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.
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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?
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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 ?
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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, ...
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Interpolating Libor 9M rate?
Libor atm is:
3M = -0.54486 %
6M = -0.52514 %
9M =
1Y = -0.47443 %
How to retrieve the 9M Libor rate?
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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 ...
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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 ...
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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 (...
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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 ...
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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 ...
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Collateralized Interest Rate Swap
I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are ...
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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 ...
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What happens to both sides of an inflation swap agreement if there is deflation?
If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI?
I.e. does he lose twice?
CommunityBot
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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 ...
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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 ...
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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 -
...
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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 ...
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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{...
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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 ...
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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.
...
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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 ...
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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.
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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?
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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 < ...
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daycount of the yield curve
Complete characterization of an interest rate requires a few elements:
day count
compounding frequency
the rate itself
start date and end date
That said, I notice that day counts are never displayed ...
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When pricing interest rate swaps at inception, should the fixed rate or floating rate be priced first?
In an interest rate swap, when pricing at inception (e.g. making sure the NPV is zero at inception), is the fixed rate set first and then the floating rate calculated (or vice-versa, e.g. floating ...
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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 ...
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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 ...
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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 ...
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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 ...
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Par par asset swap mechanics
Can a market practitioner explain how par par asset swaps work? I understand the swap fixed leg has the same details as the bond i.e. the fixed rate is equal to the bond coupon rate. The way I look at ...
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What are reset periods/dates in relation with interest rate swaps?
Let's assume I have a 2-year fixed-floating swap, the floating leg has a quarterly reset.
Does this mean the valuation is done every 3 months for the floating leg? (and the total value of these 4 ...
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In an interest rate swap, is the first payment based on the floating and fixed values set at inception?
Let assume 2 parties agree a plain vanilla swap with the following terms:
Notional: $100,000
Length/Tenor: 3 year
Payment/Settlement Periods:
Annual Start Date: 01/01/2021
Floating Rate on Start ...
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Uncollateralized cross currency swap valuation
I want to value an uncollateralized cross-currency swap to exchange EURIBOR 6M for JIBAR 3M (Johannesburg Interbank Average Rate).
I have a few questions:
What discount curves should I use?
From ...
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How determine swap rate with binomial tree
The risk free rate is $0,01$ while the risky rate follows a $2$ period binomial model and the risky rate at time $t=0$ is $1$, where $u= 1.5$ and $d=0.6$.
How can I determine a swap rate of IRS with ...
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Back of the enveloppe forward irs pricing
trying to have a back of the enveloppe way of working out generic forward starting swap rates like 2y2y or 5y3y to put in a spreadsheet without too much loss of accuracy. Whats a good way to look at ...
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Why do increasing spot rates have to be equal to or larger than the corresponding par rates?
Definitions
Spot rate: the interest rate applied to a given spot investment to be repaid at maturity, as a single cash flow.
Par rate: the interest rate such that the PV of the cash flows (lets say ...
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Calculating Cross Currency basis swaps
I am trying to calculate cross currency basis swaps for personal use. I generally understand what they are (essentially swapping one currency for another currency on a floating interest rate basis) ...
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What is the correct convexity adjustment for an Interest Rate Swap with unnatural reset lag?
I am looking at the valuation of an Interest Rate Swap (IRS thereafter) which is pretty much vanilla with one small tweak. Floating leg pays 3 months LIBOR in monthly intervals. To be precise: ...
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Day-count conventions for the floating leg of an asset swap
Which is the day-count convention in order to compute the floating leg of an asset swap? I don't know if it is: Act/360, Act/365, 30/360 or 30/365.
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Macaulay duration of an IRS receiver [closed]
how can I compute the duration of an IRS receiver? and how can I use it to compute the Delta of IRS?
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Hedging Interest rate swaps in practice
Suppose we have a portfolio of i terest rate swaps that we wish to delta hedge. we build a delta ladder by shocking the instruments used to build the forecasting and discouting curves (Eurodollar ...
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What do you think of 50y swap at -0.58%?
To start an exchange of ideas, what do you think of the 50y eur swap at -0.58%?
At this moment, the carry for paying 50y fixed is positive and the low liquidity of long tenors is shaping the curve in ...
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Proper Method for pricing Interest rate swaps using dual curves
I am aware that under the dual curve method for pricing standard collateralized fixed floating interest rate swaps, that first a discounting curve should be constructed e.g. OIS Discounting curve, as ...
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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 ...
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