Questions tagged [libor]
LIBOR was the London Inter-Bank Offered Rate. It has been replaced by The SOFR (Secured Overnight Financing Rate).
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Why doesn't the libor curve match libor fixings?
Consider the 6M Libor rate (in any ccy). This is a rate that is/was published every day. For every one of those days, we also have 6M swap curves available, which are calibrated based on market ...
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How to calculate LIBOR Swap price given a specific monetary policy path
I want to calculate the swap fixed rate (Specifically the 2y swap based on stibor 3m, sweden) given a specific path for riksbank. For example, if the central bank cuts 25 in the next 2 meetings and ...
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Spot and Terminal Measure Approximation Error
Given the tenor discretization in a discrete forward rate term-structure model, the choice of the equivalent martingale measure will determine the drift. The Euler-Scheme will create an approximation ...
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Problem fitting LMM to swaptions
I don't know what I am doing wrong. My goal is to calibrate correlations between my brownian motions. For that I simulate forwards paths and then calculate Swaptions rates. I use Euler Method to ...
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EURIBOR dependent product pricing
3M Euribor rates still exists (see https://www.ice.com/) and there still exist structured products depending on them : for instance a CMS spread whose udnerlying CMS rates depend on it. But also range ...
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Do RFR swaps fix in advance or arrears?
Consider the floating leg of a IRS on the RFR which is effective today at $t_1$ and has a payment at $t_1 + 3M$. My question is, when the payment occurs at $t_1 + 3M$, is this the $3M$ forward rate ...
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Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
What I am trying to do is price EURIBOR6M FRAs using a curve built in quantlib with changes in rate due to central bank meetings. For concreteness, my goal is to price EURIBOR6M FRAs, say 1x7 FRA, ...
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How do we determine 0M spot rate for 3M libor?
Say I have a 3M libor curve constructed from a bunch of 3M FRAs, so I have a 3M spot rate, a 6M spot rate, a 9M spot rate, etc. For points in-between, say 4M, I would have to interpolate between the ...
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How do forward-looking forward rates in the Mercurio's and Lyashenko's normal or extended FMM model represent EURIBOR rates
(By XIBOR I intend any EURIBOR or LIBOR rate. By RFR I intend SOFR for the USD and ESTR (€STR) for EUR.) I am mainly focused on the EUR rates market (but also a bit on the USD market) and looking for ...
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What are the quantitative models for modelling the SOFR rate, the IR products when Libor rates end [duplicate]
Many year ago, I worked on the pricing of IR products (Floating rate swap, CMS swap, Cap, Floor,...) Libor rates are now replaced by SOFR rate. I would like to know What are the new IR products (...
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LIBOR rate used for computing discount margin
A formula for computing the discount margin of a floater is provided in an image displayed in this answer as well as below. The image below comes from page 14 of the paper "Credit Spreads ...
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Risk free rate for currency option
I’m trying to price a call option on EUR/GBP exchange rate and it expires in 1 year. Should I use GBP Libor as foreign risk free rate in order to apply BS formula? The pricing date is 02/21/2023 but ...
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SOFR Transition for Future Flow Transactions [duplicate]
I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights). Would be happy if you could share some as ...
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Computing Daily OIS overnight trade coupon payments in excel
So I currently work in MO G10 rates sales support and we always get referrals from our setts department to recalculate discrepancy's in vanilla swaps trades coupon payments, this issue is, training ...
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