3 votes
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Quantlib Slow valuation of ois_swap on multiple eval days

After reading the documentation more closely and some scenario testing, I was able to determine that ql.Settings.instance().evaluationDate = date was the culprit. ...
StormsEdge's user avatar
3 votes
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how is accrual calculated on the floating leg of a OIS swap

The accrued is just the product of the OIS rates observed so far: $A=N\times\prod_{i=0}^t(1+r_i\frac{n}{360})-1$ for $n$ days elapsed between business days (usually 1 or 3), $N$ notional and $r_i$ is ...
oronimbus's user avatar
  • 1,896
3 votes
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How does Bloomberg compute the cross currency swap basis?

Your second screenshot is not a standard XCCY swap because you look at two fixed rates. You cannot expect that to match the FXFA screen in any case because FXFA uses two floating rates, USD yield and ...
AKdemy's user avatar
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3 votes
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Which date SONIA rate to apply for today's date in an OIS swap

Firstly, note that this is a detail which changed in 2018. The BenchMark Regulations (applied from the EU reg) require that benchmarks are based on actual transactions, so Sonia changed from being a ...
Phil H's user avatar
  • 3,669
3 votes
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STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA

The USD/JPY FX Swaps are quoted the same "way" as the spot, i.e. today's quote for a 3-month forward is: Bid 138.310, Offer 138.317, Mid 138.313. The spot FX rate is 138.325, so the mid 3-...
Jan Stuller's user avatar
  • 6,098
3 votes

The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation

I think a little clarity is needed here. A swap means exchanging A for B. Swaps trade on anything and everything. You can trade IOS/BBA Muni swaps, you can trade a swap linked to the gold ...
JoshK's user avatar
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3 votes
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The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation

I try to keep your enumerated structure yet address the points you edited into the question: (i) I only know of USD OIS referencing the EFFR and the SOFR (ii) My perception is that EFFR als float leg ...
KevinT's user avatar
  • 645
3 votes
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Theoretical fair value of SOFR 1M and 3M Future contracts?

(Edit 23.11.2020) [Note that my previous derivations were too hasty and had some issues, I will try to amend when time allows. In any case, note that those results were merely model-free: SOFR Futures ...
Daneel Olivaw's user avatar
2 votes

Theoretical fair value of SOFR 1M and 3M Future contracts?

Not sure if this will entirely answer your question, but the key concept here is that the Futures contracts are not priced via some theoretical model, but their price is entirely driven by supply and ...
Jan Stuller's user avatar
  • 6,098
2 votes

STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA

Straight is Even amounts ie: 100 USDJPY in the near leg and far leg Split is Uneven amounts ie: 100 near leg then 100.1 for the far leg Usually this is done to mitigate creating spot risk from doing ...
user70744's user avatar
1 vote

Quantlib SOFR swap repricing across 2 different dates

You need to setup your objects so that you can change the curve they're using. In QuantLib, that's done via relinkable handles. Before you create the swaps, when you do: ...
Luigi Ballabio's user avatar
1 vote

Quantlib SOFR swap repricing across 2 different dates

I realise the question is specifically about Quantlib, but I wanted to highlight an answer using Rateslib for Python, the answer is around 1.05mm USD as you predicted. Setup your initial curve (note I ...
Attack68's user avatar
  • 10.2k
1 vote

How OIS swap rates behave when we receive or pay OIS swap rates?

This is just simple supply and demand. Same as saying that if people buy a lot of stock X , the price goes up.
dm63's user avatar
  • 17.1k
1 vote

No. of payments in 15/18/21 month ESTR OIS

For ESTR OIS market convention is that there is a front stub period i.e. the first period is shorther, the next one is always 12 months. Therefore: 15M OIS -> 3M payment + 12M payment, 18M OIS -&...
emot's user avatar
  • 876
1 vote

OIS example in Hull's book

I'm not clear on the algebra you've given, but I think all Hull is doing is saying the annualised fixed rate is 3% and the 3m OIS float rate fixing is 2.8% - thus the cashflow is the difference of ...
user35980's user avatar
  • 1,386
1 vote
Accepted

Constructing zero-curve for discounting from Coupon OIS Swaps

From Pricing and Hedging Swaps by Paul Miron and Philip Swannell: Here I will take the input rates: $r_{1y}$, $r_{2y}$, $r_{3y}$ and create the DF values for each tenor $df_{1y}$, $df_{2y}$, $df_{3y}$,...
Dillon's user avatar
  • 126
1 vote

The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation

iii) The OpenGamma piece on IRS market conventions might help. https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf [EDIT or USSO2 BGN Curncy DES, for e.g., which provides ...
user42108's user avatar
  • 2,252

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