some calibrated forward curve $f_s$, where $s$ is the spot date, and discount these back to $t$ using ...
1
vote
3answers
194 views
Interpolating the swap curve
Does anyone know how I can calculate the swap rate in between main tenors for specific dates? For example: what is the implied swap rate in 1 year, 60 days time.
Is there an easy way to do this in ...
1
vote
3answers
166 views
Bootstrapping zero coupon rates
How do we obtain discount rates to obtain zero coupon rates given only swap rates? what is the procedure? Also what exactly is curve calibration?
0
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0answers
48 views
Bootstrapping with QuantLib using deposit rates and Swap rates
I'm trying to bootstrap and to get a zero coupon yield curve with maturities ranging from 2019 to 2059
Here is my code: `
...
3
votes
2answers
124 views
ISDA SIMM swap sensitivities
Most of the commercial SIMM models require sensitivities to be passed in in CRIF format. The documentation mentions that "par sensitivities" need to be used. What exactly is a par sensitivity? When we ...
0
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1answer
50 views
Swap Pricing - Using forward rates vs using par bond after first floating payment
There seems to be two different methods I have come across for valuing a Interest Rate Swap - specifically the floating leg.
One method described by Hull: incorporates the cashflow from the first ...
2
votes
1answer
111 views
Price Alignment Interest(PAI) Convexity Effect
I've been looking at convexity adjustments in ED's for several years(more opportunities a few years ago then currently) and was wondering if my thinking on PAI impact on swaps convexity is correct.
...
0
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0answers
83 views
Vega for Constant Maturity Swaps
Why does a Constant Maturity Swap have a positive vega? Is it because of the convexity? How does one hedge it?
0
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1answer
84 views
analytical formula for FV of fixed rate of a IRS [closed]
IRS plain vanilla
- expiry in 5 years
- principal is 1$
- semianual payment
How could the analytical formula be derived for the fair value of the fixed rate (initially no value of the swap)?
1
vote
1answer
90 views
daycount of the yield curve
Complete characterization of an interest rate requires a few elements:
day count
compounding frequency
the rate itself
start date and end date
That said, I notice that day counts are never displayed ...
0
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0answers
59 views
Bootstrapping spot rates based on swap rates using QuantLib
I am bootstrapping the shibor curve and fr007 curve using swap rates in China. I created my own index like following:
...
1
vote
1answer
248 views
Swaption valuation across time using vcub
On Bloomberg one has access to the rates vol cube with the VCUB function. For a given currency, today, one sees Black implied volatilities for swaptions of various expiries and strikes, for forward ...
0
votes
1answer
50 views
Multi-legged Swap pricing
can anyone guide me how to price a multi-legged swap and whether I need Monte Carlo / LMM based approach or if there is a closed form solution.
Receive leg
"Libor 3m +1%"
Payment leg
If Libor is ...
2
votes
2answers
147 views
In Arrears Swap - what accrual period applies?
In Arrears Swap, the floating rate is reset and paid on the same date.
What accrual period is applied to compute the payment -
If the dates are t1, t2, t3 ...tn.
(assume overlapping date schedules ...
0
votes
1answer
152 views
Calculate forward discount factors and forward reference rate when discount factors are known
I am trying to learn how to value interest rate swap through portfolio of FRA's(forward rate agreement).But I have got stuck in calculation of floating leg.
Here is the scenario as given below for ...
1
vote
1answer
120 views
What's the difference between instantaneous forward rates and observable forward rates?
Source:
http://docs.fincad.com/support/developerFunc/mathref/LIBORMarketModel.htm
"In contrast to models that evolve the instantaneous short rate (Hull-White, Black-Karasinski models) or ...
1
vote
1answer
131 views
Linear Interpolation around End of Month (EOM) for IRS with standard rolls
I have a USD IRS S/A v 3M LIBOR with the following dates:
Effective: 30th April 2018
Maturity: 28th April 2028
(Rolls day of month = 28)
Therefore stub period runs from 30th April 2018 to 28th July ...
1
vote
1answer
416 views
Difference between IRS and OIS
Is the understanding right that OIS can be accessed only by banks whereas IRS is for corporates.
Also, since corporates borrow at Libor + spread, to hedge Libor I use IRS.
Banks can borrow overnight ...
1
vote
1answer
151 views
Bermudan Swaption
Is there an equation of the kind of call-put parity for Bermudean swaptions ? (maybe an inequality )
Is there an intuitive description of what would be an optimal exercise moment ? Intuitively I ...
3
votes
1answer
407 views
IMM Swaps - Accrual & Fixing Schedule
I am wondering how accrual periods & reset dates on Quarterly-IMM swaps are different to normal swaps (in terms of conventions). For example:
Normal Swap:
...
1
vote
1answer
49 views
Port a model dependent swaption sensitivity to a new model
I have a short rate model in which I have (among others) the following metric (for leverages) for a swaption : $$L = \frac{\frac{\partial}{\partial r}V_0^{\textrm{Swaption}}}{\frac{\partial}{\partial ...
0
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0answers
94 views
Curve Building + Swap Pricing [duplicate]
Assume Swap means a USD Swap with standard conventions (semi-annual fixed payments and quarterly floating payments, etc).
3
votes
1answer
343 views
Trading Jargon - Interest Rate Swaps / Bond Trading
I was going through some reports but having hard time with the jargon. When I google them online I came across the page: http://volcurve.blogspot.com/2007/10/carry-and-roll-down-back-to-basics.html
...
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0answers
319 views
Interview question on interest rate spread trade
Consider this interview question:
Tell me how you'd construct a risk neutral cross country trade on the 2 year – 10 year interest rate spread in Germany and the U.S.
What does "risk neutral" mean ...
-1
votes
1answer
1k views
Bloomberg SWPM: Day count to calculate discount factor for US0003M
I'm trying to replicate price I get for CCIRS in SWPM. This is USD3m float vs RUB 1Y. Second leg doesn't matter for my question.
Suppose today is 7th of Jan 2019, deal date. Settlement will happen on ...
1
vote
1answer
178 views
Basic question on USD Interest Rate Swap
I am just starting out as a rates and derivatives trader.
Can someone please recommend some books for trading USD interest rate swaps (including risk management)?
Any additional guidance would be ...
2
votes
1answer
640 views
Swaption annuity factor
In H. Corb's book about interest rate swaps and oder derivatives, the present value of an T into n payer swaption is given via
$A\sigma\sqrt{T}\left[\frac{1}{\sqrt{2\pi}}e^{-\frac{d^2}{2}}+d\,\...
1
vote
2answers
113 views
Arbitrage on Libor and swap market
I must be wrong here, but still want to know where I am wrong. I found the data of Libor rate and swap rate from this link: http://www.interestrateswapstoday.com/libor-rates.html
At the time, I read
...
1
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0answers
21 views
Quantitative impact of Dodd-Frank Act on risk management
The US Dodd-Frank Act (DFA) introduced mandatory central clearing of standard (e.g. plain vanilla) swaps for big financial institutions in the US in 2013.
It might be a broad question but: what have ...
2
votes
2answers
453 views
Black and Normal Model for Caplet using Python
I am able to Price Caplet using Black 76 model in Python. However, I am unable to price the same with Normal Model. Can anyone suggest what is missing ?
I am valuing caplet that caps interest rate on ...
1
vote
1answer
188 views
Why are interest rate swaps the most popular interest rate derivatives [closed]
Interest rate swaps are the most popular interest rate derivatives. Is there a reason why they are more popular than other interest rate derivatives (e.g. forwards, futures)? Is it because they were ...
2
votes
1answer
248 views
How are Interest Rate Swaps Quoted
Im not sure if this is the right place to ask this question or whether Personal Finance & Money would be a better place. Basically I know that initially interest rate swaps are quoted based on the ...
-1
votes
1answer
641 views
Swap Curve and Forward Libor Rates
How does the (interest rate) swap curve incorporate forward libor expectations?
2
votes
3answers
105 views
heding bond risk with swap
How would a bond trader hedge his/her interest rate risk? A nature way is to hedge it with interest rate swap. Is this a choice in practice ? is their any risks associating with this hedging strategy. ...
