New answers tagged ois-swaps
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 ...
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. ...
Top 50 recent answers are included