Questions tagged [ois]

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51 views

Do RFR swaps fix in advance or arrears?

Consider the floating leg of a IRS on the RFR which is effective today at $t_1$ and has a payment at $t_1 + 3M$. My question is, when the payment occurs at $t_1 + 3M$, is this the $3M$ forward rate ...
2 votes
1 answer
938 views

BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve

I struggle to understand why my market rates does not match my bootstrap model. So I wonder why the spread is that high between market & model. ...
0 votes
1 answer
99 views

Pillar Date of Overnight Interest Swap Helper

I am not being able to set the pillar date of an overnight interest swap helper to its maturity date. I have the following code: ...
0 votes
0 answers
98 views

Quantlib Python bootstrapping with ArithmeticOISRateHelper: cannot find a soluton for forward rate

I am trying to construct a curve based on OIS quotes. Fixed rates in those OIS are quoted againgst the arithmetic average of the floating rate. Consequently, I am using the correspoding helper class - ...
3 votes
0 answers
837 views

OIS curve convexity adjustment

Since, as far as I understand, an Overnight Index Rate is set in arrears, i.e. it is published in the morning after the night to which the rate applies, then I would have thought that we should take ...
2 votes
0 answers
90 views

Pricing Government Bonds use OIS or Gov. ZC Yields?

I am pricing government bonds ranging from JPN, GERMANY, UK, India to NIGERIA, MXN, ARG, Brazil etc. What is the better approach to use OIS for each currency or build a curve using government zero ...
1 vote
1 answer
65 views

Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?

I am using QuantLib OIS Rate Helpers, and traced schedule creation back to the following function, and noticed that the business convention is hard coded as MF. Is the biz day convention hard coded ...
0 votes
0 answers
114 views

Pricing of OIS on USD at t=0

I am tormented concerning the pricing of an OIS (USD). My concern is how do we find the rate of the fixed leg using Federal Funds rates, at t=0 since these are not known at that time. Thank you
0 votes
0 answers
24 views

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'...
3 votes
1 answer
12k views

Difference between OIS and SOFR?

Basic question: I am a bit curious what are the differences between Fed Fund Rate, OIS and SOFR? All three, as I understand are based on overnight collateralized transactions? (Please correct if I am ...
0 votes
1 answer
60 views

Curve optimization to predict monetary policy path (OIS Curve)

This is a question about a relatively undeveloped market (Chile) in which Camara the O/N rate is daily compounded (OIS Curve). The available instruments in the market are short term rates ie 1m 2m 3m ...
2 votes
0 answers
319 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 ...
2 votes
1 answer
2k views

RFR boostrapping using RFR OIS: Is convexity adjustment technically necessary?

For single-curve RFR bootstrapping, such as a SOFR-based discounting curve bootstrapped strictly using SOFR fixed-float OIS, I am trying to understand if convexity adjustments are technically ...
0 votes
1 answer
436 views

Discrepancy between Bootstraped Zero Rates: Gaps between Bloomberg and My Calculated Zero Rates

I have been attempting to bootstrap zero rates using quantlib, but I am perplexed by the significant discrepancies between my calculated zero rates and those ...
5 votes
1 answer
422 views

Yield curve bootstrapping not producing expected cash flow start date

I'm currently working on building a yield curve using OIS swaps. However, I'm encountering an issue with the cash flow start date that I'm struggling to understand. Here's a simplified version of my ...
2 votes
1 answer
289 views

Cash flow mapping on multi curve framework

I am trying to map cash flows according to FRTB pillar dates, on an Interest Rate Swap fixed Vs Euribor 6 months. Using the sensitivity preserving approach, under the OIS framework, this has to be ...
1 vote
1 answer
366 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 ...
0 votes
1 answer
175 views

Computing Daily OIS overnight trade coupon payments in excel

So I currently work in MO G10 rates sales support and we always get referrals from our setts department to recalculate discrepancy's in vanilla swaps trades coupon payments, this issue is, training ...
1 vote
1 answer
609 views

US Treasury vs OIS rate

Is there any specific name for the spread between US Treasury vs OIS rate? I observed that for a specific tenor (e.g. 10 years) US Treasury is higher than the OIS curve. Any reason for this? OIS is ...
22 votes
4 answers
45k 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
0 answers
132 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 ...
3 votes
2 answers
432 views

2 Ways to Define/Calculate "FVA"? - Same or Different? (Simple XVA Question)

I've got a very simple question on 2 different ways of defining or calculating the FVA of an uncollateralized swap. One definition I've often seen is that the FVA is the difference in the net present ...
2 votes
0 answers
491 views

Interpreting SOFR OIS Curve from CME

I have a doubt regarding the daily SOFR OIS Curve published by CME. https://www.cmegroup.com/trading/interest-rates/cleared-otc-sofr-swaps.html#sofroiscurve If we refer to the curve dated 22 Jul 2022.....
0 votes
0 answers
198 views

Is a swap fixed rate always a par yield?

I am learning about using the OIS fixed rate to value a plain vanilla LIBOR swap. I'm using Bond Math by Smith, and the accompanying online addendum. To bootstrap the discount factors, the author ...
0 votes
1 answer
319 views

OIS Fixed Rate - how to calculate on trade booking?

I am trying to understand how the Fix rate on a OIS trade is calculated at trade initiation. I understand this process for a Fixed V LIBOR trade non collateralized ( discount and projection curve are ...
0 votes
2 answers
660 views

QuantlIb: How to use maturities in place of Tenors in OIS rate helpers Quantlib?

I would like to know if I can use maturity dates from my rates dataframe to generate OISratehelpers. In the following code the OIS rate helper use 'tenors' and I want to replace those tenors with ...
0 votes
0 answers
42 views

SONIA Reference Data Calculation / OIS Data

I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM. https://www.refinitiv.com/content/dam/...
3 votes
0 answers
311 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 ...
0 votes
1 answer
190 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= ...
0 votes
1 answer
222 views

Is an 18 month OIS a bullet?

I have been looking at SOFR/fixed swaps. On Bloomberg I found USOSFR1F which is the 18 month tenor on the SOFR OIS curve. My understanding is that SOFR OIS pays annually. When bootstrapping to get a ...
1 vote
1 answer
210 views

Data for OIS and Libor rates

I want to bootstrap OIS zero-coupon bonds to the OIS rate but unfortunately I don't have any data. Does anyone know where I can find the Libor rates and OIS rates?
0 votes
0 answers
620 views

Pricing an OIS referencing SONIA with fixing lag

I'm trying to price an Overnight Index Swap referencing SONIA. The swap will have a 5 day fixing lag (i.e using compounded SONIA over the current interest period but with the last rate set 5 days ...
0 votes
3 answers
3k views

Which risk-free rate to use for the UK?

I am working on an assignment to calculate Beta in the CAPM Model through empirical data on the british market and am still unsure which risk-free rate to use. Since I have a 1 week investment horizon,...
1 vote
0 answers
177 views

forward LIBOR curve bootstrapping

how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info: par rates of a set of OIS fixed 6M LIBOR rate par rates of a set of Swaps which the underlying ...
1 vote
2 answers
299 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,...
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 ...
1 vote
1 answer
2k 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 ...
2 votes
1 answer
255 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
0 answers
298 views

Cross Currency Swap Bids and Offers?

Could someone please explain why certain Cross currency pairs like EURUSD or GBPUSD show higher bids then offers in Bloomberg? e.g for a 5y GBP/USD Xccy Swap bids could be at -5 bps and the offer at -...
0 votes
1 answer
181 views

overnight index swaps OIS

I'm writing a paper where I am using expected federal funds rates at different horizons and wanted to use the OIS as a proxy for what the market expects the FFR to be post FOMC-meetings. However, I ...
10 votes
3 answers
1k views

LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking

This question emerged from comments in this feed: OIS rate to build Term structure. I was wondering how the float leg of an IRS will look like in a post-LIBOR world. Assume the following time-line, ...
3 votes
2 answers
878 views

OIS rate to build Term structure

There are some discussions (e.g. Difference between OIS Rate and Fed Funds Rate) on usage of OIS rate to build the Libor term ...
1 vote
1 answer
2k views

ICVS 133 Bloomberg Curve

This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants. I'm ...
0 votes
1 answer
1k 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....
4 votes
2 answers
4k views

Difference between OIS Rate and Risk-Free Rate

What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...
2 votes
1 answer
816 views

Hull-White Monte Carlo simulation - mean reversion function

Quite new to implementing Hull white model in Monte Carlo simulation, hope to get help for 1. how to get the function $\theta$ in the following formula (the function used to match initial term ...
2 votes
1 answer
2k views

Relation between OIS rate and discounting rate

This is from book Modern Derivatives Pricing and Credit Exposure Analysis page 22 https://www.amazon.com/Modern-Derivatives-Pricing-Exposure-Analysis/dp/1137494832 In an OIS, two parties exchange a ...
4 votes
1 answer
2k views

Bootstrapping OIS curve

I am trying to get a zero curve from a series of EONIA-based OIS rates with Quantlib. When comparing my output with Bloomberg, I find some differences (see at the end of the question), and and I don't ...
3 votes
3 answers
5k 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 ...
1 vote
0 answers
58 views

Reconstructing bond proces with OIS rate

I am pricing derivatives under a $T$-forward measure and as such I need to discount the expected payoff with a bond price. I have available to me overnight-indexed swap (OIS) rates, how do I ...