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Why is the overnight index swaps considered risk-free?

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 ...
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2 votes
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How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?

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 ...
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2 votes

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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2 votes
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TOIS (CHF), TONAR (JPY), AONIA(AUD) in Quantlib

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 (...
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2 votes

Repo Settlement v. Collateral Settlement

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 ...
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