Questions tagged [overnight-index]
The overnight-index tag has no usage guidance.
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QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification
With reference to the post of latin american swap, I am valuing the FixedFloat CLP swap.The specifications of this swaps has payment frequency upto 18 months as Zero coupon(1T) and after that ...
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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.
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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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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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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 ...
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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 ...
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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 ...
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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 ...
