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There's a lot of confusion here. Most Interest rate swaps (whether versus libor or another floating rate such as fed funds) have virtually no counterparty risk. That's because they are subject to daily margining, either with an exchange of directly between counterparties. The cash flows on these swaps are usually discounted at fed funds rates, because ...


2

Here is an example that might point you in the right direction. As Luigi said the comments, you can't really expect to arrive at comparable values if you are just using flat curves. So the first step would be to build a curve comparable to Bloomberg. I don't really have any experience with CLP buy looking at the info on BBG it looks like these swap are zero ...


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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 counterparty for that matter. A corporate whose loan is tied to floating LIBOR will hedge using an IRS to convert to fixed. Hedging with an OIS would introduce ...


2

Not all overnight indexes were given a specific class. As a workaround, you can create an instance of the OvernightIndex class and pass it the relevant parameters (fixing calendar, day counter etc.). E.g., if there wasn't an EONIA class already, you could build an instance of it as: index = OvernightIndex("EONIA", 0, EURCurrency(), ...


2

It's confusing because US Treasury securities (USTs) don't actually have to settle $T+1$. Depositories, or non-depositories with an account at a clearing bank, can settle Treasuries on a gross delivery-versus-payment basis over the Fedwire Securities Service in real-time (i.e., $T+0$), which is what is done for same-day start bilateral repos backed by USTs. ...


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