Questions tagged [overnight-index]

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How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?

I am trying to value the Latin Americans swaps. But CLP-TNA valuation is far off from the actual valuation. Please suggest, what I am missing in below methodology to compute NPV. ...
robin's user avatar
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1 vote
2 answers
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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 ...
Xiaohuolong's user avatar
1 vote
1 answer
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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 ...
Shyam's user avatar
  • 11
2 votes
1 answer
641 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 ...
JonDoe's user avatar
  • 137
9 votes
1 answer
2k 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 ...
user26918's user avatar
4 votes
1 answer
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 ...
The Berg's user avatar
  • 205
3 votes
0 answers
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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 ...
Quantless wonder's user avatar