New answers tagged interest-rate-swap
2
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STIR Topic: How to calculate implied policy rate for next meetings using FRA
First you need to realise that the dates of your FRA do not align with the dates of the meetings meaning that in order to derive the underlying curve which can replicate your FRA rates is probably ...
- 10.2k
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Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?
The way to trade this is to put on a FOMC swap - where the start and end date is the meeting date, the underlying can be sofr or fedfunds(ff) and the notional can be the pv01 of risk you want to put ...
- 109
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Accepted
Approximate 5y swap rate move in 1 tick move in 5y treasury
You'd be assuming swap spreads are constant, but a 1tick change in the 5y otr, is approximately -0.7bps on the swap
- 395
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QuantLib: Problem with IRS valuation
After you edits, and after initializing float_schedule and float_leg_daycount (right now you're initializing ...
- 7,123
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end-of-month or not for plain vanilla interest rate swap
Actually a tricky question. In the 2021 ISDA the end-of-month convention was specified to mean last calendar date of the month instead of last business day (see https://www.isda.org/a/BNEgE/Key-...
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