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3 votes
Accepted

Accrued interest calculation for floaters linked to O/N rates (such as SOFR)

It is possible to calculate with lagged O/N rate, shifted coupon period etc. Yes, the terms I often hear to describe these are "lookback" and "observation shift". Referring to a ...
Jonesy's user avatar
  • 46
2 votes
Accepted

Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs

You don't really have enough information. You need the ESTR/6MEuribor basis to do this properly. You can start by creating an ESTR curve from your policy meeting steps: (For a Quantlib - Rateslib ...
Attack68's user avatar
  • 10.7k
1 vote

How do we determine 0M spot rate for 3M libor?

As Alex indicates, these are not 6M/9M spot rates but a term structure of 3M Libor (zero) rates. What you're describing happens quite often when determining the fixing for a stub period that is ...
aghilario's user avatar
1 vote

Libor OIS basis swap equation

One should note that the exact implementation can be bank/system dependent, but the general idea in the OIS/Libor world was First bootstrap OIS curve. It is a self-discounting curve, i.e. both ...
achirikhin's user avatar

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