Questions tagged [overnight-rate]
The overnight-rate tag has no usage guidance.
6
questions
4
votes
1
answer
292
views
FX-swap market convention question for o/n
Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency)? An example is ...
- 91
1
vote
1
answer
182
views
Overnight Term rate
I have come across this page from CME which provides O/N rate for various terms:
https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr....
- 752
1
vote
1
answer
93
views
Simulating the path for Interest Rate
There are many ways to short term rates like Ho-lee process, HW process. However I failed to understand how this information can ...
- 752
0
votes
2
answers
125
views
US overnight swaps (OIS)
Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?
- 341
0
votes
1
answer
121
views
Euro short-term rate (€STR) question
Based on the latest data published by ECB,€STR = -0.56%. Is this the rate a bank would pay to borrow overnight or it's an annualised overnight rate so the actual overnight rate can be approximated ...
- 341
2
votes
1
answer
258
views
Repo- A few questions [closed]
A few questions which could be related to each other, to help me gain familiarity with repo. These are accompanied with my guess. If anyone can explain in layman's terms (this is new to me).
1) I ...
- 250