Questions tagged [interest-rate-swap]
The interest-rate-swap tag has no usage guidance.
256
questions
1
vote
1answer
53 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
84 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
...
1
vote
0answers
30 views
Finding default Offsets/Adjustments for CMS indices
I'm trying to find the standard or default values for Offsets for CMS indices based on USD Libor. Specifically, I'm looking for the following for CMS indices:
Forward Rate Offset i.e. the default ...
0
votes
0answers
35 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
39 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
110 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
28 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
113 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
41 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
68 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
116 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
92 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
106 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
86 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
votes
0answers
36 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
71 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
votes
3answers
380 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
573 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
168 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
43 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
567 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
107 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
97 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
65 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
266 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
86 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
162 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
votes
1answer
78 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
votes
1answer
120 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
95 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
750 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
275 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
175 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
74 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
251 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
votes
0answers
45 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
69 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
979 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
216 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
votes
0answers
461 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
128 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
91 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
172 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
114 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
76 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
votes
0answers
66 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
votes
0answers
119 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
votes
1answer
418 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 ...
1
vote
0answers
77 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 ...
