We changed our privacy policy. Read more.

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

Filter by
Sorted by
Tagged with
0
votes
2answers
63 views

Filtered Historical Simulation VaR for swaps

I am trying to understand how to calculate FHS VaR for a portofolio of vanilla swaps. I think I understand the main ideas behind FHS VaR and how to implement it for other assets such as equities. I ...
2
votes
1answer
205 views

Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?

The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future. Why changes? What the factor make this changes? Why bloomberg put into a financial commodity ...
2
votes
1answer
50 views

Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap

I am just starting to use Quantlib, and want to try and replicate the SWPM-functionality in Bloomberg, and price a vanilla 5Y EUR OIS. Below is the overall swap data used in BBG: Overall settings ...
-1
votes
0answers
39 views

Why are overnight swap rates are tighter than tom/next swap rates?

What is the fundamental reason why overnight swap rates are tighter than tom/next swap rates?
0
votes
0answers
42 views

How the swap curve moves if fed fund rate decrease?

I am currently reading the book "Interest Rate Swap and other Derivatives by Howard Corb", in Chapter 8.2 Curve Trades, it mentioned: "Investors believes Fed is going to lowering the ...
0
votes
0answers
75 views

How to compute IRS DV01?

Assume 50k notional and annual payments, entering a long position in a 5y interest rate swap will pay 50k * fixed rate (i.e. predetermined 5y swap rate which makes PV equal to zero) and receive 50k * ...
0
votes
1answer
221 views

OIS Fixed Rate - how to calculate on trade booking?

I am trying to understand how the Fix rate on a OIS trade is calculated at trade initiation. I understand this process for a Fixed V LIBOR trade non collateralized ( discount and projection curve are ...
2
votes
1answer
148 views

Compounding arrear SOFR Forward rate/curve

As per ISDA protocol and supplements, they stated that the fallback rate to be used on legacy derivative contracts is the compounding in arrears SOFR rate (based on a 2-day backshift) + a fixed spread ...
0
votes
0answers
38 views

Specify fixing days for floating leg in Interest Rate Swap valuation using QuantLib Python

I am trying to price an Interest Rate Swap using QuantLib Python, and everything seems to be fine. However, I can't seem to understand where I can specify the number of fixing days. Below are my codes....
0
votes
0answers
83 views

Estimating SOFR daily rate from a given curve

Goodday. May i know how can i estimate those fixing rate in the yellow cell, with the curve given on the left? Would my step below work 1.perform linear interpolation to find the rate e.g. the fixing ...
0
votes
0answers
58 views

What is the correct way to build a full swaps curve using discount factor interpolation?

I want to keep this as high-level as possible so that the rest can be figured out, but we will use DF log-cubic interpolation. (Convert rates curve to discount factor curve, interpolate this using log-...
7
votes
1answer
658 views

Exposure calculation of a re-coupon swap

How to calculate the exposure of a recoupon swap (when the MTM of an i.r. swap is settled and the fixed rate is reset to the prevailing swap rate for the residual maturity). It's used to reduce the ...
0
votes
0answers
32 views

Potential risks Trade Idea

I came up with a trade idea that wins when Interest rates increase. I am playing that by buying a Payer Swap and selling a deep ITM Receiver swaption at ATM+60 (same notional). I chose that strategy ...
2
votes
1answer
4k views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
1
vote
1answer
2k views

Pricing Uneven FX Swaps

I'm trying to figure out how to price uneven FX swaps. I just started on a FX trading desk and have been told that the all-in rate for a 2-legged FX swap is equal to: 1) Quote for market side of net ...
0
votes
0answers
70 views

Which curves to use for different swaps?

How do we determine which curve to use for pricing different swaps, for e.g. I don't understand how following come: Interest Rate Swap (USD) Fixed: USD Treasury Floating: none CCS (USDINR) Fixed: ...
2
votes
1answer
105 views

Australian banks funding

"Typically, Australian banks pay a small premium to swap foreign currency into Australian dollars. This premium is also referred to as the basis, which is the difference between the implied cost ...
2
votes
0answers
48 views

Swap spreads behaviour before Treasury auctions

Not really a quant question but why would someone buy us swap spreads before a US treasury auction. I get the idea of bidding for the bonds and then using the swap leg to asw the bond but whats the ...
4
votes
0answers
104 views

Why exchange basis exist in swaps

For example, swaps traded in CME versus LCH are quoted with slight difference? how do we decide the theoretical boundary of the basis ? what factors need to be consider? I think the principal to ...
0
votes
1answer
151 views

Swap data- couldn't find any

I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
1
vote
2answers
702 views

From Libor Curve rates to "forward" zero-coupons

I am provided a 6M euribor curve, constructed from FRA's and swaps of tenor 6M on the euro, as well an EONIA curve, constructed from zero-coupons EONIA swaps. Both curves are provided as functions $d\...
0
votes
0answers
29 views

How to calculate net exposure on a Interest Rate Swap (and on derivatives in General)?

I would like to know how to measure Exposure on swaps (IRS, TRS...) in general . Example, if a party A has a OTC position of 100 million USD in IRS with party B, is party A exposure = 100 million ...
2
votes
1answer
176 views

Why has cross currency basis become higher since the 2008 crisis?

The impact of cross currency basis on FX forward pricing has become more noticeable since 2008, diverging significantly from the interest rate differential, what are the fundamentals behind this ...
2
votes
1answer
482 views

Difference between 5Y breakeven inflation and 5Y5Y inflation forward?

I cannot figure out the difference between the two data series found here: https://fred.stlouisfed.org/series/T5YIE/ https://fred.stlouisfed.org/series/T5YIFR/ The 5Y breakeven inflation, to my ...
0
votes
1answer
107 views

How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?

I am trying to value the Latin Americans swaps. But CLP-TNA valuation is far off from the actual valuation. Please suggest, what I am missing in below methodology to compute NPV. ...
0
votes
0answers
78 views

Plotting a CSA curve in QuantLib

IRS under a CSA Let's consider an example of Interest Rate Swap under a CSA. To calculate discount factors that can be used to discount cashflows in one currency, $C_{1}$, collateralized in another ...
0
votes
2answers
89 views

Compute forward swap rate from spot swap rate?

I am pretty new to interest rate swap and this question might sound silly. Why does 3y2y (3yr forward and 2yr tenor) swap rate roughly equal to (5*5y swap - 3*3y swap) / (5-3)? Any explanation would ...
0
votes
0answers
75 views

How to compute the Brazilian Plain vanilla swap using Quantlib?

How to compute the BRL plain vanilla swap. I have followed the below methodology to calculate the valuation for other indexes but BRL-CDI is far off from actual valuation. Please suggest if anything ...
3
votes
4answers
3k views

Python libraries for bloomberg?

I am very new with python, and I am used to work with bloomberg formulas for excel. I am starting to use a lot more python in my analysis, is there any library that performs same functions as bdp, bdh ...
1
vote
0answers
116 views

IRS: Diff between "pricing curve" and "discounting curve"

I'm reading a book on swaps and author mentions in the typical attributes of swaps: "Discount curve: For present-value calculations (say, to calculate the current market value of the swap), what ...
0
votes
0answers
55 views

JPYEUR Interest rate parity question

I have some questions related to an interest rate parity question. I have tried to answer them, but would really appreciate if you could let me know whether my answer makes sense or not. I am very ...
2
votes
1answer
453 views

Question regarding fitting Euribor curve using different basis quotes using Quantlib Python

I am trying to fit a EUR curve based on the following instruments:- EONIA quotes 1m vs 6m basis quotes 3m (outright) quotes 6m (outright) quotes 6m vs 12m quotes (1) , (3) & (4) are simply ...
0
votes
2answers
119 views

When you rollover a FX Forward, do enter the FX swap at the spot rate or previous forward rate?

from below link: https://www.linkedin.com/pulse/distinction-between-fx-swaps-currency-risk-management-akubue-cfa/ "if the date of settlement of the export proceeds has been extended by three ...
0
votes
1answer
33 views

price alignment interest on future contract

why this is no PAI (price alignment interest) on a future contact like cleared swaps have? Am I right that you may get interest from your margin account, but you do not need to pay the interest back ...
0
votes
2answers
116 views

FX swap par value

What is the relationship to apply so that an FX swap value is 0 at inception? For example, for a short 1y EURUSD swap with 1mm euro notional, at inception spot = 1.1000 and 12m fwd = 1.1022, EUR 1y ...
0
votes
1answer
71 views

Sensitivity of correlation swaps to stochastic volatility

Are correlation swaps sensitive to stochastic volatility? Can you please justify from a theoretical point of view?
3
votes
0answers
59 views

Book that considers stochastic interest rate models in discrete time?

Are there any books that covers interest rate swaps, futures, forwards etc. but have a discrete time model? I would like to go deeper into this without having to worry about the stochastic calculus. ...
7
votes
4answers
560 views

Two practitioner questions about asset swap spreads

I have two questions regarding the terminology used on the practitioner side regarding asset swap spreads. Asset swaps are mainly used to retain the credit exposure of a bond while minimizing the ...
1
vote
1answer
107 views

USD Swap curve prices do not line up with inputs

As mentioned in the title, i'm having trouble with pricing USD swaps in quantlib. I wanted to take some inputs (Prices of swaps in the market) and be able to construct a yield term structure that ...
0
votes
0answers
31 views

How to price a Loan&borrowing deal(LNB) using cross currency basis?

I want to know how we can price a loan&borrowing(LNB) deal in USD using cross currency basis of my domestic currency is euro. For example, my domestic currency is Euro, I want to buy a LNB deal in ...
4
votes
2answers
299 views

Different types of swaps and generalized pricing structure - correlation swap, variance swap, volatility swap, gamma swap, etc

I am very new to derivatives pricing, and I am currently trying to learn these on my own. As far as I can tell, most of the derivatives that are simple (in the sense of having a constant strike that ...
0
votes
1answer
78 views

Calculate DV01 for a vanilla swal for MXN index using quantlib

I am trying to calculate dv01 for a vanilla swap using quantlib. Its a MXN TIIE Swaps for built an index like ...
0
votes
1answer
113 views

Currency swap terminology

With reference to cross currency swaps, what does it mean to receive the basis? "Demand from Japanese institutions to receive basis (USD funding) increased due to emergency dollar demand due to ...
0
votes
1answer
140 views

Hedging with FX swaps

I am trying to get the mechanic of the swap rollover. Funds usually hedge FX risk of their long term foreign assets (eg UST) with short term FX swaps (usually maturity < 1yr), by rolling over fx ...
7
votes
0answers
370 views

Replicating Bloomberg Swap Prices with QuantLib

I'm trying to learn more about the QuantLib python package and as an exercise I'm trying to replicate some swaps on Bloomberg. However, when I do so, it seems like my swaps are consistently ...
0
votes
1answer
98 views

FX swap implied yield from bloomberg

I am trying to reproduce the bid EUR implied yield I see in the screenshot below for 1y tenor which is -0.6226%. EUR implied yield bid = spot_bid/fwd_bid *(1+i_USD_bid) - 1 Inputs from BBG terminal: ...
3
votes
1answer
79 views

Missing observations in ICE Swap rates

While searching time-series data for different interest rate benchmarks, I found that for the USD, all observations are missing for the period between March 2020/April 2020. This discontinuity is ...
5
votes
4answers
3k views

How do insurance companies use interest-rate swaps?

I have heard that insurance companies make use of swaps and am just trying to get some clarity on that: An insurance company (assume life insurance) has a fixed obligation to pay in the distant ...
0
votes
0answers
73 views

Is the price of the following inflation derivative observed/traded?

Let $M_{t\to t+2}^{\\\$}$ be the pricing kernel (SDF) from period $t$ to $t+2$. Let inflation over period $t$ to $t+1$ be denoted by $\Pi_{t \to t+1}$. Is it possible to observe the following quantity ...
2
votes
0answers
47 views

Valuing an electricity swap

A colleague of mine and I are debating how to price an electricity swap. Keeping in mind that electricity futures are delivered over a period of time rather than at a point in time, I maintain that ...

1
2 3 4 5
8