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1 vote

Are these two hedging strategies equivalent?

TLDR The two strategies are essentially the same within a discounting tolerance, assuming all have the same nominals. Practically, you will acheive very similar delta exposure. Although technically ...
Attack68's user avatar
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1 vote

FX swap par value

Already a well answered question, but I think the question is best addressed by illustrating the cashflows of the FX swap explicitly (using numbers provided in the question) to see why the "swap ...
user35980's user avatar
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2 votes

Plotting a CSA curve in QuantLib

You can also validate the QuantLib implementation with rateslib. To define local currency EUR and USD you need to specify two ...
Attack68's user avatar
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0 votes

Plotting a CSA curve in QuantLib

Yes this is supported in QuantLib - see the answer in https://quant.stackexchange.com/a/78325/70402 The example linked there is modeling the use case you describe.
Denys Usynin's user avatar
3 votes

When are daycounts needed for the floating leg of a swap?

You are reliant on the formula for the rate of the floating period being as stated: $$ F_t = \left ( \frac{P(t-1)}{P(t)} - 1 \right ) \frac{1}{\delta_t} $$ and the period DCF $\delta_t$ being equal. ...
Attack68's user avatar
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2 votes

Bootstrapping adjustment for coupon

Many texts and sites are U.S./Europe centric, and make it sound like there must be some logic behind U.S./Europe market conventions, but, in general, market conventions are driven not by logic, but ...
Dimitri Vulis's user avatar

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