Questions tagged [overnight-index]
The overnight-index tag has no usage guidance.
7
questions
0
votes
1
answer
338
views
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.
...
- 63
1
vote
2
answers
514
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 ...
- 479
1
vote
1
answer
4k
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 ...
- 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 ...
- 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 ...
- 91
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 ...
- 205
3
votes
0
answers
189
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 ...
