# Tag Info

### Difference between OIS Rate and Fed Funds Rate

The OIS represents the cost of repeated overnight unsecured lending over periods of up to two weeks (sometimes more). Whether it is secured or not depends on which of the overnight rates it is linked ...
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### Risk-free: why LIBOR pre-crisis and OIS now

It comes down to the definition of LIBOR: London Interbank Offer Rate -> Every business day, a panel of large banks are asked by the BBA[*] (British Bankers Association) at what rate they would lend ...
• 487
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### Quantlib python dual curve bootstrapping example

I reproduce the Ametrano-Bianchetti paper on dual-curve bootstrapping in Python with QuantLib in a chapter of the QuantLib Python Cookbook. (Note: I'm not sure what the etiquette is about plugging ...
• 5,593
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### Is SOFR to replace LIBOR or Fed Fund Rate or both

The market is using SOFR discounting for all sorts of quotations already (not FF). For example, swaption vol is quoted with SOFR discounting, CME and LCH moved to SOFR PAI and discounting on Oct. 16 ...
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### Difference between OIS Rate and Fed Funds Rate

Secured and unsecured refers to lending. However OIS is a swap based on FF, not a loan. It is a different animal. So OIS is a derivative, or a bet, based on the average of future (unsecured) FF rates ...
• 9,462
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### Why is the 1 month OIS rate so stable?

The OIS rate is the market rate that is most dependent on the Central Bank Deposit Rate (i use that as a broad term since it is called something slightly different across currencies but principle is ...
• 8,047
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### Bootstrapping OIS curve

I see several problems that might explain those differences: The frequency of the fixed leg on a EONIA swap is Annual and not semi The deposit facility rate is not part of the EONIA curve. Use the ...
• 5,285
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### Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)?

So you can get depo and swap rates from markit daily, at links like this: http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip i.e. http://...
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### Difference between OIS Rate and Risk-Free Rate

RFR (risk free rate) is the current acronym ISDA, central banks and regulators are pursuing to signify and politicise the transition from IBOR, which has been dogged by rigging scandals. OIS (...
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### FX forward curve building

I agree with dm63 in that cross-currency swap (CCS) is essential for building FX forward curve. Let me add/correct two things: FX curve < 1 year can be backed out by FX forward contract. CCS is ...
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### FX forward curve building

Your method assumes you can borrow or lend at OIS in both currencies, but in practice you cannot. That's why there is a current basis swap market , where you lend at OIS in one currency versus ...
• 13.9k
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### Set-Up OvernightIndex Quantlib

You can leave it out during the bootstrap of the curve. In that context, the index is only used to ask for its conventions. Later, if you want to forecast index fixings, you can initialize a handle ...
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### USD-Federal Funds for OIS swaps vs USD-Federal Funds for Basis swaps

As far as I know, it's a market convention. The two products, namely OIS swap (fixed vs floating) and Fed Fund Libor basis swap, are developed differently, so they follow different conventions. My ...
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### How to use USD OIS discounting for local currency uncollateralised swaps?

Suppose you wanted to value a 5Y EUR IRS with a USD cash collateralised curve this is the broad process: Get the 5Y EUR 3M / OIS basis, say this is 10bps: This establishes the discounting basis in ...
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### Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)?

CME (as of now) also publishes it. Folder: ftp://ftp.cmegroup.com/irs/ file name: irs_close_quotes_OISUSD_YYYYMMDD.csv, e.g. 20200717 CURVE_NAME,TENOR,RATE USD LIBOR-OIS DISCOUNT CURVE,2 Years,0....
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### Difference between IRS and OIS

A corporate that has an ISDA master agreement to trade Interest Rate Rwaps (IRSs) with a bank will undoubtedly be capable of also trading Overnight Indexed Swaps (OISs), as will any type of ...
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### Black Scholes- Options and OIS

When you say the Black Scholes formula for currency options, I assume you are referring to the Garman-Kohlhagen formula described here. Note that this formula is based on the interest rate ...
• 694

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