Questions tagged [interest-rate-swap]
The interest-rate-swap tag has no usage guidance.
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BLOOMBERG Strike vs Straddle Volatility
In Bloomberg's VCUB, what is the difference between the "strike" volatility and changing this option to "straddle"? It seems like the "straddle" vol should be the same as ...
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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 ...
CommunityBot
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Curve Trades - Forward Swap vs Swap(Payer and Receiver)
let's say I want to do a steepening trade. What would be the difference between
entering a swap starting in 5 years and lasting for 5 years (5y5y)
entering a payer swap with a tenor of 10 years and ...
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Why is carry divided by DV01 to scale it?
If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg.
When I read this on Page 2:
https://corporate.nordea.com/api/...
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Interest rate swap Profit and loss attribution
I am wondering how the IRS daily PnL will normally be attributed from trader's/market risk perspective.
Will it be broken down into three parts daily carry (Daily interest accrual), daily roll-down (...
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How Bloomberg calculates discount rates for zero rate curves?
I would like to ask about discount rates calculation algorithm by Bloomberg terminal.
In the image above is possible to notice the discount rate for each term. The short end, instruments from 1 DY up ...
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Stub rate and first fixing in IRS
I have 2 questions that probably are related.
Suppose there is an IRS that pays a 2% fixed rate every 6 months and receives the Libor 3 months (but paid every 6 months).
The swap starts today (March ...
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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 ...
CommunityBot
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How to combine DV01s from multiples maturities into fixed ones?
Suppose I have multiples maturities on my book of IRS trades , each one maturing in 15, 35 , 58, 65, 70, 74, 95 (...) days.
How do I decompose (or combine) the DV01 for each flow/maturity into fixed ...
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ATM interest rate swap dv01 vs off-market swap dv01
How significant is impact on dv01 of an at-the-money swap if rates move significantly?
For example: lets say a 5Y USD at the money swap has 4.6 duration. now, if the rate curve move by 150-200bps, ...
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Quantlib: Swaption volatility Data fo calibration
I am working with Quantlib and I use swaptions volatilities data to Calibrate the short rate model.
I was wondering what if we don't have these data?
can I model swaps and swaptions using QuantLib and ...
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Approximate dollar MTM of interest rate swaps
I'm definitely a fixed income tourist but I'm wondering if there's an easy way to back of the envelope approximate dollar PnL of an interest rate swap
For example, if I enter a $1m fixed 5y USD swap ...
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How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?
As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
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Fixed vs float swap interest rate risk
I have some technical questions about what are the best settings in Bloomberg to calculate the interest rate risk of a swap.
When Bloomberg calculates the DV01, it simply bumps the par swap curve by +/...
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Returns of an interest rate swap
I would like to calculate returns for a plain-vanilla (fixed-for-floating) interest rate swap. Consider, that I am long in USD 5-year swap rate, i.e. I'm holding a receiver swap for 5-year swap rate ...
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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 ...
CommunityBot
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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 ...
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OIS Fixed Rate - how to calculate on trade booking?
I am trying to understand how the Fix rate on a OIS trade is calculated at trade initiation. I understand this process for a Fixed V LIBOR trade non collateralized ( discount and projection curve are ...
CommunityBot
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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
...
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How do I set the fixed interest rate to offer in a swap?
Hypothetically, I want to offer a fixed interest rate swap on a asset that currently has a variable rate. This variable rate is somewhat volatile.
How would I derive the fixed rate I should offer?
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How to get forward rate fixing when valuating a swap
Suppose I want to value a (fwd) starting swap, that means I would like to calculate the fixed rate $S_{\alpha, \beta}(t)$. Note, I'm using Brigo's Notation here. We know that the discounted payoff of ...
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Term SOFR rate formula
The following website gives the specifications of the CME Term SOFR reference rates: CME Term SOFR.
Point 1 in the link above specifies that the tenors that are currently supported are 1m, 3m, 6m, and ...
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What is the Performance Total Return Swap (TRS)? How about Performance Fixed TRS and Performance Float TRS?
I just know these products recently: Performance Total Return Swap (TRS), Performance Fixed TRS and Performance Float TRS.
But cannot find a detailed explanation of the product, all I can find is an ...
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Why LIBOR discount and continuous compounding discount are different?
The reference is Fixed Income Securities by Pietro Veronesi.
As you can see, In Table 20.5 when the maturity is 1.25, the LIBOR Discount is 96.7402
However In Table 20.3 with same maturity, the ...
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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 ...
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How to value plain vanilla IRS as portfolio of 2 bonds?
Good afternoon!
I am reading a chapter in Hull's textbook about plain vanilla interest rate swaps. He provides example of pricing plain vanilla swap as a portfolio of floating-rate bond and fixed-rate ...
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Returns of interest rate swap
I would like to calculate returns for a plain-vanilla (fixed-for-floating) interest rate swap. Consider, that I am long in USD 5-year swap rate, i.e. I'm holding a receiver swap for 5-year swap rate ...
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Interest Rate Options - OTC vs Exchange, vol difference
I understand that Exchange Traded Interest Options (USD Libor 3m or Euribor 3m) trade with a lower volatility than the respective Cap or Floor for an equivalent structure.
Can anyone give any colour ...
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Calculation and Interpretation of EONIA Forward Rate
I am trying to bootstrapp the OIS Discounting Spot Rate curve and the EONIA Forward curve from a range of OIS EONIA instruments, based upon the referenced article 1.
My conundrum with understanding ...
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How do you identify nondeliverable swap
what is unique about NDS transactions, how can I identify them using certain parameters or attributes specific to NDS?
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Methodology to build a Fed Funds curve post LIBOR cessation
With the transition from LIBOR to SOFR, what is the market standard for building a Fed Funds curve? In the "old days", I believe that one would use Fed Funds futures for the front-end (i.e. ...
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Market convention for building the front-end of the SOFR discounting curve
In SOFR Discount Curve Construction in Nov 2021, @dm63 does an excellent job describing the way to build the SOFR discount curve. A few questions:
What is the market convention for building the ...
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USD swaps trading post LIBOR: the current state of the world (January 2022)
The USD interest rate swaps market has been transitioning from LIBOR to SOFR for some time. In the "old days" when swaps reset against LIBOR underlyings, there were a few "market ...
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VaR on Interest Rate Swaps
I am a newbie and was after a simple explanation on how VaR is calculated for a portfolio of IRS's.
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Use QuantLib Python to calculate Swap DV01
I would want to use QuantLib Python to calculate DV01 of an interest rate swap.
Initially I was thinking of calculating the fixed leg DV01 and floating leg DV01 separately, then add both legs DV01 ...
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Market Convention to Price Interest Rate Swaps (post LIBOR transition)
Prior to the onset of the Global Financial Crisis in 2008, interest rate swaps were priced using a so-called "single curve framework". Under this framework, the LIBOR curve was used to ...
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Floating swap payoff with rate determined on current instead of previous date
I am attempting to determine the payoffs a modified swap, in which the floating payments at a time $T_k$ are made on the current date (i.e. $L(T_k,T_{k+1})\equiv L_{k+1}(T_k)$) rather than at the ...
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SOFR Transition
I have few doubts regarding transition from IBOR to SOFR rates.
How will the method of calculating/estimating curve rates change after changing to SOFR?
Will there be any change in valuation ...
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Which Model Should I Use for Pricing USD Interest Rate Caps (7, 10, 30 year maturities) on 1Month Rates?
I am trying to price USD interest rate caps on 1M rates (e.g., LIBOR, SOFR, etc.).
The caps are designed to limit the exposure on non-callable USD Pay Float / Receive fixed positions in interest rate ...
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Definition / convention of statements receive 10s30s and boxes
I have a very practical question regarding the terminology of swap / rates trading. What is the exact definition of statements like receive 10s30s. I know that it is the spread between 30y and 10y ...
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interest rate swap schedules
Is there a source describing how the schedules(start, end, dcf, payment) involved in a basic IRS are computed?
Depending on when the dates are adjusted, the schedules can be different.
Thanks
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end-of-month or not for plain vanilla interest rate swap
Quick and hopefully simple question about a standard swap schedule. Let's say we have a plain vanilla 3y fix-flt interest rate swap with cpn-freq = 1, no stubs, in for example EUR.
Start date: 2021-11-...
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Annualizing the pay frequency of underlying swaps when bootstrapping the zero curve?
Say I'm looking to bootstrap two zero curves based on two swap curves with different underlying currencies and, consequently, two different pay structures in the swap contracts. For example, say I ...
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SOFR Discount Curve Construction in Nov 2021
On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended the forward-looking term rates based on SOFR published by the CME Group.
CME currently publishes Term SOFR for ...
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Why does the valuation of the floating leg of a swap only use the next payment?
At time $t=0$, swap has zero cost. In fact, both parties may have valued the swap differently based on their zero swap curve-but somehow they agreed. Once a swap is agreed upon it cannot be dissolved ...
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DV01 formula for an interest rate swap using OIS discounting
I am looking for a formula / approximation to calculate the PV impact of shifting the par swap rate of an interest rate swap in the multicurve setting, e.g. of a swap on 6m LIBOR with OIS discounting.
...
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Advice for automating swap curve construction
Let me start by assuming a simple single curve framework, whereby we take input instruments (mm,fra,futures,swaps etc) and strip out a discount-factor curve. Modern implementations of this are usually ...
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Real rates expectations
What are the drivers of real rates?
Nominal = real rates + breakevens
breakeven = inflation expectations and what about
real rates = ?
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Difference between OIS Rate and Fed Funds Rate
I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral.
Is ...
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