Questions tagged [ois-swaps]
The ois-swaps tag has no usage guidance.
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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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WHAT IS THE FX/OIS SPREAD ? WHAT CAN i USE IT FOR? [duplicate]
What's an example of fx/ois spread , lets say I am looking at BOE , what spread would I be looking at to see the funding stress or to see if year end turns is trading at a premium or now .
I am on ...
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How does Bloomberg compute the cross currency swap basis?
First, look at the FXFA for EURUSD
The EUR and USD Yield & FX swap rate on 10/18/2023 are given as:
The computations are shown in this answer.
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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 ...
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Quantlib SOFR swap repricing across 2 different dates
I am trying to price SOFR swaps in two different dates (the same swaps, just different curves and dates)
This are my initial parameters:
...
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Quantlib Slow valuation of ois_swap on multiple eval days
I have bootstrapped a curve using several depo and swap rates and am trying to use that curve to get the NPV of a swap over a period of time. The generation of prices iteratively through time is ...
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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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Bootstrapping SOFR curve and Swap Payment Lag
Can someone provide me an intuitive explanation of how discount factors are bootstrapped for SOFR when Swaps are trading with payment delay/ lag (e.g. of 2 business days).
I can intuitively derive the ...
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How OIS swap rates behave when we receive or pay OIS swap rates?
I am reading a news article regarding how OIS swap rates behave when we receive or pay OIS swap rates.
The article states that when we receive OIS swap rates it makes swap rates fall. When we pay swap ...
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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 ...
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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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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
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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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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 ...
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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 ...
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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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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 ...
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