New answers tagged ois-swaps
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OIS example in Hull's book
isn't the fixed-rate payer paying $(1+q/360)^n$
Interest rate swaps typically don't involve exchange of notional. Also, fixed leg of a swap is usually quoted in money market convention, not as a ...
- 128
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Bootstrapping SOFR curve and Swap Payment Lag
The convexity adjustments for payment lags are usually so tiny (see Why is there a convexity adjustment if the payment date differs from Libor end date?) that we can ignore them for the bootstrapping. ...
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