Questions tagged [ois-discounting]
The ois-discounting tag has no usage guidance.
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Quantlib OIS USD discount rates don't match Bloomberg discount rates
The Bloomberg USD OIS discount factors for 2024-03-01 do not match the values calculated using Quantlib beyond the 18M tenor. What do I need to do get them to match?
Sorry, I am unable to paste a ...
- 125
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Why do people say "SOFR vs OIS discounting" when OIS depends on a rate that could be SOFR?
As I understand it, OIS is not a published rate. SOFR is a published rate.
Based on this published rate, OIS swaps are constructed. The fixed rate on these swaps that makes both legs worth the same is ...
- 141
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GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds.
I have Looked at the documentation:
https://quantlib-...
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How does Bloomberg use the OIS curve to get the zero rates?
I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly ...
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SOFR OIS Curves & Zero-Coupon Variants
Currently looking at yield curves, specifically SOFR OIS Curves, and I'm struggling to find a good explanation between a zero-coupon OIS curve and an annual coupon-pay OIS curve (both SOFR). When ...
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Confusion about Initial Pricing IRS with Dual Curves
This is my first time delving into dual curves, or multiple yield curves. A question struck me about using OIS discounting when choosing the swap rate of a new IRS.
Without multiple yield curves I ...
3
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OIS floating-floating cross-currency basis swap
I'm trying to understand whether notional resets on a floating-floating cross-currency basis swap play a role or not when the coupon payments are SOFR-based (with no spread) and they are discounted ...
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Why should the Discount Curve be risk-free?
I have read up about the discount curve that is being used to value securities. The multi-curve methodology for valuing derivatives was mainly adopted because LIBOR was no longer seen as a proxy for ...
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Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap
I am just starting to use Quantlib, and want to try and replicate the SWPM-functionality in Bloomberg, and price a vanilla 5Y EUR OIS. Below is the overall swap data used in BBG:
Overall settings
...
- 161
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How to account for the credit spread ( e.g. LIBOR + 2%) when using the Multicurve Methodology in valuing a Swap
When valuing an Interest rate swap, counterparties will typically issue the contract at a Libor + credit premium, e.g. Libor +2%. When valuing a swap, we require a LIBOR forward curve and Discounting ...
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Convexity Adjustment of Daily Compounded Swap under Hull-White Model
I am working on a problem that deals OIS daily compounded swap under Hull-White 1-factor model. I am struggling with pricing the floating leg, on a delayed payment date:
$E^{T^p}_t[\prod_{i=0}^{n-1} (...
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1
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293
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Why do we theoretically have to take cross currency basis volatility into account when constructing Cheapest To Deliver (CTD) discount curves?
Let's take a collateralized USD IRS where there is optionality in collateral currency. My understanding is that it is standard practice to compute forward XXX/USD OIS basis curves for all currencies ...
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393
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PV and Risk on a RFR cross currency swap
When pricing a XCCY basis on RFR (assuming USD CSA so under SOFR), for example ESTER versus SOFR (USD leg resettable) : I observed that the PV / Risk and also FX Delta are close to zero.
I have been ...
- 21
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Is SOFR to replace LIBOR or Fed Fund Rate or both
I am a bit confused on what is going on regarding the new benchmark rate SOFR. My understanding is that SOFR is to replace Libor. However, I also get information on Fed fund OIS discounting is ...
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What is Overnight index swaps (OIS) curve
Overnight index swaps (OIS) curves became the market standard for discounting collateralised cashflows.
However I failed to understand what is the meaning of the ...
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