Questions tagged [multicurve]
The multicurve tag has no summary.
44 questions
3 votes
1 answer
391 views
Cross-currency Basis Adjustment for Multi-curve Models
I am studying Pricing and Trading Interest Rate Derivatives - A Practical Guide to Swaps, and I have troubles to really understand the use of cross-ccy swaps (XCS) and why the cross-ccy basis enter ...
- 53
0 votes
0 answers
68 views
Valuing FRA using discount curve or forecast curve
Consider a forward rate agreement, which has time $T$ payoff, fixed at time $S < T$ given by $FRA(T) = K(T-S) - L(S,T)(T-S)$, where $L(S,T)$ is written in terms of the forecast curve bonds as $L(S,...
- 101
0 votes
0 answers
65 views
Combining simulated risk-neutral trajectories for XCCY swaps valuation: Joint simulation or scenario mixing?
I’m working on the simulation-based valuation of cross-currency swaps (XCCY), specifically EURUSD XCCY swaps. I have independently simulated: SOFR dynamics under a Hull-White 1F model (risk-neutral ...
- 21
2 votes
1 answer
231 views
Forward rates and discount factors adjustment under different CSA currencies without direct market quotes
In a multicurve framework for collateralized derivatives pricing, forward rates are derived using discount factors consistent with the CSA (Credit Support Annex) currency using xccy basis spreads for ...
- 21
0 votes
0 answers
67 views
Risk neutral measure in multicurve framework
Lets assume we have two stocks $S_1$ and $S_2$ which satisfy the following SDE's in the risk neutral measure $$dS_1(t) = r_{f1}S_1dt + \sigma_1S_1dW_1(t)$$ and $$dS_2(t) = r_{f2}S_1dt + \...
- 35
3 votes
1 answer
647 views
How to build (unique?) multi-currency curve models using cross currency swaps
I'm relatively new to cross currency swaps (XCCY swaps) and reading through Pricing and Trading Interest Rate Derivatives - A Practical Guide to Swaps. What I can't get my head around is how these ...
- 1,810
2 votes
2 answers
172 views
Quantlib - Clarification on iborStartDate in FuturesRateHelper
I'm currently working with QuantLib's FuturesRateHelper and I'm a bit confused about the iborStartDate parameter. According to the documentation and some code snippets, iborStartDate is used like this:...
- 31
0 votes
1 answer
300 views
What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?
While there are a few similar questions on here regarding FXF pricing, I was unable to find something that answers this directly. To be more specific, it's clear that as per CIP, the pricing inputs ...
- 1
1 vote
0 answers
186 views
Pricing a swaption in a Hull-White model with two curves
Let's say the forward swap rate $s_t$ is equal to $$s_t = \frac{\sum_{j=1}^N \delta_j^{\textrm{float}} P_{t,T_j^{\textrm{float}}}^{\textrm{disc}} L_t^{[T_{j-1}^{\textrm{float}},T_j^{\textrm{float}}]}}{...
- 123
2 votes
0 answers
470 views
Onshore vs offshore curve construction
Can anyone guide me to links or literature regarding onshore vs offshore curve construction? What kind of instruments do you use? Take for CNH (offshore) (vs) CNY (onshore curves) for example: For CNY ...
- 346
4 votes
3 answers
1k views
pricing in the case where payment currency and collateral currency are different?
I'm asking for the curve construction of the discount curve in the case where payment currency and collateral currency are different. If I refer to BBG, in the case of a USD swap collateralized in EUR,...
- 51
1 vote
0 answers
39 views
FVA demonstration? [duplicate]
In the well-known article by Mr. Piterbarg "Funding Beyond Discounting". he demonstrates that the price of a derivative product in a multi-curve universe: Who also expresses it but without ...
- 51
0 votes
0 answers
260 views
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 ...
0 votes
0 answers
76 views
Single Curve Problem - due to Basis [duplicate]
I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates. On google I am not able to find a proper ...
2 votes
1 answer
2k views
Yield curve bootstrapping: direct market rates vs discount factors interpolation
From my understanding, there are (most generally speaking) two approaches for bootstrapping the yield curve (with an exact method). We can either interpolate between the market quotes (interbank ...
- 341