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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1answer
81 views

PV of the Floating Side of an “Overnight Index Swap” (at the fixing Date)

I have a mathematical / theoretical question regarding the PV of an Overnight Index Swap (Floating Side) at the time of fixing. Starting from this question: How to compute Overnight Index Swap (OIS) ...
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1answer
50 views

Interest rate swap performance attribution

I have learned some attribution models such as Campisi. It decomposes the return of bond into treasury return, spread return, and coupon return. It works like: $$r = y\times dt - D \times dy_\text{...
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18 views

where I can get rates for OIS overnight Indexed Swap of various maturities? [duplicate]

do you know where I can get rates for OIS overnight Indexed Swap of various maturities? Thanks for your attention!
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40 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 ...
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235 views

Swap curve construction

I am new to this area so my question might be basic to many but please answer. For valuing interest rate swaps how will we define which curve to take, like sometimes we use usd 3m curve, or usd 3mv 6m ...
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2answers
138 views

Cross Currency Swap — Unobservable bid/ask

So in the place I work, one of the traders is dealing with a cross-currency swap within a country that has really no market for that kind of product. He wants to estimate a theoretical bid/ask, and ...
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1answer
80 views

OIS fixed rate compunding criteria

I have the following doubt: How should the OIS fixed rate be considered in computing principal+interests at the maturity of the swap? I mean, if i.e. the swap lasts 4 day (without w.e. in the middle), ...
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1answer
57 views

Inequality involving Co-Terminal/Co-Initial American vs Bermudan Swaptions

Let us consider a payment schedule $\mathcal{P}:=\{t_1,\dots,t_n\}$ which has a corresponding fixing schedule $\mathcal{F}:=\{t_0,\dots,t_{n-1}\}$. We have a series of co-terminal and co-initial swaps ...
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Market pricing of forward US Treasury rates

What instrument(s) are used for forward pricing of US Treasuries? I know that Eurodollar futures are used for the market pricing of Libor in the future, but treasury futures only have contracts 3 ...
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1answer
82 views

How to find OIS discounting factors from OIS swap rates. Please explain with example

Suppose I have the following OIS Swap rates: 1 year OIS Swap: 0.36% 2 year OIS Swap: 0.37% 3 year OIS Swap: 0.38% 4 year OIS Swap: 0.40% From these, how do I get the OIS Discounting factors for ...
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What are the margin set up or requirements in commodity swap?

Are there any margin requirements on a commodity swap ? Say it is a swap for a period of 5 years where in the actual commodity is exchanged, how does a party accepting the commodity insure against the ...
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0answers
66 views

Vega hedging swaption with caplets - precisely, what will go wrong?

I am trying to form a kind of unified perspective of how (vega) hedging an exotic with vanillas, or hedging a 'basket option' with vanillas will go wrong. So in particular, I want to be able to ...
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2answers
74 views

Quantlib: convert par swap rates to zero rates back and forth

I built a zero-coupon curve out of a generic par swap rate curve (Step 1) and I am trying to recover the swap curve back from the zero-coupon curve (Step 2). Step 1 works but not Step 2. I get close ...
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2answers
54 views

Value a Swap with Custom Coupons with QuantLib

I'd like to valuate a custom Libor3M - Fix swap with QuantLib in Python. With custom I mean, custom starting/end/payment dates for every coupon, a fixed coupon in the float leg (starting_date < ...
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1answer
29 views

Valuating Custom Amortization Schedule Libor IRS with QuantLib

I got to bootstrap the OIS and Libor 3M swap curves, and now I'd like to valuate some simple Libor3M - Fix IRS with QuantLib (in python). My problem is that some of the instruments I have to valuate ...
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47 views

Switching between collateral currencies in a xccy swap

Suppose the following: A xccy.basis swap EUR for USD. Having obtained relevant discounting and forwarding curves in both currencies respectively (i.e. OIS, LIBOR, EURIBOR), and spot exchange rate FX(...
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Is the value of an Asset-Swap (Underlying + Swap) the same value as a floating-rate bond with the same issuer, maturity, etc.?

I am trying to evaluate the impact of switching an Asset-Swap Package (fixed bond + Swap) into a floating rate bond of the same issuer with the same notional and maturity. My intuition would tell me ...
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3answers
275 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 ...
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1answer
125 views

Interest Rate Swap Delta ladder, under OIS Discounting

I've been looking on some information when it comes to vanilla Interest Rate Swaps, and building delta ladders under a multicurve environment. IR Swaps - Curve sensitivity at maturity node, this ...
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50 views

When working with interest rate swaps, how many decimal places should be used for LIBOR rates, swap rates and discount factors?

When working with interest rate swaps (I'm building a calculation spreadsheet), how many decimal places should be used for displaying and working with LIBOR rates, swap rates and discount factors? My ...
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1answer
25 views

Call Probability of European callable IRS

When pricing a callable IRS (say only one call date) with a diffusion model (e.g. HW 1F) with a Montecarlo resolution, one can get the call probability on the call date versus maturing the date (which ...
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50 views

FX swap trade question

(a) today, say I did a fx swap trade: long PHP/USD spot and short 1m PHP/USD forward. Then if 1m PHP interest rate goes up, I should make money (meaning i locked in paying a lower 1m PHP interest rate ...
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1answer
109 views

Inflation swaps rate vs. Break-even rate

Can someone explain me the difference between zero coupon inflation swap rate and breakeven rate? For example, currently, US 10y zero coupon inflation swap rate is about 1.4%, while US breakeven 10y ...
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0answers
37 views

Par rates, zero rates and forward rates curves in swaps

I'm new to the concept of swaps, I'm having hard time understanding what each curve relationship with a swap derivative traded in the market. Can someone please explain this? Thank you.
2
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1answer
88 views

Hedging with interest rate derivatives

This might be a stupid or basic concept for some of you, I'm new to the concept of hedging with interest rate derivatives, I understand how to hedge an equity portfolio but i'm struggling with the ...
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54 views

Dual curve construction

I'm new to curve construction for swaps pricing concept and I am having hard time to understand dual curve construction and what difference it from single curve ? how do we construct it ? can someone ...
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0answers
28 views

Steepness of a curve?

Sorry if this question is simple, but in the place I work they want to implement a daily check to check the swap's curve steepness. What does this mean and why would this check be necessary?
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1answer
66 views

Why would a 15Y swap index=EUR3M and discount=OIS, show only a EUR3M-delta at 15Y

When computing the index-delta for a swap in a multi-curve framework, only the last cash tenor seem to show sensitivity. Could anyone explain with formulas why it is the case ? For example a 15Y swap ...
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62 views

How Can I determine Swap rate?

I should calculate a swap rate of IRS contract by knowing that the risk free rate is $r(0) = 0.5$ and the defaultable rate, $r_1$, evolves in discrete time following a 2 period multiplicative binomial ...
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12 views

Let $L$ denote the three-month US dollar LIBOR rate and an interest rate swap arrangement where fixed rate is $L$ and floating rate is $24\% - 2L$

The following is a question taken from Heard on the Street. Let $L$ denote the three-month US dollar LIBOR rate. Consider an interest rate swap arrangement where Party A pays $L$ to Party B, and ...
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1answer
120 views

FX Swap P&L question

I am currently trying to compute the P&L of a FX swap and to understand it's implications. Let's say when we sell 1M EUR spot eur/usd at 1.08 and at the same time buy a one month month forward ...
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29 views

swap discrete market model

Let be $M = (S_0,E,\Phi)$ a market where the risk-free rate is $r = 0$ and the Euribor $E$ evolves (annually) in discrete time following a three-period binomial model. Assume that $E_0 = 0.031$, the ...
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30 views

Day-count conventions for the floating leg of an asset swap

Which is the day-count convention in order to compute the floating leg of an asset swap? I don't know if it is: Act/360, Act/365, 30/360 or 30/365.
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2answers
503 views

Can you calculate modified duration for swaps?

I know how to calculate them for bonds. But it came to my mind this. In bonds, Macaulay duration technically is a weighted average of coupon payments. But can it be somehow calculated for swaps? Or ...
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3answers
460 views

Does a 100mio 10y swap have the same dv01 when rates are at 1% and 10%?

If not how come, whats the right way to look at it and have a quick rule of thumb to work out what dv01 is 100mio 10yr? Thanks!
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80 views

Quantlib : How does interpolation technique in zero curve improve the valuation of interest rate swaps?

I am working on building zero curve using interpolation = ql.Linear(). I know that this method is very popular to build short and long end curve. But am wondering if there is any another way of ...
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1answer
58 views

discounting currency swap

I need help with a currency swap problem: Remaining life: 15 months. Exchanging interest at 10% on £20 million in Sterlings for interest 6% on $30 million in Dollars. If swap were negotiated today, ...
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3answers
150 views

Are forward rates for an IRS computed between reset dates or between start dates?

In order to price the floating leg of an IRS I am computing forward rates for future coupons, but I'm not sure whether I have to compute such rates between reset dates or between start dates. My ...
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1answer
48 views

Inflation Indexed Caplet/Floorlet

Can someone explain what is it with $\psi_{i}$ (year fraction in $[T_{i-1},T_{i}]$). The formula in Mercurio (2006) as is follows: $N\psi_{i}P_{n}(t,T_{i})\mathbb{E}_{n}^{T_{i}}\left[\left(\omega\...
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1answer
286 views

Python Quantlib : How to value the Non Deliverable currency Interest Rate Swaps?

I followed all the procedure in Quantlib to process interest rate swap valuation through Python Quantlib. I valued more than a million records. All the valuation is almost the expected amount. But '...
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147 views

Duration of forward starting swap

For a spot starting interest rate swap, the duration is calculated as the duration of the fixed rate leg less the duration of the floating leg. Each of these calculations is akin to calculating the ...
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1answer
107 views

Tenor bucketing for swap interest rates?

in the place I work I've noticed that for asset class Interest Rate Swaps, tenor bucketing takes place. Example as follow: IRS with maturity 2 month being bucketed into a "3 month tenor bucket" Page ...
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1answer
364 views

Pricing of Fx Swap and Fx Forward in excel

How to do pricing of FX Swaps and Fx Forward in excel can anyone show the same which will match the bloomberg.I am calculating by adding or subtracting the fx fwd points in fx spot rate to arrive at ...
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1answer
102 views

Volatility Swap Variance swap [closed]

Why do two different products trades as vol swap and var swap. Are these products not inter-convertible? I know Var swap has convexity and vol swap does not have but i don not understand how it helps ...
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2answers
194 views

Hull-White Calibration /Hypothetical Cap Pricing

I have a question regarding calibrating Hull-White (Extended Vasicek) Model to bond data. As you know, and stated in Mercurio (2005), zero coupon bond price in the Hull and White (1994); $P(t,T)=A(t,...
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0answers
102 views

Looking for a Paper: RBS Guide to Inflation-Linked Products

I wonder if any of you have an access to "The Royal Bank of Scotland (2003) Guide to Inflation-Linked Products. Risk." paper. It was in the bibliography of Mercurio's "Pricing Inflation Indexed ...
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1answer
327 views

Total Return Swap valuation: Accrual vs Projected methods

For TRS contracts on equity or bond underlying the use of projected valuation method is desirable for contracts that lack bilateral early termination clause. As they are "non-breakable," allegedly the ...
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1answer
186 views

Eonia swap calculation of floating rate

I'm new to swaps, I've a question about how to calculate the floating rate of an EONIA Swap from market quotation, so that we can keep an eye on the evaluation of our contract Market Value, DV01, etc.....
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131 views

Bloomberg SWPM Zero Rate Curve Conventions

Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M Hi, I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...

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