Questions tagged [libor-cessation]
The libor-cessation tag has no usage guidance.
11
questions
0
votes
1answer
107 views
Understanding Spread, SOFR - US Treasury [duplicate]
I am reading about USD LIBOR transition to SOFR (Secured Overnight Financing Rate).
Here, I was reading about key differencies between both rates. I would like to bettter understand relationship ...
1
vote
1answer
61 views
Which date SONIA rate to apply for today's date in an OIS swap
We are looking at trading a sterling OIS swap (OTC) and I can't find the specifics of the conventions anywhere. People tell me that because Sonia is an overnight rate, you use the preceding rate. So ...
4
votes
2answers
145 views
Uncollateralised trades in Libor transition
Consider an OTC derivative traded with no CSA agreement, i.e. the trade is uncollateralised. My understanding is that a Libor swap curve is used in this case to discount the cashflows for this ...
4
votes
1answer
196 views
Current liquidity of USD OIS-SOFR Swaps
We have now moved to discounting using OIS-SOFR swaps on cleared products and SOFR products in general have picked up in liquidity since last time this question was asked. I'd therefore like to ...
2
votes
1answer
315 views
Libor transition: Building SOFR discount curve
As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
3
votes
0answers
66 views
Implementation of solvers for curve construction
I'd be really interested to hear people's experiences of implementing global solvers for curve construction, especially with regard to how robust the approach is in practice, numerical performance, ...
2
votes
1answer
136 views
Compare equity option volatility under SOFR vs LIBOR
We know that after the big bang from LIBOR to SOFR, LIBOR will eventually disappear.
This brings up one question that I do not have a clue to answer: How to evaluate derivative in a consistent manner ...
9
votes
3answers
468 views
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, ...
2
votes
2answers
274 views
OIS rate to build Term structure
There are some discussions (e.g. Difference between OIS Rate and Fed Funds Rate) on usage of OIS rate to build the Libor term ...
4
votes
2answers
664 views
Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting
Slightly related to my other question (The exact mechanics of USD OIS Swaps: replacement of USD Libor by SOFR) but nonetheless, this is a separate topic:
US banks fund themselves via EFFR (Effective ...
4
votes
3answers
961 views
The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation
EDIT 2020-11-17:
thank you to @user42108 for the link to OpenGamma conventions PDF in his answer below. The PDF is comprehensive and explains the mechanics of USD OIS Swaps based on Effective Federal ...
