# Questions tagged [libor]

LIBOR was the London Inter-Bank Offered Rate. It has been replaced by The SOFR (Secured Overnight Financing Rate).

172 questions
Filter by
Sorted by
Tagged with
1 vote
57 views

### Problem fitting LMM to swaptions

I don't know what I am doing wrong. My goal is to calibrate correlations between my brownian motions. For that I simulate forwards paths and then calculate Swaptions rates. I use Euler Method to ...
• 65
1 vote
43 views

### EURIBOR dependent product pricing

3M Euribor rates still exists (see https://www.ice.com/) and there still exist structured products depending on them : for instance a CMS spread whose udnerlying CMS rates depend on it. But also range ...
• 113
81 views

### Do RFR swaps fix in advance or arrears?

Consider the floating leg of a IRS on the RFR which is effective today at $t_1$ and has a payment at $t_1 + 3M$. My question is, when the payment occurs at $t_1 + 3M$, is this the $3M$ forward rate ...
• 141
54 views

### Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs

This question is related to the following questions asked previously, primarily the first: Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs ...
1 vote
162 views

### Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs

What I am trying to do is price EURIBOR6M FRAs using a curve built in quantlib with changes in rate due to central bank meetings. For concreteness, my goal is to price EURIBOR6M FRAs, say 1x7 FRA, ...
62 views

### How do we determine 0M spot rate for 3M libor?

Say I have a 3M libor curve constructed from a bunch of 3M FRAs, so I have a 3M spot rate, a 6M spot rate, a 9M spot rate, etc. For points in-between, say 4M, I would have to interpolate between the ...
• 141
194 views

### Building SOFR curve - explanation of the formula used

I am studying a previous post on how to build SOFR discount curve here Libor transition: Building SOFR discount curve However, I struggle to understand the below ...
• 383
162 views

### How do forward-looking forward rates in the Mercurio's and Lyashenko's normal or extended FMM model represent EURIBOR rates

(By XIBOR I intend any EURIBOR or LIBOR rate. By RFR I intend SOFR for the USD and ESTR (€STR) for EUR.) I am mainly focused on the EUR rates market (but also a bit on the USD market) and looking for ...
• 1,223
185 views

### What are the quantitative models for modelling the SOFR rate, the IR products when Libor rates end [duplicate]

Many year ago, I worked on the pricing of IR products (Floating rate swap, CMS swap, Cap, Floor,...) Libor rates are now replaced by SOFR rate. I would like to know What are the new IR products (...
• 1,033
1 vote
184 views

### LIBOR rate used for computing discount margin

A formula for computing the discount margin of a floater is provided in an image displayed in this answer as well as below. The image below comes from page 14 of the paper "Credit Spreads ...
• 111
514 views

### Risk free rate for currency option

I’m trying to price a call option on EUR/GBP exchange rate and it expires in 1 year. Should I use GBP Libor as foreign risk free rate in order to apply BS formula? The pricing date is 02/21/2023 but ...
1 vote
91 views

### SOFR Transition for Future Flow Transactions [duplicate]

I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights). Would be happy if you could share some as ...
234 views

### Computing Daily OIS overnight trade coupon payments in excel

So I currently work in MO G10 rates sales support and we always get referrals from our setts department to recalculate discrepancy's in vanilla swaps trades coupon payments, this issue is, training ...
106 views

### Why are LMM+ parameters becoming more unstable when using an inverted volatility term structure

I have an implementation of an LMM+ model (a shifted Libor Market Model with rebonato volatility function) and am seeing recently that the calibrated parameters are becoming more unstable over time; I ...
299 views

### USD Libor fixing rule

I am missing something in the fixing rules for USD Libor: the fixing for the date Aug 31th, 2022 is on Aug 26th, 2022 - 3 ...
• 135
585 views

### 2 Ways to Define/Calculate "FVA"? - Same or Different? (Simple XVA Question)

I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the difference in the net present ...
631 views

### What is the market standard for IR option pricing when moving to SOFR

From books it looks like market standards to price IR options, like swaptions, are SABR, LMM or mix of the two (SABR-LMM). But LMM models the forward LIBOR rate. What will happen to it once LIBOR ...
• 113
92 views

### Backset LIBOR contract

Below is an extract from Steven Shreve’s BK 2, Chapt 10: Term Structure models. LINK I am trying to understand Stochastic Calculus from the above book with the help of a Pure Math PhD student. Despite ...
• 11
325 views

### Relationship between simple Libor spot and forward rates

How is the simple forward rate L(0,T,T+1) calculated given the spot rate L(0,T)?
63 views

### Why are Eurodollar futures settled to 100 minus LIBOR? Is this actually connected to a Eurodollar depsoit?

I'm confused as to why Eurodollar futures prices settle to $100-LIBOR$ at expiration. If at the time of settlement the futures contract was meant to represent a 1,000,000 Eurodollar deposit to mature ...
226 views

### Is a swap fixed rate always a par yield?

I am learning about using the OIS fixed rate to value a plain vanilla LIBOR swap. I'm using Bond Math by Smith, and the accompanying online addendum. To bootstrap the discount factors, the author ...
• 103
277 views

### Why is the LMM with mixture dynamics (Brigo & Mercurio) inconsistent for the pricing of exotics?

I am reading about the LMM with lognormal-mixture dynamics. Consider the following dynamics for the forward rate $F_{i}(t)$ fixing at $T_{i-1}$ and paying at $T_i$: \begin{align} dF_{i}(t) = (F_i (t) +...
• 428