Questions tagged [ois]
The ois tag has no usage guidance.
30
questions
1
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0answers
36 views
Building OIS curve in Quantlib from Fed Funds Futures and handling steps
Has anyone tried building an OIS curve with Quantlib from Fed Funds futures?
If so, could you share a code snippet for how you do it. (Assuming you already have the prices for the futures)
How do ...
0
votes
0answers
52 views
OIS vs Libor for cross currency
I would like to understand the convention for discount rates fro cross currency swaps.
It seems to be market convention (Australia) to discount collateralize positions with OIS and uncollateralized ...
0
votes
1answer
74 views
How do Repo traders use OIS and Fed fund rates
I would like to know how do Repo traders use FED Fund rates and OIS to cover themselves.
For example assuming the repo trader bought paper(borrwed paper/lent cash) in the 1 year. How do they cover ...
1
vote
1answer
416 views
Difference between IRS and OIS
Is the understanding right that OIS can be accessed only by banks whereas IRS is for corporates.
Also, since corporates borrow at Libor + spread, to hedge Libor I use IRS.
Banks can borrow overnight ...
2
votes
1answer
96 views
Black Scholes- Options and OIS
I have 2 questions.
In the Black Scholes formula for currency options, where does forward premium come in? Volatility will be a historic parameter, so which component considers fwd premia.
Typically,...
2
votes
0answers
119 views
USD OIS curve. Why is the the bid bigger than the ask for maturities > 7 years?
I was wondering why the bid is larger than the ask for maturities bigger than or equal to 7 years?
If i export the screen to Excel i can see how the bid and ask swap rates are calculated. For the ...
2
votes
1answer
489 views
Relation between OIS rate and discounting rate
This is from book Modern Derivatives Pricing and Credit Exposure Analysis page 22
In an OIS, two parties exchange a fixed coupon (paid annually for longer-dated
...
0
votes
1answer
1k views
Bootstrap daily OIS forward rate
Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap?
For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
2
votes
0answers
32 views
Any Suggestion for Credit Risk Measure for Banking Industry in Turkey?
I need a measure that will proxy for overall credit risk in the banking industry of Turkey. The literature offers LIBOR-OIS spread and Moody's Baa-Aaa spread as strong candidates. However, these ...
2
votes
0answers
179 views
Why is the SOFR par coupon rate trading higher than Fed funds?
SOFR is a 'secured rate' while the latter is not. Therefore, I would assume a 1y SOFR swap to trade at a lower par rate than a 1y fed funds overnight index swap.
Any insights would be greatly ...
2
votes
2answers
436 views
QuantLib-Python: How to set fixed reference dates when bootstrapping the term structure?
I am borrowing from an example in the "Quantlib Python Cookbook" section 7, to ask my question. To make the point as clear as possible I simplify the code a bit. The aim is to strip the EONIA curve ...
5
votes
1answer
323 views
Why is the 1 month OIS rate so stable?
I was just playing around with bills prices data from CRSP.
It is well known that short term bills rates tend to be lower than corresponding maturity OIS rates this is often attributed to some ...
4
votes
0answers
106 views
What instrument to hedge derivatives' interest rate duration risk?
Our market making desk is back-to-back on FX notionals, but has a residual interest rate risk measured by DV01. Currently we are using EuroDollar futures to hedge, with each contract the DV01 is $25. ...
0
votes
1answer
708 views
How to use USD OIS discounting for local currency uncollateralised swaps?
I am wanting to do MTM valuations of uncollateralised swaps as our banks have switched to using the USD OIS curve for their discounting (assuming no xVA adjustments). None of the cashflows we are ...
4
votes
1answer
692 views
Bootstrapping OIS Curve with data from different days data
I have the following problem bootstrapping the JPY OIS Curve. The bootstrapping itself works when havin one set of data, e.g. for the date 2017-02-09. I have all my instruments and as said ...
5
votes
1answer
550 views
Set-Up OvernightIndex Quantlib
somehow I am struggling on my old question concerning set-up an Overnight index in QuantLib (see question: Old Question). What I don't understand is how can I set-up the ...
2
votes
1answer
241 views
TOIS (CHF), TONAR (JPY), AONIA(AUD) in Quantlib
I am looking for the TOIS, TONAR, AONIA in Quantlib for discounting. I only could find the EOINA, FEDFUNDS, SONIA etc.Do I miss something? In case they don't exist how can I use the corresponding rate ...
0
votes
1answer
646 views
OIS Discount Factor Bootstrapping - Do we assume simple interest?
When I am reading papers (ie here and here) on bootstrapping discount curves they refer to obtaining discount factors from rates for swaps maturing less than a year with:
$$D(t, T_i) = \frac{1}{1+s_i(...
1
vote
1answer
6k views
What does it mean to pay USD FRA-OIS?
Would just like to check my understanding.
If I were to pay USD FRA-OIS, does it mean I'm paying the OIS leg and receiving fixed? And the fixed is because the 3mL is fixed at the start of the period/...
1
vote
3answers
2k views
How to compute Overnight Index Swap (OIS) fixed rate?
I understand that periodically participants exchange the difference in the fixed rate and the daily compounded overnight floating rates.
My question is how should one compute the fixed rate?
What ...
0
votes
2answers
672 views
Is there any public data to get OIS for differal time (1d, 1W, 1M, …, 10Y)?
I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday?
For example, I want to get EFFR(Effective Federal Funds Rate), I can get ...
0
votes
2answers
404 views
How to Calculate (month by month) what hikes are priced into OIS?
I am looking to see on a monthly basis, what the market is pricing in in terms of rate hikes in the OIS.
Would it be sufficient to look at fed funds futures at those monthly dates? My gut says not.
...
2
votes
1answer
779 views
USD-Federal Funds for OIS swaps vs USD-Federal Funds for Basis swaps
Anyone knows why the OIS leg for basis swaps pays the average rate instead of the geometric average compounding rate as expected for a regular OIS swap leg?
2
votes
1answer
3k views
Quantlib python dual curve bootstrapping example
Apologies if this has been asked in the forum (I couldn't find any examples)- Can someone please point me to a worked example in python using Quantlib for dual curve bootstrapping (using EONIA for ...
3
votes
2answers
5k views
FX forward curve building
Can someone explain which curves are used to calculate FX forward rates? I have the idea that it involves using the local OIS curves for both currencies, but my calculation shows that it is not the ...
0
votes
1answer
1k views
How to calculate fair 3s1s basis levels
How would one calculate the fair level of 3s1s single currency basis swaps using simply the 1m & 3m libors and ois levels? (so you have fra-ois spread levels in both)
I understand that as the FRA-...
10
votes
3answers
25k views
Difference between OIS Rate and Fed Funds Rate
I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral.
Is ...
0
votes
1answer
71 views
Measuring Medium-term Inflation expectations and real interest rate from OIS and Inflation Swaps
In this speech by Mario Draghi, in section '2:Responding to high unemployment', and subsection 'Boosting aggregate demand', Mario states «Over the month of August financial markets have indicated that ...
4
votes
1answer
2k views
Risk-free: why LIBOR pre-crisis and OIS now
Quick question as a follow-up to this post: why was LIBOR used instead of OIS pre-2007 for the risk-free rate proxy?
Please correct me if I am getting this mixed up, but from what I've seen, it ...
0
votes
1answer
537 views
Starting short-end OIS zero curve building
I understand the concept of bootstrapping and building the curve when we have the values for first few maturities. However, I can't quite get how the initial values for zero curve rates are derived ...
