Questions tagged [overnight-index]

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What are the factors affecting Pre-Market/overnight market prices

During the past few weeks, it seems to me, that there are different cohorts of people affecting the prices of, say, SPY--the S&P 500 ETF during normal hours and after-hours. This may be a ...
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1answer
1k views

Difference between IRS and OIS

Is the understanding right that OIS can be accessed only by banks whereas IRS is for corporates. Also, since corporates borrow at Libor + spread, to hedge Libor I use IRS. Banks can borrow overnight ...
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1answer
350 views

TOIS (CHF), TONAR (JPY), AONIA(AUD) in Quantlib

I am looking for the TOIS, TONAR, AONIA in Quantlib for discounting. I only could find the EOINA, FEDFUNDS, SONIA etc.Do I miss something? In case they don't exist how can I use the corresponding rate ...
7
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1answer
1k views

Repo Settlement v. Collateral Settlement

I'm a bit confused about repo settlement conventions, and let's say repos on US Treasuries (USTs). USTs settle $T+1$ where $T$ is the trade date. So if today is Wed 3/8/17 and I execute a trade with ...
4
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1answer
2k views

Why is the overnight index swaps considered risk-free?

What I have understood is that the overnight index swap is bootstrapped to discount rates/zero rates that in their turn are considered risk free. The reason being, that the reference rate of such swap ...
3
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176 views

Overnight Index Swaps

Just a very quick general question regarding the OIS market. Is it common place on termsheets to state a PV Notional and additionally a FV notional, if so what is the purpose of this and does market ...