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 ...
user avatar
  • 2,413
3 votes
Accepted

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 ...
user avatar
  • 553
3 votes
Accepted

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 ...
user avatar
  • 3,589
3 votes
Accepted

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 ...
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 ...
user avatar
  • 5,096
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 -&...
user avatar
  • 816
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 ...
user avatar
  • 2,076
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 $df_{1y}$, $df_{2y}$, $df_{3y}$,...
user avatar
  • 126

Only top scored, non community-wiki answers of a minimum length are eligible