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.

365 questions
Filter by
Sorted by
Tagged with
1 vote
146 views

Understanding how markets predict BoC's policy interest rate decisions

I read in the newspaper things like, Interest rate swaps, which are based on market expectations about future rate decisions, are pricing in at least one Bank of Canada rate cut later this year, and ...
4k 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 ...
3k views

NPV calculation of past flows [closed]

I have a theoretical question concerning NPV calculation of financial products. I know how to calculate it when future flows have to be estimated, but I am wondering how to calculate past flows. In ...
607 views

EPE for interest rate swap

Hey how to calculate Expected positive exposure in the case of interest rate swap? Assume that I simulate $M$ interest rate paths for time grid $0=t_0\le t_1 \le ... \le t_N = T.$ What is the ...
151 views

P&L explain for swap?

I try to make a P&L explanation of a swap from the delta, gamma, to the N instruments of the rate curve (money market, futures and swap). I use a perturbative shock of 1bp for each instrument of ...
1 vote
80 views

forward starting interest rate swap trade settlement date

Say today is 13rd Dec 2022, For a spot staring swap, its settlement date would be 15th Dec 2022 assuming the settlment offset is 2 days. What is the settlement date for a one year forward starting ...
44k views

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 ...
763 views

1 vote
70 views

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
437 views

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 ...
312 views

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 ...
1k 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 ...
141 views

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 ...
2k views

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 ...
304 views

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 ...
1 vote
136 views

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 ...
1 vote
4k views

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 ...
109 views

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 ...
95 views

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?
166 views

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. ...
451 views

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 ...
307 views

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 ...
512 views

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.
6k views

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 ...
384 views

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 ...
1 vote
65 views

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 ...
409 views

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 ...
1 vote
89 views

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 ...
1 vote
656 views

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 ...
83 views

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