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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 ...
scorpio's user avatar
  • 123
2 votes
0 answers
71 views

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 ...
JakcieJnr's user avatar
  • 131
1 vote
1 answer
214 views

GBP OIS Curve - Zero Rate Curve Calculation in Quantlib

I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds. I have Looked at the documentation: https://quantlib-...
TheGr8Destructo's user avatar
2 votes
1 answer
1k views

How does Bloomberg use the OIS curve to get the zero rates?

I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly ...
Andrei Sultanov's user avatar
2 votes
0 answers
380 views

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 ...
user68318's user avatar
  • 156
0 votes
0 answers
151 views

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 ...
Sinbad The Sailor's user avatar
3 votes
0 answers
322 views

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 ...
FunnyBuzer's user avatar
  • 1,012
1 vote
1 answer
382 views

Why should the Discount Curve be risk-free?

I have read up about the discount curve that is being used to value securities. The multi-curve methodology for valuing derivatives was mainly adopted because LIBOR was no longer seen as a proxy for ...
M1998's user avatar
  • 11
4 votes
1 answer
1k views

Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap

I am just starting to use Quantlib, and want to try and replicate the SWPM-functionality in Bloomberg, and price a vanilla 5Y EUR OIS. Below is the overall swap data used in BBG: Overall settings ...
gussilago's user avatar
  • 161
2 votes
2 answers
505 views

How to account for the credit spread ( e.g. LIBOR + 2%) when using the Multicurve Methodology in valuing a Swap

When valuing an Interest rate swap, counterparties will typically issue the contract at a Libor + credit premium, e.g. Libor +2%. When valuing a swap, we require a LIBOR forward curve and Discounting ...
Student's user avatar
  • 39
3 votes
3 answers
1k views

Convexity Adjustment of Daily Compounded Swap under Hull-White Model

I am working on a problem that deals OIS daily compounded swap under Hull-White 1-factor model. I am struggling with pricing the floating leg, on a delayed payment date: $E^{T^p}_t[\prod_{i=0}^{n-1} (...
Fail Analysis's user avatar
0 votes
1 answer
274 views

Why do we theoretically have to take cross currency basis volatility into account when constructing Cheapest To Deliver (CTD) discount curves?

Let's take a collateralized USD IRS where there is optionality in collateral currency. My understanding is that it is standard practice to compute forward XXX/USD OIS basis curves for all currencies ...
user57086's user avatar
2 votes
0 answers
389 views

PV and Risk on a RFR cross currency swap

When pricing a XCCY basis on RFR (assuming USD CSA so under SOFR), for example ESTER versus SOFR (USD leg resettable) : I observed that the PV / Risk and also FX Delta are close to zero. I have been ...
Rich.G's user avatar
  • 21
8 votes
2 answers
1k views

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 ...
Peaceful's user avatar
  • 734
1 vote
1 answer
3k views

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 ...
Bogaso's user avatar
  • 838
0 votes
1 answer
352 views

Cheapest-to-deliver (CTD) discount curve II

This is a follow up question on this thread I have come across the following relationship in a CTD curve bootstrapping routine: $$\frac{DF_{XXX}^{CSA.EUR}}{DF_{EUR}^{CSA.EUR}} = \frac{DF_{XXX}^{CSA....
Frank Cho's user avatar
4 votes
1 answer
442 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 ...
Jan Stuller's user avatar
  • 6,178
3 votes
1 answer
2k views

Libor transition: Building SOFR discount curve

As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
Daniel's user avatar
  • 377
2 votes
2 answers
688 views

FX Forwards collateral and discounting

What is the market convention for discounting the future cash flows of FX forwards? In particular, I would be interested to know what discounting curves are used for both collateralised and not ...
Student's user avatar
  • 361
2 votes
0 answers
345 views

Switching from EONIA to ESTR for CSA discounting

In practice, when bilateral counterparties switch from OIS to ESTR discounting, the party which sees a fall in the fair value of the CSA contract gets compensated for the decrease by the other party (...
Steve N's user avatar
  • 21
0 votes
1 answer
2k views

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....
Jan Stuller's user avatar
  • 6,178
4 votes
2 answers
2k 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 ...
Jan Stuller's user avatar
  • 6,178
5 votes
3 answers
4k 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 ...
Jan Stuller's user avatar
  • 6,178
1 vote
2 answers
2k views

How to find OIS discounting factors from OIS swap rates. Please explain with example

Suppose I have the following OIS Swap rates: 1 year OIS Swap: 0.36% 2 year OIS Swap: 0.37% 3 year OIS Swap: 0.38% 4 year OIS Swap: 0.40% From these, how do I get the OIS Discounting factors for ...
Mathematician Joe's user avatar
1 vote
1 answer
705 views

How to do simultaneous dual curve bootstrapping?

I wish to understand how dual curve bootstrapping is done? Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
Mathematician Joe's user avatar
0 votes
1 answer
2k views

Interest Rate Swap Delta ladder, under OIS Discounting

I've been looking on some information when it comes to vanilla Interest Rate Swaps, and building delta ladders under a multicurve environment. IR Swaps - Curve sensitivity at maturity node, this ...
Skrrrrrtttt's user avatar
1 vote
1 answer
708 views

Proper Method for pricing Interest rate swaps using dual curves

I am aware that under the dual curve method for pricing standard collateralized fixed floating interest rate swaps, that first a discounting curve should be constructed e.g. OIS Discounting curve, as ...
Skrrrrrtttt's user avatar
0 votes
2 answers
492 views

Extrapolation between today and the spot date curve building

I'm trying to build my libor curve using (Deposit, FRAs and Swap) instruments with the goal that my curve match the murex curve, my parameters are : My today date is : 23/10/2019 Start of my deposit ...
Gogo78's user avatar
  • 636
0 votes
1 answer
907 views

Why is it desirable to receive fixed on a zero coupon swap, and undesirable to pay fixed on a zero coupon swap?

In most established rates markets, swaps are discounted using risk-free reference rates, such as Sonia in the GBP market and Eonia in the EUR market, as opposed to Libor. Because of the way zero-...
quanty's user avatar
  • 439
2 votes
2 answers
3k views

What is the difference between a cleared interest rate swap and a OTC interest rate swap with collateral in theory

I understand the aspect that central clearing reduced counterparty risks. From the valuation side, am I right that cash flows for both trades will be discounted at the OIS rate? The party that holds ...
Peaceful's user avatar
  • 734
2 votes
1 answer
459 views

Recommended Instruments (and sources) for Constructing Money Market Yield Curves

What instruments are the current industry recommendations for constructing money-market yield curves in some major currencies? The switch after the crisis to multi-curve methods is well documented on ...
Jared's user avatar
  • 745
1 vote
0 answers
182 views

A crash course in pricing

I need to refresh all the pricing theory. Is there anything like a crash course with practical and intuitive explanations? I will provide any further information. I am a mathematical engineer. I am ...
Nasser Bin's user avatar
0 votes
1 answer
138 views

When a bank enters a swap with a counterparty, when does it decide to use a OIS curve as its CSA Term, versus a counterparty specific "CSA Curve"?

What determines whether a swap should be discounted against a standard OIS curve VS a 'custom' CSA curve specific to the swap's counterparty? (such custom curves are marked as spreads to some base ...
guest001's user avatar
0 votes
1 answer
242 views

Libor Market Model Implementation

I'm trying to implement an LMM-MultiCurve for caplet pricing following the analytical formula mentioned in this article (pg 20): https://www.researchgate.net/publication/...
Yassine Q.'s user avatar
1 vote
1 answer
596 views

ESTER replacement for EONIA/EURIBOR

Does anybody know what impact the replacement of EONIA with ESTER ( Euro Short TErm Rate ) will have on discounting existing or new derivatives once EONIA will be restricted as of Jan 2020? I'm ...
BrownianBread's user avatar
5 votes
1 answer
7k views

Dual Curve Bootstrapping - When to OIS discount?

I am a new quant and I am trying to understand some of the specifics of dual curve bootstrapping. For concreteness, suppose I want to build a Libor forward curve. From what I understand OIS ...
moquant's user avatar
  • 115
7 votes
1 answer
6k views

Cheapest-to-deliver (CTD) discount curve

Can someone explain, in layman's terms, the mechanics (the algorithm steps) of the construction of the discount curve in the case when the CSA allows the posting party to choose a currency (from a ...
DKK's user avatar
  • 250
1 vote
1 answer
603 views

Lattice pricing of derivatives under multi curve framework (OIS and LIBOR)

My goal is to price various derivatives resetting to 1M and 3M LIBOR via using a lattice. I have calculated an OIS curve for discounting and adjusted 1M and 3M LIBOR forward curves to be consistent ...
RyanM's user avatar
  • 75
0 votes
1 answer
1k 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 ...
Dana's user avatar
  • 1
0 votes
1 answer
386 views

How do I value uncollaterised swaps?

Do I need to discount using the OIS curve? Then add some sort of FVA adjustment over and above the CVA/DVA? How do I work out a banks cost of funding? Any help would be greatly appreciated. ...
Dana's user avatar
  • 1
0 votes
1 answer
1k views

What discount rate for uncollateralized cross currency swaps?

To expand on this question, what happens if the uncollateralized swap is of a cross currency variety? Ignoring any xVAs, it's unclear which currency would best determine the discount rate: a) we ...
Adam N.'s user avatar
  • 233
2 votes
1 answer
2k 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(...
JSharm's user avatar
  • 123
0 votes
1 answer
4k views

Collateralized Interest Rate Swap

I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are ...
JonDoe's user avatar
  • 137
1 vote
1 answer
270 views

Which volatility to use in cap pricing with CSA discounting?

I'm currently trying to price a cap on a Libor 3M (US) collateralized in EUR. I understand that my discount curve should be the CSA and the price of a caplet should be using a Black-scholes price: $$...
ababoua's user avatar
  • 207
4 votes
3 answers
6k 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 ...
onkar's user avatar
  • 51
0 votes
2 answers
182 views

Swap rates comparison

I'd like to compare the swap rates using OIS discounting $S_{a,b}^{OIS, 6M}$ and a swap rate $S_{a,b}$ not using OIS discounting: $$S_{a,b}^{OIS, 6M}=\sum_{a+1}^b L_{6M}(0,T_i,T_{i+6M})\times df^{OIS}...
ababoua's user avatar
  • 207
4 votes
0 answers
815 views

Equations for multicurve calibration with OIS discounting

I am trying to calibrate my forecast and discount curves using the multi-curve approach with OIS discounting. To do so, I have a implemented multivariate Newton-Raphson root finder. I am finding a bit ...
Iliana's user avatar
  • 139
9 votes
3 answers
7k views

Why do we discount in ois and not treasuries

OIS is the 1-day non-collateralized interbank interest rate. Such a rate is not risk-free. The market trades a very useful curve that is much closer to "risk-free": the government bond curve. So the ...
Randor's user avatar
  • 796
5 votes
1 answer
8k 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 ...
sumit_uk1's user avatar
  • 141
2 votes
1 answer
970 views

How were OIS discount curves built before long-term OIS were liquid?

Many sources put the switch from LIBOR discounting to OIS discounting at some point in 2008, or perhaps a little earlier (the earliest I have seen is August 2007). It seems that this may be optimistic,...
Chris Taylor's user avatar
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