Questions tagged [swaps]

Swaps are a common name for exchange operations between two (or more) counter-parties with various financial instruments like cashflows (IRS), currency (XCCY), credit risk (CDS), et cetera

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TRS and leveraged etf

To get the leveraged return of an index daily, leveraged ETF uses TRS to get that leveraged. Yet I don't really understand how it is used and who is the counterparty of that TRS. So, first you have ...
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Leveraged ETF construction

It says that leveraged ETF are constructed using options/swaps, but I didn't see any example of how you can replicated a leveraged index using options and swaps. For example taking the S&P500 ...
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Does value of a TRS only involve past price movement and not expected returns?

Is the value of a TRS just the difference between the "financing leg" (e.g. the side paying -IBOR plus spread) and "asset leg" (e.g. the side pay income and price changes), with of ...
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Trying to calculate FX SWAPS CARRY TRADE

Is this accurate ? I got it from the lehman brothers manual . EXAMPLE OF A POSITIVE CARRY TRADE • USD/JPY Spot/Next Points: -0.45 3-Year Points: -1040 or (-0.95 per day) Sell/Buy $10 USD /JPY three ...
EarlyFx's user avatar
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Hedge Effectiveness

I am trying to prove the hedge effectiveness of a SWAP, I know that a regression needs to be done between the hedged item (Loan) and the hedging instrument (SWAP), but I don't know which values should ...
Alejandro Zuñiga's user avatar
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Price Path Dependent Swap

Let's say we start at t0, with a vanilla XCCY Swap contract (one leg paying Fixed Rate r, and denominated on Ccy1, the other leg paying Floating Rate f on Ccy2). Now let's assume you have two ...
James Walker's user avatar
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Decomposition of Step-up swaps

is there a general procedure to decompose a fixed-floating interest rate swap, where the fixed rate changes period-to-period, into a basket of co-initial swaps, each with a different fixed rate? For ...
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Are these two hedging strategies equivalent?

I am looking at two strategies for hedging interest rate risk, and I need some help to show whether they are equivalent or not. The aim of the hedging programme is to hegde the 10yr risk free rate in ...
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Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?

If I think market expectations are too dovish and I expect rates to stay high for longer i.e. rate cuts by X central bank to happen in September for example (as opposed to whats priced in, e.g. May), ...
user131113's user avatar
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When are daycounts needed for the floating leg of a swap?

For the fixed leg, the daycount is needed since the PV is $\sum_t N\delta_{t}r DF_t$ where $\delta_t$ is the daycount accrual factor at time $t$. However for the floating leg it looks like $\sum_t N \...
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Bootstrapping adjustment for coupon

I struggling to get why in bootstrapping I need to divide the YTM by 2 (for semiannual coupons) and not adjust the power for the semiannual period. Please see below example. Consider two bonds with a ...
Finance_student's user avatar
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Bootstrapping the zero-curve/spot-curve from incomplete swap curve par-rates

TL;DR: I have an incomplete set of swap rates and want to bootstrap the zero-rate curve, what can I do? I'm trying to construct a spot-rate/zero-rate curve from a swap curve (i.e. par-rate quotes) ...
Energy Media's user avatar
2 votes
1 answer
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How to read off a fixing from a swap curve?

Let $F_t(T_1, T_2)$ be the forward swap rate at time $t$ from $T_1$ to $T_2$. Consider a swap that fixes at time $T$, with effective date at time $T + 2D$, and payment date 6 months later at $T + 2D + ...
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swap butterfly trade

for example 2-5-10 year butterfly trade. Butterfly can be constructed via spot swap trades? I am wondering if it make sense to construct it via forward starting swap trades ? i.e., constructing it ...
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Calculating key dates for a Forward Starting Interest Rate Swap versus a Spot IRS

How are the Effective Dates and Maturity Dates of a forward starting IRS (eg: EURIBOR3M 5Y5Y) handled when the forward starting term ends on a non-business day? And if that date is adjusted, how does ...
Simon Wiltshire's user avatar
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Derive the convexity adjustment for inflation YoY swap with unconventional payoff

I'm trying to solve for the convexity adjustment for an inflation YoY swap with unconventional payoff, where $I_i$ is CPI at time i: $Notional * ([I_i/I_{i-1}]^{Day Count Fraction} - 1)$ In the normal ...
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Find the right module for CDI DI BRL swaps valuation Quantlib

I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue: I don't see any solution on Quantlib. I ...
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Why does swap fair rate not change 1:1 with shifted curve? [duplicate]

I'm trying to calculate things like dv01 for OIS interest rate swaps by shifting the swap curve (by 100bp say) and revaluing swaps on the shifted curve. However, I noticed that the swap rate (QuantLib'...
jackt247's user avatar
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Determining the floating rate for an interest rate swap

I'm trying to price an Euribor 6M Swap and comparing this to Bloomberg's swap manager. However, I'm having some doubts on my implementation of getting the reset rate for the floating leg. In Bloomberg ...
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Lend $ synthetically at higher yield using ¥: it works but why?

The Trade is: You have USD 100m funding Swap USD for YEN equivalent at today's spot, agree to swap back in 12 months at the USD/JPY forward rate With the YEN buy a 12 months Japanese Government bond ...
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Quantlib FRA and interpolated rate in Swaps vs BBG valuation

I am building a CZK swap pricer on quantlib, and I am trying to understand my differences with Bloomberg pricing. I believe the way I set up my FRA is wrong, the reason is because even though I match ...
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Quantlib - mismatch with BBG Swap

I'm trying to price a CZK swap via Quantlib with BBG data, so far nothing complicated but I can't seem to match the floating leg cashflows, and NPV, when I price my swaps, even if I find the right Par ...
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CMS diffusive dynamic

As I am landing on a project related to CMS option, I am wondering if one can write dynamic for CMS depending on the pricing model. For example, is it possible to have a diffusive dynamic for the CMS ...
StochasticMan's user avatar
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determine cross currency basis spread in illiquid markets

I have a very special case, where a client needs a quote on a cross currency basis swap EUR/DEV, DEV is a hypothetical currency where the market for cross currency swaps is inexistant. client wants to ...
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How does Bloomberg compute the cross currency swap basis?

First, look at the FXFA for EURUSD The EUR and USD Yield & FX swap rate on 10/18/2023 are given as: The computations are shown in this answer. ........................................................
Engin YILMAZ's user avatar
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How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

Question 1: You can see Bloomberg EUR/USD FXFA<go> page attached below EUR 3 months yield=3.9412 US 3 months yield= 5.6683 Spot Rate: 1.0580 How does it find FX swap rate as 1.062732? Question ...
Engin YILMAZ's user avatar
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EM currency bond pricing and swaps

EM ccy denomimated bonds (such as MXN, TRY) are often priced using cross currency swap rate (MXN-USD, etc). I guess this is because their fundings are in USD. My question is who are the participants ...
neko's user avatar
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How is an equity TRS reflected on a balance sheet?

Suppose there is a hedge fund with with USD 50M cash and the balance sheet is below. Asset: 50M Liability: 0 Partner's Capital: 50M If the hedge fund executed a USD 100M notional TRS with 25% IA (USD ...
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Is there a name a CCIRS structure where the notional amount changes halfway through the accrual period?

I am dealing with a cross currency swap where the notional amount changes halfway through the strip accrual period, and I would like to know if there's a specific name for this structure? A stylized ...
soju's user avatar
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Zero Coupon Swaps Convexity Adjustments

Can i check here if convexity adjustments are needed for zero coupon swaps?
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Substituting the basis swap for the FX forward

I have come across a response to the question titled "Cross currency swap a combination of 2 Interest rate swap" on this site. There, it is stated the following: Long story short: As @...
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Par par asset swap counterparties in practice

In practice is it possible to enter into a par par asset swap where the bond is purchased from counterparty A and the swap element is conducted with counterparty B?
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What could the cashflows of US0SFR1Z Curncy be?

So this "SOFR vs fixed" swap has a fixed leg paying 5.231% yearly and a floating leg paying yearly the yearly compounded SOFR rate, and has a 1W term. If it has started today, it won't have ...
EricFlorentNoube's user avatar
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Calculating the volatility of an interest rate swap

At its most basic the volatility of an instrument is the standard deviation of its return series over time calculated as percentage change of the price series. How would this work for interest rate ...
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6 votes
2 answers
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Replicating QuantLib plain vanilla Interest Rate Swap valuation

I'm learning QuantLib-Python and trying to replicate an Interest Rate Swap valuation on a custom curve constructed by passing lists of dates and discounting factors. Please see my code below ...
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Seasonality adjustment within Quantlib Zero Coupon Inflation Swap

I am currently working on pricing a Zero Coupon Inflation Swap using Quantlib in Python. During my analysis, I have observed that when the start date and end date of the swap coincide exactly with X ...
Oamriotn's user avatar
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Discrepancy between Bootstraped Zero Rates: Gaps between Bloomberg and My Calculated Zero Rates

I have been attempting to bootstrap zero rates using quantlib, but I am perplexed by the significant discrepancies between my calculated zero rates and those ...
TourEiffel's user avatar
4 votes
1 answer
444 views

Yield curve bootstrapping not producing expected cash flow start date

I'm currently working on building a yield curve using OIS swaps. However, I'm encountering an issue with the cash flow start date that I'm struggling to understand. Here's a simplified version of my ...
TourEiffel's user avatar
1 vote
1 answer
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BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve

I struggle to understand why my market rates does not match my bootstrap model. So I wonder why the spread is that high between market & model. ...
TourEiffel's user avatar
2 votes
1 answer
491 views

what does "outright" mean in rates world?

For example, what does "outright" mean in outright OIS swap? Another similar question, what does "USD fedfund is marked as outright" mean? Thank you
ice_fox21's user avatar
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1 answer
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YYIIS Inflation swap chapter 16 of Brigo's text

Are there errata in the Brigos's text of Interest Rate Models in chapter 16 when it is defined the YYIIS payoff? In formula (16.3) is defined Party A's payoff as: \begin{align} \\ N\psi_i\left[\frac{I\...
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IRS Payer/Receiver swap dv01

I was just wondering whether it was possible for long payer swaps to have a negative dv01 and vice versa for a short payer to have a positive dv01? Intuitively by definition of payers and receivers I ...
redmonkey's user avatar
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How to read the notation used for the swap rates in the form 4.412/452 for the 1 year swap rate?

How to read the notation used for the swap rates in Table 20.6 below? What does 2.412/452 means?
Alex's user avatar
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Most relevant papers on IR / discount rate(s) modelling in the last 5 years

As the question states, what are some relevant recent papers I, as a non-expert, should read on IR modelling, products, and mechanics (that do not involve AI/ML)? I think my knowledge on this topic ...
Frido's user avatar
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What is the Fair Strike in a Var/Vol Swap and how does it relate to its price? [closed]

I am a student trying to price volatility and variance swaps. People who price those two products usually try to get the "fair strike", and don't seem to care about the price. However, I ...
Ozee's user avatar
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forward starting interest rate swap trade settlement date

Say today is 13rd Dec 2022, For a spot staring swap, its settlement date would be 15th Dec 2022 assuming the settlment offset is 2 days. What is the settlement date for a one year forward starting ...
Peaceful's user avatar
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3 answers
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Cross currency swap a combination of 2 Interest rate swap [closed]

I was told that a Cross currency swap can be thought of as a portfolio of 2 different interest rate swaps. Reference link : https://cvacentral.com/wp-content/uploads/2020/06/Chapter-11-Appendices-4E....
augustine's user avatar
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Expiry of a midcurve swaption

Have a logical question - let me paint a picture. I have a 1y5y5y Midcurve Payer Swaption, and at Expiry the swaption is ITM (say the 5y5y rate is 4% and my strike is 3%). then 5 years after expiry (...
purr's user avatar
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2 answers
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How to quickly calculate PV01? Or quickly calculate notional back given PV01 and duration?

is there a way to quickly calculate the PV01 of for example for a swap EUR fix floating 10 years? And is it possible to calculate the Notional, with a given PV01 and the years of the trades or ...
Mostdoisneverdone's user avatar
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1 answer
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Quantlib Vanilla Swap Amount not based on Forwards

I have the following code: ...
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