Questions tagged [libor-cessation]
The libor-cessation tag has no usage guidance.
16
questions
0
votes
0answers
47 views
Pricing an OIS referencing SONIA with fixing lag
I'm trying to price an Overnight Index Swap referencing SONIA.
The swap will have a 5 day fixing lag (i.e using compounded SONIA over the current interest period but with the last rate set 5 days ...
11
votes
2answers
383 views
LIBOR replacement in client products and prospective pricing
I am asking whether the industry, or single banks, have made up their minds already on how to replace the 'missing' interbank risk compensation component in their variable rate credit products when ...
2
votes
0answers
67 views
Risk Free Rates and Libor
With the demise of Libor, and the arrival of the new risk free rates (RFRs), what are the changes that are occurring with regards to :
Valuation of existing derivatives
Creation of new derivatives
...
2
votes
1answer
160 views
Compounding arrear SOFR Forward rate/curve
As per ISDA protocol and supplements, they stated that the fallback rate to be used on legacy derivative contracts is the compounding in arrears SOFR rate (based on a 2-day backshift) + a fixed spread ...
2
votes
1answer
355 views
Is there a difference between JPY TONA and JPY TONAR?
Wikipedia defines TONAR as "Tokyo Overnight Average Rate".
The official Bank of Jappan website mentions TONA, rather than TONAR.
I suspect the two, TONAR and TONA, are in fact two terms ...
0
votes
1answer
137 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
104 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
228 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
264 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
607 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
139 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
167 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
596 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
367 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
869 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 ...
5
votes
3answers
1k 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 ...