# Questions tagged [ois-swaps]

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### STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA

Question on STIR. Suppose we sell a 3m JPY swap with spot start date, and we are able to back out the 3m implied JPY forward points (hence swap points), using 3m JPY OIS (3m TONA) and 3m USD OIS (3m ...
• 55
111 views

### Calculation and Interpretation of EONIA Forward Rate

I am trying to bootstrapp the OIS Discounting Spot Rate curve and the EONIA Forward curve from a range of OIS EONIA instruments, based upon the referenced article 1. My conundrum with understanding ...
• 1
95 views

### 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= ...
177 views

### DV01 formula for an interest rate swap using OIS discounting

I am looking for a formula / approximation to calculate the PV impact of shifting the par swap rate of an interest rate swap in the multicurve setting, e.g. of a swap on 6m LIBOR with OIS discounting. ...
69 views

### How to get a one day forward rate from OIS curve?

Let's say we have 1 month OIS Rate and a 2 month OIS rate. How can I construct a 1m1d rate? Bloomberg computes a lot of these one day rates for several months ahead. Thank you
156 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 ...
1 vote
331 views

### OIS example in Hull's book

In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \\$100 ...
• 469
1 vote
625 views

### Theoretical fair value of SOFR 1M and 3M Future contracts?

The fair value of Eurodollar future contracts is calculated using the no arbitrage pricing and the spot curve for LIBOR. How does one compute the theoretical fair value of 1M and 3M SOFR Future ...
506 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....
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