Questions tagged [interest-rate-swap]
An interest rate swap is a financial derivative where two parties exchange interest payments on a specified notional principal over a set period. One party pays a fixed rate, while the other pays a floating rate tied to a reference rate (e.g., LIBOR). These swaps help manage interest rate risk, hedge against rate fluctuations, and enable speculation on future rate changes.
414 questions
0
votes
1
answer
2k
views
Bootstrapping zero-rates from AUD swap rates
I have a pay fixed / receive floating interest-rate-swap on the AUD BBSY that I'd like to price for the purposes of accounting.
I understand the general process to be as follows (assuming single-...
- 627
2
votes
2
answers
3k
views
Curve Euribor - Euribor 3M
I'm setting up some Euribor 6M and Euribor 3M curves.
So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and ...
- 173
4
votes
2
answers
2k
views
IR Yield Curve and Fixing Dates
Consider two FRAs.
3x6 , Effective 3 months from now, terminates in 6 months. The floating leg payer pays 3-month LIBOR. Fixing date for LIBOR 40 business days. To price this at par, the fixed leg ...
- 161
2
votes
2
answers
25k
views
how to calculate a cross-currency swap in basis pt?
This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail...
My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
- 61
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
3
votes
1
answer
804
views
Basic question on LIBOR-OIS swap
I'm just starting a pricing class and am a little confused by a statement in a class reading (a fed report). It goes something like this:
"A bank borrowing at the 3-month LIBOR rate of 2.10
percent ...
- 131
33
votes
3
answers
60k
views
What is the Swap Curve?
What is the so-called Swap Curve, and how does it relate to the Zero Curve (or spot yield curve)?
Does it only refer to a curve of swap rates versus maturities found in the market? Or is it a swap ...
- 627
5
votes
1
answer
3k
views
Pricing an interest rate swap using Eurodollar futures
I see this posted but no answer given. I think it would be a good idea if we have a question on here to illustrate an example of how to price an interest rate swap.
So far, I understand that that for ...
- 627
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
8
votes
2
answers
944
views
Looking for a pricing library supporting Mutli-curve Framework
I am looking for a builder of Yield curves by tenors (O/N, 1M, 3M, 6M, 12M) respect to a given discount curve based on multi-curve framework as described below :
Interest-rate Modelling with Multiple ...
- 183
4
votes
1
answer
4k
views
EuroDollar vs FRA
I am not quite clear about this.
When people mention Eurodollar are they mean Eurodollar Futures?
One of the difference between Eurodollar and Forward Rate Agreement(FRA) is basically difference ...
- 73
4
votes
1
answer
2k
views
European Swaptions: does implied volatility of swap rates decreases both with start and tenor?
Does implied volatility of swap rates decreases both with start and tenor?
Given a Swaption price and a discount curve I calculate the swap_rate from the curve, then
I define implied volatility as ...
- 235
29
votes
6
answers
60k
views
how to derive yield curve from interest rate swap?
According to some textbooks, to derive the yield curve, quote
overnight to 1 week: rates from interbank money market deposit,
1 month to 1 year: LIBOR;
1 year to 7 years: Interest Rate Swap;
7 ...
- 2,231