Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [swaps]

Swaps are a common name for exchange operations between two (or more) counter-parties with various financial instruments like cashflows (IRS), currency (XCCY), credit risk (CDS), et cetera

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Question on Xccy swaps curve observability

Trying to get a sense of the following ... In some emerging markets such as Argentina, there isn't any observable IRS swap curve, but only Xccy. I noticed in the place I work that FX NDF are used to construct the xccy curve. I don't understand the…
F0l0w
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Cross Currency Swap -- Unobservable bid/ask

So in the place I work, one of the traders is dealing with a cross-currency swap within a country that has really no market for that kind of product. He wants to estimate a theoretical bid/ask, and thought perhaps of using proxys (some options…
SheilaZen29
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Why is convexity adjustment applied to swap price for a nonstandard swap, in simple terms?

Martinelli et al. show that when the 3-month Libor is replaced by the 3-month Libor forward rates (which are obtained from the spot zero-coupon yield) then the swap price depends only on zero-coupon prices. I argue that this result still true when…
Khaled Bennour
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Plain Vanilla Interest Rate Swap

I'm trying to build an intuitive understanding of the following The price of the replicating portfolio at time $t$ of the floating rate receiver is $P_t^{swap}=P_{t,t_0}-P_{t,t_N}-\bar{R}\sum_{n=1}^N(t_n-t_{n-1})P_{t,t_n}$. (Some notation: $\bar{R}$…
Phibert
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Inflation-Linked Bonds & Asset Swap Spreads

I am trying to plot the asset swap spreads of government inflation-linked bonds (ILBs) versus the asset swap spread of government nominal (plain-vanilla) reference bonds. I used the article in the link…
Nick
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Modified Duration of Overnight Index Swaps

Is the modified duration of an overnight index swap zero or close to zero?
kumarj
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Is there a name a CCIRS structure where the notional amount changes halfway through the accrual period?

I am dealing with a cross currency swap where the notional amount changes halfway through the strip accrual period, and I would like to know if there's a specific name for this structure? A stylized example below: Consider a vanilla AUDUSD CCIRS…
soju
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Does a 100mio 10y swap have the same dv01 when rates are at 1% and 10%?

If not how come, whats the right way to look at it and have a quick rule of thumb to work out what dv01 is 100mio 10yr? Thanks!
Padaiu
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How to calculate cf and interest accruals of the swap?

How to calculate to calculate daily interest accruals and cashflows for the full term of the swap, given notional, effective date, maturity date: (total one year), accrual: ACT/360 payment: semi-annual, 2 day lag, fixed leg: [], floating leg:…
vehomzzz
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How to value non-libor swaps (not basis swaps)?

What discount curve should be used for a swap with a fixed leg and variable leg, where the variable leg is based on rate other than Libor (in my case 1-year deposit rate). Hull (5th edition, page 595) say we always use Libor for discounting (his…
PBD10017
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Swap prices (preferably based on 3 month LIBOR)?

Where can I find a listing of forward swap rates based on libor. E.g. pricing on a swap of rates floating over 30 day libor for 3 year fixed, one year from now?
gladallen
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IRS: Diff between "pricing curve" and "discounting curve"

I'm reading a book on swaps and author mentions in the typical attributes of swaps: "Discount curve: For present-value calculations (say, to calculate the current market value of the swap), what interest rates will we choose? And because interest…
F0l0w
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Steepness of a curve?

Sorry if this question is simple, but in the place I work they want to implement a daily check to check the swap's curve steepness. What does this mean and why would this check be necessary?
FridaTheDog
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Pricing of Fx Swap and Fx Forward in excel

How to do pricing of FX Swaps and Fx Forward in excel can anyone show the same which will match the bloomberg.I am calculating by adding or subtracting the fx fwd points in fx spot rate to arrive at forward if anyone have abything else please share…
Amit
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Using Forward Equity Returns to Value Stream of Equity Return Cash Flows

Can I value the equity leg of an equity swap using the projected forward equity returns? In other words, for a sequence of times $t_{0}
QuantInTraining
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