fitidbits.nystrom.cl
Overnight indexed swap (OIS)
http://fitidbits.nystrom.cl/tag/ois
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Overnight indexed swap (OIS). An overnight indexed swap (OIS) is an interest rate swap where the floating rate of the swap is calculated from an overnight index (usually as a geometric average). The overnight index is typically an interest rate considered less risky than a Libor rate. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. Instruments for each tenor curve i.e. ...Homog...
fitidbits.nystrom.cl
Discounting curve Archives • Fixed Income Tidbits
http://fitidbits.nystrom.cl/tag/discounting-curve
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Discounting curve. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using...
fitidbits.nystrom.cl
Dual bootstrap
http://fitidbits.nystrom.cl/tag/dual-bootstrap
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Dual bootstrap. A methodology for creating the unknown libor curve relative to a known discount curve. The methodology follows the same principles as the traditional (single curve) bootstrapping methodology except that the discount curve is exogenous. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. Here’s the procedure from curve creation to pricing:. Instruments for each tenor...
fitidbits.nystrom.cl
Bootstrap
http://fitidbits.nystrom.cl/tag/bootstrap
A fixed income quant blog. Skip to primary content. Skip to secondary content. Bootstrapping, in the context of this blog, is a method for constructing a discount function from a set of fixed income instruments such as bonds or swap. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? 12M ten...
fitidbits.nystrom.cl
Basis swap
http://fitidbits.nystrom.cl/tag/basis-swap
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Basis swap. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using the li...
fitidbits.nystrom.cl
Dual curve pricing
http://fitidbits.nystrom.cl/tag/dual-curve-pricing
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Dual curve pricing. The pricing of a Libor based derivative where the forward rate and discount rates are different curves. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? 12M tenors). The typ...
fitidbits.nystrom.cl
Basis curve
http://fitidbits.nystrom.cl/tag/basis-curve
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Basis curve. A curve consisting of basis swaps (see tag). Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Ments using the libor instruments an...
fitidbits.nystrom.cl
Libor curve Archives • Fixed Income Tidbits
http://fitidbits.nystrom.cl/tag/libor-curve
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Libor curve. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using the l...
fitidbits.nystrom.cl
Swap market Archives • Fixed Income Tidbits
http://fitidbits.nystrom.cl/category/swap-market
A fixed income quant blog. Skip to primary content. Skip to secondary content. Category Archives: Swap market. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using ...
fitidbits.nystrom.cl
Forward curve Archives • Fixed Income Tidbits
http://fitidbits.nystrom.cl/tag/forward-curve
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Forward curve. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using the...
