Questions tagged [interest-rate-swap]
The interest-rate-swap tag has no usage guidance.
244
questions
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1answer
40 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 ?
8
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3answers
249 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
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4answers
291 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
84 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
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0answers
38 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
229 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
100 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
0answers
79 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
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1answer
43 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
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0answers
102 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
53 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
69 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 -
...
0
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1answer
70 views
How to implement the Gaussian one factor model for Short rate
I am struggling to understand how I should use the Gaussian one factor model for short rate for valuation of a Swaption. Below is my ...
0
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1answer
76 views
Interest rate swap performance attribution
I have learned some attribution models such as Campisi. It decomposes the return of bond into treasury return, spread return, and coupon return. It works like:
$$r = y\times dt - D \times dy_\text{...
0
votes
1answer
73 views
Optimising PnL on an interest rate swap
I recently just got asked the below question. Please help.
"You are about to execute a zero fixed rate vs. Float rate swap under daily cash margining with a client in a normal swap rate curve ...
4
votes
2answers
473 views
Swap curve construction
I am new to this area so my question might be basic to many but please answer.
For valuing interest rate swaps how will we define which curve to take, like sometimes we use usd 3m curve, or usd 3mv 6m ...
3
votes
2answers
261 views
Can we think of Overnight Index Swaps as short-term IRS?
OIS are a series of fixed-rate cashflows discounted at the overnight rate, swapped for overnight (floating) rate.
IRS are similarly discounted fixed-rate cashflows, swapped on an IBOR-floating rate.
...
1
vote
1answer
122 views
How are SOFR futures contract quotes determined?
I am currently conducting a research on SOFR and have a small question.
Suppose I am in June right now and on the CME website I see SOFR Futures quote for the month of September to be 98.6786.
I wish ...
0
votes
1answer
38 views
How to calculate basis swap fair spread Using Quantlib 'floatfloatswap'?
I am trying to calculate a single currency basis swap by using the Quantlib floatfloatswap function.
Please advice if I am doing wrongly.
...
0
votes
1answer
138 views
float float swap in quantlib
I'm using quantlib to calculate a fair spread of Libor/OIS swap. I have read the reference of ql.Swap and ql.FloatFloatSwap. But the document is too vague. I totally can't understand what parameters ...
0
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0answers
43 views
Market pricing of forward US Treasury rates
What instrument(s) are used for forward pricing of US Treasuries? I know that Eurodollar futures are used for the market pricing of Libor in the future, but treasury futures only have contracts 3 ...
1
vote
1answer
67 views
What are the differences between hedging with swaps, options or futures? [closed]
For instance if a bank wants to hedge against interest rate risk, it could use interest rate swaps, or options or futures contract. Or in any other example, when a manager is hedging against risks.
...
3
votes
1answer
509 views
What is Dual Curve Bootstrapping? And how to do it, with an example?
I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve.
1) I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear ...
2
votes
2answers
126 views
Quantlib: convert par swap rates to zero rates back and forth
I built a zero-coupon curve out of a generic par swap rate curve (Step 1) and I am trying to recover the swap curve back from the zero-coupon curve (Step 2).
Step 1 works but not Step 2. I get close ...
0
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0answers
275 views
How to build the 3 month LIBOR Forward curve through Swaps?
In my research, I found that you can build 3 month LIBOR Forward curve using Eurodollar futures and Interest rate swaps. I want to understand how they can be built from Swaps.
How can I find the ...
1
vote
0answers
37 views
Interest Rate Swap Question
I am new to IRS. Pay 2Y HKD-USD IRS spread. It is a trade idea recommendation. Can someone explain what this trade entails? Does it mean paying fixed and receiving 3m USD LIBOR over 2 years? Please ...
0
votes
2answers
87 views
What is the best way to hedge a position with negative interest rate?
Suppose we have a following situation:
$1).$ Company A takes a loan from Bank A at a floating interest rate.
$2).$ In order to offset the payments at floating interest rate, Company A enters into an ...
0
votes
0answers
53 views
Sign of DV01 for FRA and IR Swap and Their Relationship
I'm confused with the sign notion (positive or negative) of DV01 for FRA and IRS.
Say if I short FRA and also long IRS (pay fixed receive Float) with same underlying, does that mean both dv01 of these ...
0
votes
1answer
91 views
Payer and Receiver Swaption
What is a delta of a payer and a receiver swaption? Is it negative for receiver swaption and positive delta for payer swaption?
0
votes
2answers
75 views
Value a Swap with Custom Coupons with QuantLib
I'd like to valuate a custom Libor3M - Fix swap with QuantLib in Python. With custom I mean, custom starting/end/payment dates for every coupon, a fixed coupon in the float leg (starting_date < ...
0
votes
1answer
71 views
Splitting a spot swap into a forward swap and a 3 month libor
I read the following statement:
We can construct a 5 year swap using 3 month libor combined with a 3mo-4.75yr forward swap, weighted by the dv01s of each part.
I am not sure I understand how this ...
0
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0answers
32 views
Bond New issue swap pricing
Hi Im trying to understand the different part of the pricing of swaps for an issuer who want to swap his issuance, resulting in the swap dealer paying fixed. Im a little confused as to how it works, ...
3
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0answers
99 views
Libor transition to SOFR - swaps after 2021
Assuming that Libor will fully transition to SOFR by the end of 2021. How are swap rates after 2021 currently priced to reflect this? For example, if I am looking at 5 year US swap rate, doesn't this ...
0
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1answer
250 views
Interest Rate Swap Delta ladder, under OIS Discounting
I've been looking on some information when it comes to vanilla Interest Rate Swaps, and building delta ladders under a multicurve environment. IR Swaps - Curve sensitivity at maturity node, this ...
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vote
0answers
59 views
Different FEDFUND INDEX use for Basis swap with LIBOR and SOFR
I am trying to understand the compounding in Basis Swap. I had 2 type of basis swap trade as below
USD SOFR FF BASIS LCH – compounded FF (USD-Federal Funds-H.15-OIS-COMPOUND)
USD LIBOR 3M FF 3M BASIS ...
2
votes
1answer
263 views
How to compute forward swap rates?
I am trying to compute shocks on the forward swap rates based on shocks to the swap rate curve (aiming at repricing consistently a set of swaps and swaptions based on a shock to the swap curve):
It ...
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0answers
29 views
Models for derivative portfolio composition
I focus on interest rate derivatives. I am looking for theoretical references which would model how financial institutions optimally choose among the different types of existing instruments (options, ...
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0answers
179 views
What are reset periods/dates in relation with interest rate swaps?
Let's assume I have a 2-year fixed-floating swap, the floating leg has a quarterly reset.
Does this mean the valuation is done every 3 months for the floating leg? (and the total value of these 4 ...
0
votes
1answer
92 views
In an interest rate swap, is the first payment based on the floating and fixed values set at inception?
Let assume 2 parties agree a plain vanilla swap with the following terms:
Notional: $100,000
Length/Tenor: 3 year
Payment/Settlement Periods:
Annual Start Date: 01/01/2021
Floating Rate on Start ...
0
votes
2answers
504 views
Par par asset swap mechanics
Can a market practitioner explain how par par asset swaps work? I understand the swap fixed leg has the same details as the bond i.e. the fixed rate is equal to the bond coupon rate. The way I look at ...
1
vote
0answers
76 views
Uncollateralized cross currency swap valuation
I want to value an uncollateralized cross-currency swap to exchange EURIBOR 6M for JIBAR 3M (Johannesburg Interbank Average Rate).
I have a few questions:
What discount curves should I use?
From ...
0
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0answers
61 views
When working with interest rate swaps, how many decimal places should be used for LIBOR rates, swap rates and discount factors?
When working with interest rate swaps (I'm building a calculation spreadsheet), how many decimal places should be used for displaying and working with LIBOR rates, swap rates and discount factors?
My ...
1
vote
1answer
84 views
When pricing interest rate swaps at inception, should the fixed rate or floating rate be priced first?
In an interest rate swap, when pricing at inception (e.g. making sure the NPV is zero at inception), is the fixed rate set first and then the floating rate calculated (or vice-versa, e.g. floating ...
2
votes
1answer
219 views
Inflation swaps rate vs. Break-even rate
Can someone explain me the difference between zero coupon inflation swap rate and breakeven rate? For example, currently, US 10y zero coupon inflation swap rate is about 1.4%, while US breakeven 10y ...
1
vote
0answers
43 views
How determine swap rate with binomial tree
The risk free rate is $0,01$ while the risky rate follows a $2$ period binomial model and the risky rate at time $t=0$ is $1$, where $u= 1.5$ and $d=0.6$.
How can I determine a swap rate of IRS with ...
0
votes
1answer
286 views
Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve
I would like to ask about swap zero curve calculation algorithm used by Bloomberg. Below is a plain vanilla EUR IRS. I want to calculate >= 2 year spot rates from the market rates. I don't know how to ...
0
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1answer
42 views
Back of the enveloppe forward irs pricing
trying to have a back of the enveloppe way of working out generic forward starting swap rates like 2y2y or 5y3y to put in a spreadsheet without too much loss of accuracy. Whats a good way to look at ...
0
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0answers
63 views
How Can I determine Swap rate?
I should calculate a swap rate of IRS contract by knowing that the risk free rate is $r(0) = 0.5$ and the defaultable rate, $r_1$, evolves in discrete time following a 2 period multiplicative binomial ...
0
votes
1answer
47 views
Why do increasing spot rates have to be equal to or larger than the corresponding par rates?
Definitions
Spot rate: the interest rate applied to a given spot investment to be repaid at maturity, as a single cash flow.
Par rate: the interest rate such that the PV of the cash flows (lets say ...
0
votes
1answer
974 views
STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing
if someone could provide some clarity on the below:
What is meant by 'Implied FX-OIS Basis'? For example: "ON JPY trading at parity, 1W implied OIS basis moved 70BP" and "3M Implied OIS basis moved ...
