# 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

475 questions
Filter by
Sorted by
Tagged with
37 views

### How to convert 3M IRS rate to 6M IRS rate without using basis swap?

I have a spot curve where the front-end points (1Y, 2Y) have a fixed/float frequency of 3M3M, while the rest of the points are 6M6M. I want to build a full 6M6M curve. My question is: How can I derive ...
• 1
56 views

### Understanding Key Rate Durations in a Swap

As I understand, the Cashflows of a Payer-Swap are nothing else than being long a floating-rate bond and short a fixed-rate bond. So, to calculate the Key Rate Durations of the Swap I should be able ...
37 views

### Forward Rate of a Forward Rate. (calculate 1y1y rate in 1m time)

I'm sure this is straightforward and I am just missing something. I am familiar with standard fwd rate calculations. i.e assuming a 2y swap rate is x and a 1y swap rate is y, the 1y1y rate would be ...
• 103
57 views

Assume that an investor holds a bond and enters into an asset swap with a bank in which the investor pays the fixed coupon and receives Libor + spread and the following data: 10y bond price 103, bond ...
34 views

### Uneven FWD FX Swap Termination

Is it possible for a Uneven FWD FX Swap trade to be Full Terminated before the maturity?
133 views

### IRS Swaps market

I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor. I am not able to find any of this information that ...
1 vote
105 views

### Roll-adjustment definition for swaps schedule generation

To my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted ...
1 vote
149 views

### Swap/Bond basis: Bond rates "too high" or swap rates "too low"?

I suppose this question is more of a discussion piece than a question per se, so I apologize in advance. I've long been fascinated by the large negative basis between government bonds and swaps. These ...
265 views

### Calculating swap rolldown using the RatesLib Python Library

The code I am using is below, pulling in swap curves from BBG and then using RatesLib to price the swaps. ...
• 103
44 views

### When using quantlib's swaphelper to build a curve, is the fixing lag considered?

For example, EUR Annual (vs. 3M EURIBOR) swap has 2-Business-Days Fixing Lag. When interpolating with 1Y swap, the forward 3M Euribor rate starting date is the reset date（2023/6/14）, not the reset ...
103 views

### What day count convention for pricing

Imagine looking at some equity implied vol surface on Bloomberg. You see a call implied volatility in the grid. Now you want to convert this vol into a price. For that, you will use Black-Scholes ...
• 113
109 views

### How does Bloomberg calculate reset rates for a fixed to floating swap?

I believe Bloomberg uses daily compounded sofr rates to calculate the reset rate for a cashflow period. My question is when I take the data from S490 curve - USD SOFR curve directly and linearly ...
79 views

### Competitive quote convention for FX swaps

When rolling a maturing FX forward, the FX swap is quoted in forward points by the brokers for the far leg, but the spot for the near leg is not quoted. To get the most competitive quote, why do we ...
• 25
133 views

### Rateslib - Pricing 1y EUR vs 6M (EUSA01)

I am using the rateslib python library to try to price some European swaps. It seems to be working for most tenors aside from the 1y for some reason. The code I am using is below: ...
• 103
32 views

### What are "Funding Events" for Equity Swaps

have been using PE Swaps deck on Swaps pricing as a reference to understand Equity Swaps better. https://osf.io/72693/download. As I understand it, the Funding Leg Present value can be determined as: ...
• 1
1 vote
104 views

### Structure of market for equity swaps (breakable vs non-breakable)

In the following answer to a question on breakable total return swaps , the answerer writes that: As a general rule you will find that dealer-to-dealer trades are locked and customer-to-dealer trades ...
• 8,159
75 views

### What is the timeline for EUR and USD swaps vis-a-vis fixing curves and discount curves?

Is my understanding of the timeline of fixings for EUR and USD swaps correct? This is my current understanding: EUR: Vanilla swaps have been based on LIBOR, and OIS swaps have been based on EONIA. ...
• 141
81 views

### Quantlib: SOFR IRS Fair Rate not the same as inputs

I am making an OIS curve and a SOFR curve with bloomberg quotes When I valuate a SOFR swap in the same tenors as the SOFR inputs, the FairRates are not the same as the quotes I used to create the ...
164 views

### Question on unwinding cross-currency swap

Hoping someone can help me understand 'Notional Exchange Unwind Value - NEUV' when terminating a cross currency swap prematurely. Where the NEUV is essentially the profit/loss of the notional exchange ...
152 views

### 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 ...
1 vote
154 views

### 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 ...
365 views

### 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 ...
• 155
138 views

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 $10 USD /JPY three ... 0 votes 0 answers 56 views ### Hedge Effectiveness I am trying to prove the hedge effectiveness of a SWAP, I know that a regression needs to be done between the hedged item (Loan) and the hedging instrument (SWAP), but I don't know which values should ... 0 votes 0 answers 46 views ### Price Path Dependent Swap Let's say we start at t0, with a vanilla XCCY Swap contract (one leg paying Fixed Rate r, and denominated on Ccy1, the other leg paying Floating Rate f on Ccy2). Now let's assume you have two ... 1 vote 0 answers 29 views ### Decomposition of Step-up swaps is there a general procedure to decompose a fixed-floating interest rate swap, where the fixed rate changes period-to-period, into a basket of co-initial swaps, each with a different fixed rate? For ... • 76 0 votes 1 answer 114 views ### Are these two hedging strategies equivalent? I am looking at two strategies for hedging interest rate risk, and I need some help to show whether they are equivalent or not. The aim of the hedging programme is to hegde the 10yr risk free rate in ... 1 vote 2 answers 389 views ### Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on? If I think market expectations are too dovish and I expect rates to stay high for longer i.e. rate cuts by X central bank to happen in September for example (as opposed to whats priced in, e.g. May), ... 0 votes 1 answer 112 views ### When are daycounts needed for the floating leg of a swap? For the fixed leg, the daycount is needed since the PV is$\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 \...
• 141
100 views

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 ...
500 views

### 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) ...
160 views

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 $T + 2D + ... • 141 0 votes 0 answers 251 views ### swap butterfly trade for example 2-5-10 year butterfly trade. Butterfly can be constructed via spot swap trades? I am wondering if it make sense to construct it via forward starting swap trades ? i.e., constructing it ... • 734 0 votes 1 answer 264 views ### Calculating key dates for a Forward Starting Interest Rate Swap versus a Spot IRS How are the Effective Dates and Maturity Dates of a forward starting IRS (eg: EURIBOR3M 5Y5Y) handled when the forward starting term ends on a non-business day? And if that date is adjusted, how does ... 0 votes 0 answers 97 views ### Derive the convexity adjustment for inflation YoY swap with unconventional payoff I'm trying to solve for the convexity adjustment for an inflation YoY swap with unconventional payoff, where$I_i$is CPI at time i:$Notional * ([I_i/I_{i-1}]^{Day Count Fraction} - 1)$In the normal ... 1 vote 1 answer 245 views ### Find the right module for CDI DI BRL swaps valuation Quantlib I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue: I don't see any solution on Quantlib. I ... • 21 0 votes 0 answers 25 views ### Why does swap fair rate not change 1:1 with shifted curve? [duplicate] I'm trying to calculate things like dv01 for OIS interest rate swaps by shifting the swap curve (by 100bp say) and revaluing swaps on the shifted curve. However, I noticed that the swap rate (QuantLib'... 1 vote 0 answers 223 views ### Determining the floating rate for an interest rate swap I'm trying to price an Euribor 6M Swap and comparing this to Bloomberg's swap manager. However, I'm having some doubts on my implementation of getting the reset rate for the floating leg. In Bloomberg ... 0 votes 0 answers 99 views ### Lend$ 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 ...
• 527
193 views

### 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 ...
• 21
1 vote
267 views

### 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 ...
• 21
41 views

### 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 ...
1 vote
203 views

### 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 ...
• 11
2k views

### 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. ........................................................
• 125
4k views

### 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 ...
• 125
96 views

### 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 ...
• 3
222 views

### 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 ...
• 51
97 views

### 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 ...
• 21
127 views

### Zero Coupon Swaps Convexity Adjustments

Can i check here if convexity adjustments are needed for zero coupon swaps?
• 346