Questions tagged [isda]
The isda tag has no usage guidance.
6
questions
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Roll-adjustment definition for swaps schedule generation
To my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted ...
1
vote
1
answer
254
views
What is the purpose of a floating interest rate leg on an autocallable equity swap transaction?
I understand that the purpose of the equity leg is to hedge the issuers exposure under the note but I don't understand why the buyer of an autocallable equity swap pays a fixed fee at the beginning of ...
- 13
1
vote
0
answers
128
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Match CDS upfront amount between Quantlib and Markit Converter model
I'm trying to reconciliate the upfront amount between the Markit converter model (https://cds.ihsmarkit.com/converter.jsp) and the result from the quantlib IsdaCdsEngine function.
the difference is ...
- 11
2
votes
1
answer
925
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Compounding arrear SOFR Forward rate/curve
As per ISDA protocol and supplements, they stated that the fallback rate to be used on legacy derivative contracts is the compounding in arrears SOFR rate (based on a 2-day backshift) + a fixed spread ...
- 39
0
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1
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2k
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Calculating RPV01 for the up-front payment of a CDS contract
I'm trying to calculate the historical P&L of a CDS trading strategy, and am struggling to come up with the up-front payment of the contract. From what I can tell, the Mark-to-Market value of a ...
- 31
0
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1
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1k
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'Optional Early Termination' clause
For market practitioners such as swap traders out there:
in your experience, does the below clause when bilateral is similar to a difference between European and <...
- 167