Questions tagged [rfr]

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Payment Delay Convexity Adjustment Formula for RFR Rates

For Libor we have the following Convexity adjustment formula for payment delay (under normal model) $$CA = P(0,T_e,T_p)\rho\sigma_e^L\sigma_p^L\Delta_e^p(T_s-t_0)$$ where $T_s$ is the period start ...
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4 votes
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Caplet stripping in the bwd-looking RFR world with/without maturity adjustment

Since the beginning of this year, LIBOR rates have ceased in some markets like GBP, CHF, and JPY and rates pricing has moved into the RFR space, using compounded overnight rates as the underlying for ...
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27 views

SONIA Reference Data Calculation / OIS Data

I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM. https://www.refinitiv.com/content/dam/...
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Day count convention effect on I-spread / Z-spread

I would like to ask if the Ispread / Zspread are computed correctly when day count convention "DCC" of the swap rate is different from the DCC of the bond. My understanding is that DCC plays ...
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3 votes
1 answer
243 views

USD swaps trading post LIBOR: the current state of the world (January 2022)

The USD interest rate swaps market has been transitioning from LIBOR to SOFR for some time. In the "old days" when swaps reset against LIBOR underlyings, there were a few "market ...
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1 vote
0 answers
53 views

Estimation of RFR payoffs of flavor Look-back with NO observation period shifts

With the new RFR swaps (Say $IRS Fixed to compounded SOFR), there are several adjustments that can be done to allow some room for the coupon on the floating leg to be known a couple of days ahead of ...
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6 votes
1 answer
757 views

SOFR Discount Curve Construction in Nov 2021

On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended the forward-looking term rates based on SOFR published by the CME Group. CME currently publishes Term SOFR for ...
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  • 103
11 votes
2 answers
454 views

LIBOR replacement in client products and prospective pricing

I am asking whether the industry, or single banks, have made up their minds already on how to replace the 'missing' interbank risk compensation component in their variable rate credit products when ...
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3 votes
1 answer
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Is there a difference between JPY TONA and JPY TONAR?

Wikipedia defines TONAR as "Tokyo Overnight Average Rate". The official Bank of Jappan website mentions TONA, rather than TONAR. I suspect the two, TONAR and TONA, are in fact two terms ...
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  • 5,191
2 votes
0 answers
280 views

PV and Risk on a RFR cross currency swap

When pricing a XCCY basis on RFR (assuming USD CSA so under SOFR), for example ESTER versus SOFR (USD leg resettable) : I observed that the PV / Risk and also FX Delta are close to zero. I have been ...
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4 votes
1 answer
334 views

Current liquidity of USD OIS-SOFR Swaps

We have now moved to discounting using OIS-SOFR swaps on cleared products and SOFR products in general have picked up in liquidity since last time this question was asked. I'd therefore like to ...
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2 votes
1 answer
1k views

Libor transition: Building SOFR discount curve

As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
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  • 347
2 votes
2 answers
376 views

Risk-free interest rate for option pricing from treasury yield curve rates

I am experimenting with an implementation of the Black-Scholes valuation for call options, and ran into the following questions: Black-Scholes pricing requires a risk-free interest rate. What is '...
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