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Interest Rate Swap versus Cash Bond

If the goal is to change your interest rate sensitivity, then yet another instrument that some people prefer is rates or bonds futures, or even options. The choice of rates instruments may depend on ...
Dimitri Vulis's user avatar
0 votes

What is the Swap Curve?

A "swap curve" is a bit of a misnomer this days, so let me give some historical context to show where it all comes from. There is a long build up, but I think it is useful to fully ...
achirikhin's user avatar
1 vote

Interest Rate forward calculation

Option 2 is the linear approximation of Option 1, if R is the term yield; assume Df(t) = exp(-R(t)t) Option 1 is always correct
achirikhin's user avatar
1 vote

Calculating Implied rates from OIS and Futures

This sounds like something I would write. Firstly, you can't price central bank meeting expectations from a 1Y OIS rate, it does not contain sufficient information. Its like trying to forecast the ...
Attack68's user avatar
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4 votes

QuantLib swap Fair Rate not the same as the constructed curve nodes

Three things. First, you set the evaluation date as ql.Settings.instance().evaluationDate = ql.Date(24,4,2024) and then at the end you write ...
Luigi Ballabio's user avatar
0 votes

Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?

If you expect interest rates to "not go down as much" as the market expects, then you would want to pay a fixed rate, which would reflect that rate reduction and receive a floating rate, ...
D Stanley's user avatar
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