Questions tagged [ois]
The ois tag has no usage guidance.
85 questions
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How do I derive the effective rate per period for backward looking overnight interbank borrowing?
The formula for the effective rate per period (of say $n$ days) for backward looking overnight interbank *borrowing has been quoted as follows in my textbook:
$$
\left( \prod_{i=1}^{n} \left(1 + \frac{...
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444
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Bootstrapping SOFR swap curve
I want to know key tenors of SOFR swap for building discounting curve for pricing derivatives.
To build a similar curve to that of Bloomberg ICVS & SWPM, Which instruments should I use?
Which ...
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68
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Understanding "SP1ST" in Forward OIS ECB Quotes from ICAP
I'm currently looking at a set of forward OIS ECB dated quotes provided by ICAP, and I came across a term that I'm not familiar with. The term is "SP1ST" as shown in the attached screenshot ...
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75
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ql.OvernightIndexFutureRateHelper asking for a fixing, but not able to add it
I´m trying to make a Overnight Index FutureRateHelper but when bootstrapping, the following Error arises:
RuntimeError: 1st iteration: failed at 1st alive instrument, pillar May 31st, 2024, maturity ...
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2
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134
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Combining term structure types in Quantlib
Is it possible to combine multiple term structure types for curve construction in quantlib?
Specifically I want to be able to construct an OIS curve that is stepped in the short end with pillars at ...
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1
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796
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Calculating Implied rates from OIS and Futures
I've been trying to figure out how to calculate the implied rate for interest rate decisions by central banks using OIS and came across an explanation that I can't quite wrap my head around:
Apart ...
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108
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Quantlib: SOFR IRS Fair Rate not the same as inputs
I am making an OIS curve and a SOFR curve with bloomberg quotes
When I valuate a SOFR swap in the same tenors as the SOFR inputs, the FairRates are not the same as the quotes I used to create the ...
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2
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1
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221
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Quantlib OIS USD discount rates don't match Bloomberg discount rates
The Bloomberg USD OIS discount factors for 2024-03-01 do not match the values calculated using Quantlib beyond the 18M tenor. What do I need to do get them to match?
Sorry, I am unable to paste a ...
- 125
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125
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Why do people say "SOFR vs OIS discounting" when OIS depends on a rate that could be SOFR?
As I understand it, OIS is not a published rate. SOFR is a published rate.
Based on this published rate, OIS swaps are constructed. The fixed rate on these swaps that makes both legs worth the same is ...
- 141
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113
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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
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160
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Quantlib Python bootstrapping with ArithmeticOISRateHelper: cannot find a soluton for forward rate
I am trying to construct a curve based on OIS quotes. Fixed rates in those OIS are quoted againgst the arithmetic average of the floating rate. Consequently, I am using the correspoding helper class - ...
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2
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114
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Pricing Government Bonds use OIS or Gov. ZC Yields?
I am pricing government bonds ranging from JPN, GERMANY, UK, India to NIGERIA, MXN, ARG, Brazil etc.
What is the better approach to use OIS for each currency or build a curve using government zero ...
- 145
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126
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Pricing of OIS on USD at t=0
I am tormented concerning the pricing of an OIS (USD). My concern is how do we find the rate of the fixed leg using Federal Funds rates, at t=0 since these are not known at that time.
Thank you
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26
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Why does swap fair rate not change 1:1 with shifted curve? [duplicate]
I'm trying to calculate things like dv01 for OIS interest rate swaps by shifting the swap curve (by 100bp say) and revaluing swaps on the shifted curve. However, I noticed that the swap rate (QuantLib'...
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80
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Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?
I am using QuantLib OIS Rate Helpers, and traced schedule creation back to the following function, and noticed that the business convention is hard coded as MF. Is the biz day convention hard coded ...
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100
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Curve optimization to predict monetary policy path (OIS Curve)
This is a question about a relatively undeveloped market (Chile) in which Camara the O/N rate is daily compounded (OIS Curve).
The available instruments in the market are short term rates ie 1m 2m 3m ...
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2
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525
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SOFR OIS Curves & Zero-Coupon Variants
Currently looking at yield curves, specifically SOFR OIS Curves, and I'm struggling to find a good explanation between a zero-coupon OIS curve and an annual coupon-pay OIS curve (both SOFR). When ...
- 156
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1
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837
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Discrepancy between Bootstraped Zero Rates: Gaps between Bloomberg and My Calculated Zero Rates
I have been attempting to bootstrap zero rates using quantlib, but I am perplexed by the significant discrepancies between my calculated zero rates and those ...
- 407
4
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637
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Yield curve bootstrapping not producing expected cash flow start date
I'm currently working on building a yield curve using OIS swaps. However, I'm encountering an issue with the cash flow start date that I'm struggling to understand. Here's a simplified version of my ...
- 407
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2k
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BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve
I struggle to understand why my market rates does not match my bootstrap model. So I wonder why the spread is that high between market & model.
...
- 407
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794
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how is accrual calculated on the floating leg of a OIS swap
for Libor swaps, the accrual for the floating leg is easy as the cashflow is known already at accrual start day. The calculation would be similar to how the accrual of a bond is calculated.
How about ...
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281
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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 ...
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1k
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US Treasury vs OIS rate
Is there any specific name for the spread between US Treasury vs OIS rate?
I observed that for a specific tenor (e.g. 10 years) US Treasury is higher than the OIS curve. Any reason for this? OIS is ...
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192
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Confusion about Initial Pricing IRS with Dual Curves
This is my first time delving into dual curves, or multiple yield curves. A question struck me about using OIS discounting when choosing the swap rate of a new IRS.
Without multiple yield curves I ...
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2
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668
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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 ...
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2
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609
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Interpreting SOFR OIS Curve from CME
I have a doubt regarding the daily SOFR OIS Curve published by CME.
https://www.cmegroup.com/trading/interest-rates/cleared-otc-sofr-swaps.html#sofroiscurve
If we refer to the curve dated 22 Jul 2022.....
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240
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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 ...
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18k
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Difference between OIS and SOFR?
Basic question: I am a bit curious what are the differences between Fed Fund Rate, OIS and SOFR? All three, as I understand are based on overnight collateralized transactions? (Please correct if I am ...
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842
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QuantlIb: How to use maturities in place of Tenors in OIS rate helpers Quantlib?
I would like to know if I can use maturity dates from my rates dataframe to generate OISratehelpers. In the following code the OIS rate helper use 'tenors' and I want to replace those tenors with ...
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54
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SONIA Reference Data Calculation / OIS Data
I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM.
https://www.refinitiv.com/content/dam/...
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349
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OIS floating-floating cross-currency basis swap
I'm trying to understand whether notional resets on a floating-floating cross-currency basis swap play a role or not when the coupon payments are SOFR-based (with no spread) and they are discounted ...
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234
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No. of payments in 15/18/21 month ESTR OIS
I want to construct a zero-curve from EUR OIS rates (IR swaps with ESTR as the floating rate).
For bootstrapping, some of the contracts I use have maturities of 15, 18 and 21 months (RIC: EUREST15M= ...
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279
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Is an 18 month OIS a bullet?
I have been looking at SOFR/fixed swaps. On Bloomberg I found USOSFR1F which is the 18 month tenor on the SOFR OIS curve.
My understanding is that SOFR OIS pays annually. When bootstrapping to get a ...
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251
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Data for OIS and Libor rates
I want to bootstrap OIS zero-coupon bonds to the OIS rate but unfortunately I don't have any data.
Does anyone know where I can find the Libor rates and OIS rates?
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793
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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 ...
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221
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forward LIBOR curve bootstrapping
how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info:
par rates of a set of OIS
fixed 6M LIBOR rate
par rates of a set of Swaps which the underlying ...
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2
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1
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2k
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RFR boostrapping using RFR OIS: Is convexity adjustment technically necessary?
For single-curve RFR bootstrapping, such as a SOFR-based discounting curve bootstrapped strictly using SOFR fixed-float OIS, I am trying to understand if convexity adjustments are technically ...
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2
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2k
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Is SOFR to replace LIBOR or Fed Fund Rate or both
I am a bit confused on what is going on regarding the new benchmark rate SOFR. My understanding is that SOFR is to replace Libor. However, I also get information on Fed fund OIS discounting is ...
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4k
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What is Overnight index swaps (OIS) curve
Overnight index swaps (OIS) curves became the market standard for discounting collateralised cashflows.
However I failed to understand what is the meaning of the ...
- 878
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304
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Cash flow mapping on multi curve framework
I am trying to map cash flows according to FRTB pillar dates, on an Interest Rate Swap fixed Vs Euribor 6 months. Using the sensitivity preserving approach, under the OIS framework, this has to be ...
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368
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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 ...
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391
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Cross Currency Swap Bids and Offers?
Could someone please explain why certain Cross currency pairs like EURUSD or GBPUSD show higher bids then offers in Bloomberg? e.g for a 5y GBP/USD Xccy Swap bids could be at -5 bps and the offer at -...
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3
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3k
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Which risk-free rate to use for the UK?
I am working on an assignment to calculate Beta in the CAPM Model through empirical data on the british market and am still unsure which risk-free rate to use.
Since I have a 1 week investment horizon,...
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211
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overnight index swaps OIS
I'm writing a paper where I am using expected federal funds rates at different horizons and wanted to use the OIS as a proxy for what the market expects the FFR to be post FOMC-meetings. However, I ...
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1k
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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, ...
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2k
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ICVS 133 Bloomberg Curve
This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants.
I'm ...
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2k
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Constructing zero-curve for discounting from Coupon OIS Swaps
There are some questions and answers on this site which touch upon this topic, but none actually show step-by-step on how to bootstrap a coupon OIS Swap curve to construct a zero-curve for discounting....
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1k
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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 ...
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5k
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Difference between OIS Rate and Risk-Free Rate
What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...
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994
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Hull-White Monte Carlo simulation - mean reversion function
Quite new to implementing Hull white model in Monte Carlo simulation, hope to get help for 1. how to get the function $\theta$ in the following formula (the function used to match initial term ...
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