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 data to use to compare the interest rate among different currencies?
Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies.
For example, I am interested in compare interest rate in the ...
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Something is wrong with my MtM calculation
I'm trying to value a super simple receiver swap immediately after the first swap settlement (1 year in).
The given answer is -1.91 million to the floating rate payer, but I am not coming up with ...
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Swaption on a swap with 0 year tenor
Any ideas on valuation of IRS swaption on a swap with 0 year tenor?
As an example, we have a 5 year swaption, on expiration it is cash settled; the underlying swap tenor is 0 years with excercise and ...
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Immunization: Whats the best way to hedge my short interest rate exposure?
What's the best way to hedge a portfolio against a rise in rates?
Portfolio: long bonds different maturities.
a) parallel shift
b) convex shift (short and long term rise more than mid term)
How is ...
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Derive OIS rate from IRS rate and Fed Funds/Libor basis spread
For example I have 7Y interest rate swap rate and 7Y Fed funds/Libor basis spread. What is the step-by-step procedure to derive OIS rate from these two?
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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 ...
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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 ...
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How to optimally hedge construction loans with interest rate swaps?
We are a borrower with a construction loan that is pay floating. At the inception of the loan, we entered into a pay-fixed/receive-floating interest rate swap with a growing notional profile that ...
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Forecast 3m LIBOR USD. Budget purpose
How can I calculate/budget/find a expectation for the 3 month LIBOR for the next 3monts-4 years?
I am calculating a CF scenario on USD 3month Libor + margin. With swaps and fixed rate this is easy, ...
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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-...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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