Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [irs]

The tag has no usage guidance.

0
votes
0answers
55 views

Pricing of non-deliverable single currency fixed-floating IRS

How would one price plain vanilla non-deliverable single currency fixed-floating IRS as opposed to deliverable ones? How does one take care of the payments in the deliverable currency? Is the only ...
3
votes
5answers
141 views

Physical Delivery of Single Currency Fixed-Floating IRS

In trade data of South American single currency fixed-floating IRS (e.g. BRL with floating rate BRLCDI with deliverable USD) there are many physically settled IRS. What does physical delivery / ...
2
votes
2answers
261 views

Collateralized / uncollateralized swap

Is a fully collateralized interest rate swap considered free of counterparty credit risk? Or close to risk free? Therefore discounted by the rate that best proxies the risk-free rate (which is the OIS-...
0
votes
1answer
83 views

ISDA Convention for definition of IRS maturities

Could someone indicate me what is the ISDA convention for IRS maturity dates ? I mean, when two counterparties enter in a new IRS, is the maturity date to be defined in the contract totally free (ex: ...
0
votes
0answers
588 views

Constructing zero curve from Overnight Index Swaps (OIS) and Interest Rate Swaps (IRS)

Let's assume a task to build a zero curve from two sets of raw interest rates: set one contain 12 Overnight Index Swaps with maturities 1 month, 2 months, ... , 12 months; set two contains 7 Interest ...
0
votes
1answer
1k views

Bloomberg terminal swap zero curve calculation

I would like to ask about swap zero curve calculation algorithm by Bloomberg terminal. This is a plain vanilla CZK interest rate swap, fixing the Prague IBOR. My task is to calculate zero rates from ...
2
votes
0answers
113 views

Discount rate in IRS valuation

This might be a very basic question but I didn't find the answer in the materials I saw on Google. What is the interest rate used to compute the discounted cash flows for both the fixed and variable ...
3
votes
3answers
5k views

Carry calculation on an interest rate swap

I was hoping that I can get help on a simple yet not so straight forward topic : Looking at valuing the costs of holding an IRS in the books this would entail marketed-to-market due to price ...
0
votes
1answer
244 views

QuantLibXL swap valuation fixing dates

I'm trying to build a Excel spreadsheet with QuantLib 1.4 for swap valuation of "live" swaps; IRSs with a start date in the past, and an end date in the future. This is what I've got so far... ...
-1
votes
2answers
1k views

NPV calculation of past flows

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 ...
4
votes
1answer
385 views

Pricing interest rate swap in Ho Lee model

In Ho Lee model, assuming risk neutral probability is not exactly 0.5, would a change in the volatility of short-term rate affect the price of an interest rate swap? My intuition tells me no as ...
7
votes
3answers
1k views

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: ...
1
vote
2answers
515 views

Parametric VaR of a portfolio including a swap

I am calcualting the parametric VaR of a portfolio that includes among other things an IRS swap that begins in the exact same day the valuation is done. Therefore, its NPV is 0 and I do not which ...
2
votes
1answer
2k views

What is the difference between par delta and zero delta?

I was looking at different methods of calculating delta for Interest Rate Swaps(IRS) and came across the words par delta and zero delta. I am not sure of the difference between the both and when to ...
-1
votes
1answer
316 views

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 ...
0
votes
1answer
4k views

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 ...
3
votes
2answers
2k views

Does an Interest Rate Swap has a Vega component?

I am a bit confused on how you calculate vega for Interest Rate Swap. One argument is that IR Swap is a combination of fixed rate bond and floating rate bond. Since a bond has no vega component, IR ...
2
votes
1answer
1k views

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, ...
2
votes
1answer
2k 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 ...
7
votes
2answers
523 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 ...
3
votes
1answer
2k 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 ...
3
votes
1answer
1k 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 ...