All Questions
Tagged with interest-rate-swap forward-rate
18 questions
6
votes
1
answer
2k
views
Why are multiple custom curves (swap) built for one desk?
Currently in a journey of learning and getting my hands a bit dirty with Interest Rate Swaps.
Why there are multiple customized curves built by many even within one desk? For e.g. Short Rates desk ...
- 523
3
votes
2
answers
11k
views
Mid-curve swaption
I would like to know how the mid-curve swaption could inform us about forward volatility.
In my understanding it is a swaption on a forward starting swap.
Let us say the midcurve swaption expires ...
- 446
3
votes
1
answer
2k
views
Why can a swap option be regarded as a type of Bond option?
Why can a swap option be regarded as a type of bond option?
My idea: Suppose the swap rate of the swaption is $s$. Now consider a bond option expiring at $T$ with strike, $(P_K)_t = \dfrac{1}{1+s(T-...
- 523
3
votes
1
answer
674
views
Pricing of compounded swaps
As far as I understand, a compounded swap rolls up individual payments into one final payment which becomes:
$$
V(t_n) = N \prod_{i = 0}^{n-1}(1 + d_i L_i)-N
$$
where $d_i$ is the day fraction for ...
- 552
3
votes
1
answer
5k
views
How to compute for basis adjusted forward rate?
To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
- 89
2
votes
2
answers
8k
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 ...
- 21
2
votes
1
answer
2k
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 -
...
- 878
2
votes
1
answer
859
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 ...
- 149
2
votes
2
answers
672
views
Transform a 3M FRA Rate to a 6M FRA Rate
I have a question whether it is possible to transform 3M FRA rates to 6M FRA rates without having any spreads available. Let's give an example:
FRA 3M:
FRA 1x4
FRA 2x5
FRA 3x6
FRA 4x7
FRA 5x8
FRA ...
- 137
2
votes
2
answers
749
views
forward space vs zero space in finance jargon
Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ?
where does one start from when trying to dig into the meaning of this?
Thanks in advance.
- 107
2
votes
3
answers
1k
views
Are forward rates for an IRS computed between reset dates or between start dates?
In order to price the floating leg of an IRS I am computing forward rates for future coupons, but I'm not sure whether I have to compute such rates between reset dates or between start dates.
My ...
- 31
1
vote
1
answer
7k
views
Convert 3M rates to 6M rates using Basis Swaps (3M vs 6M)
How can I convert a 6M Libor rate e.g. 1Y Tenor to a 3M Libor rate using a basis swap 3M vs. 6M? I wanted to know the math and also an example would be great.
Update:
Example:
...
- 137
0
votes
1
answer
71
views
Relationship Between Forward Starting Swap Rates and Same-Tenor Forward Rates
New to all this. I'm playing around with a very basic swap pricer (in Excel, whose only input is the swap rate curve), and I noticed that although the 2y2y forward rate $f_{2,4}=\left(\frac{DF_2}{DF_4}...
0
votes
1
answer
109
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 ...
- 1
0
votes
1
answer
81
views
Interest Rate forward calculation [closed]
I have come across two formulas for the forward interest rate computation.These are given below.
1)((Df1/Df2)-1)/(T2-T1)
2) (R2T2-R1T1)/(T2-T1)
I do not understand when should i use which one of the ...
- 13
0
votes
0
answers
54
views
Which Discount Rate when Valuing Interest Rate Swaps as Forward Rate Agreements
Quick question about interest rate swaps and Forward Rate Agreements (FRAs). In Hull Chapter 4 (Interest Rates), to value an FRA he constructs the following portfolio:
Position 1 (FRA to receive $R_K$ ...
- 53
0
votes
1
answer
3k
views
Bootstrap daily OIS forward rate
Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap?
For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
- 49
-1
votes
1
answer
323
views
Basis Swap Dual Curve Calibration
The long end of the Libor swap curve needs to be constructed from Basis Swaps because there are no other instruments traded. Can please someone explain the concept of Dual Curve Calibration?
- 5,835