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Interest Rate Swap versus Cash Bond

From the point of view of a leveraged fund manager, what is the benefit of buying a bond when the same could be expressed through an OIS swap? Assuming, of course that the swap is not mispriced i.e. ...
Pavan Sharma's user avatar
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1 answer
196 views

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 ...
Man Dem's user avatar
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Where can I find implied rates for central bank decisions?

Sometimes I'll see sources online say things like markets are pricing in a certain amount of bps rate cuts/hikes by the Fed or ECB (or some other central bank) for a certain monetary policy meeting ...
Man Dem's user avatar
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0 answers
142 views

What is the difference between IRS on SOFR and OIS on SOFR?

Consider the floating leg of an IRS based on SOFR. Now consider the floating leg of an overnight indexed swap based on SOFR. I understand that the former will pay the actual SOFR rate on the fixing ...
JakcieJnr's user avatar
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1 vote
1 answer
234 views

Bootstrapping yield curve with forward rates using QuantLib

I'm attempting to calculate a GBP yield curve using a USD OIS rate curve and the FX Forward rates using Quantlib. I am trying to replicate the output of a different library, and am close but can't ...
user7631642's user avatar
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0 answers
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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'...
jackt247's user avatar
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0 answers
68 views

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 ...
EarlyFx's user avatar
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1 answer
2k views

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. ........................................................
Engin YILMAZ's user avatar
2 votes
0 answers
389 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
2 votes
2 answers
989 views

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: ...
Lucas Triana's user avatar
4 votes
1 answer
260 views

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 ...
StormsEdge's user avatar
1 vote
1 answer
514 views

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 ...
Peaceful's user avatar
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1 answer
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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 ...
Rohit Gajare's user avatar
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1 answer
115 views

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 ...
user2967440's user avatar
1 vote
2 answers
747 views

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 ...
fauxpas's user avatar
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1 answer
206 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= ...
QuodEratDemonstradum's user avatar
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0 answers
151 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
Lorenzo Mazzei's user avatar
2 votes
1 answer
295 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 ...
pineapple's user avatar
1 vote
2 answers
1k 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 ...
Xiaohuolong's user avatar
1 vote
2 answers
1k 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 ...
Bhaskar Gudimetla's user avatar
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
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