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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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 ...
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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'...
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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 ...
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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.
........................................................
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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 ...
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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 ...
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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 ...
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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 ...
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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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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 ...
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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 ...
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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 ...
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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.
...
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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
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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 ...
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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?
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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 ...
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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 ...
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FX Reset in MTM Xccy Swap - Curves & Collateralization
Background
Suppose I look into a EUR-vs-JPY Cross Currency Basis Swap with MTM feature (i.e., including quarterly resetting notional on one of the two legs). Cashflows are projected off the ESTR & ...
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Spot markup on even and mismatch FX swaps
I am a Business Analyst working on a requirement around giving Sales users the ability to add a Spot markup on an FX Swap.
I just wanted to understand the relationship between Trader Spot, Spot Markup ...
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Find the spread of an Asset Swap Spread
An Asset Swap Spread contract exchanges the annual defaultable coupons computed on the defaultable term structure $SPS^1$:
$$
SPS^1 = {i^1(0,1) = 0.025; i^1(0,2) = 0.03; i^1(0,3)=0.018}
$$
versus s ...
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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 ...
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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....
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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 (...
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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 ...
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How OIS swap rates behave when we receive or pay OIS swap rates?
I am reading a news article regarding how OIS swap rates behave when we receive or pay OIS swap rates.
The article states that when we receive OIS swap rates it makes swap rates fall. When we pay swap ...
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Call probability of a callable swap
For one call date,
The call probability is just the probability that the swap rate for the remaining life of the swap is below the strike rate. This is easily obtainable in a normal vol model, it is :
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Par rate of Interest Rate Swap
I'm interested in deriving the par rate of an interest rate swap priced under the single curve framework. Let's follow the corresponding Wikipedia article for the sake of notation simplicity.
The ...
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What is the maximum yield that can be received from owning an equity?
Suppose I lend you an equity security for ten years, interest-free, and you have to return it to me at the end of term (which means little-to-no risk-taking). What is the maximum (near-)riskless yield ...
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How does one get exposure to stock borrow rates?
Suppose I am long equity borrow rates, but I don't know exactly when borrow will increase. What is the most effective way to trade this?
The naive strategy of borrowing the stock now and then lending ...
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carry and roll of an asset swap [closed]
I came across many interesting questions regarding carry and roll of swaps, bond futures and bonds. Now I found that link about the carry / roll of an asset swap. Reading that article two questions ...
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Convexity adjustment doubt
So this the question and the answer to the first one states that only the 5 year swap rate will be adjusted for convexity and the answer to the second one states that neither of the rates will be ...
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STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA
Question on STIR.
Suppose we sell a 3m JPY swap with spot start date, and we are able to back out the 3m implied JPY forward points (hence swap points), using 3m JPY OIS (3m TONA) and 3m USD OIS (3m ...
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Approximate dollar MTM of interest rate swaps
I'm definitely a fixed income tourist but I'm wondering if there's an easy way to back of the envelope approximate dollar PnL of an interest rate swap
For example, if I enter a $1m fixed 5y USD swap ...
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Quantlib: VanillaSwap not using underlying Index fixings correctly
I am trying to reperform a vanilla swap. The problem is that the vanilla swap object does not seem to be using the exact fixings of the underlying index.
...