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by BerndSchmitz
February 6th, 2019, 9:02 am
Forum: General Forum
Topic: EOM rule subtleties in the swap market
Replies: 4
Views: 2399

Re: EOM rule subtleties in the swap market

But rolling backwards from 02/29/2020 with eom gives me the follwoing unadjusted dates: 02/29/2020, 01/31/2020, ..., 02/28/2019, 01/31/2019 01/31/2019 is a good busday so it's not affected by any date adjustment. Therefore, I still think that you are left with a 1d period from 01/30/2019 to 01/31/20...
by BerndSchmitz
January 30th, 2019, 8:01 am
Forum: General Forum
Topic: EOM rule subtleties in the swap market
Replies: 4
Views: 2399

EOM rule subtleties in the swap market

I have a rather detailled question about the end-of-month rule convention in the swap market. Assume today I trade a GBP-Libor1M swap with 13M maturity. This gives the 29/02/2020 as maturity - adjusted to 28/02 as the 29/02 is not a good busday. From what I know this triggers the eom rule as the (un...
by BerndSchmitz
January 8th, 2019, 11:36 am
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 1937

Re: Fixing offset in AUD swaps

I think it used to be a 1 day rate fixing lag when the reference rate was LIBOR.  I think they switched to BBSW with a 0 day rate fixing lag. Interesting. Is it possible that they stuck to the old spot lag of a swap of 1D (i.e. if you enter a swap today, the first period starts in 1D), but the BBSW...
by BerndSchmitz
January 4th, 2019, 3:38 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 8380

Re: libor in arrears

I would argue in the following ad-hoc fashion: I assume that the FRA pays (L - K) where L is some LIBOR rate and K is the fixed FRA rate and I assume that the FRA is discounted with LIBOR or a rate highly correlated to LIBOR. In the case where the FRA pays in advance (2) the DF should be rather inde...
by BerndSchmitz
January 4th, 2019, 3:22 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 1937

Fixing offset in AUD swaps

Hi, I'm looking for any AUD swaps experst out here. My question: In a standard AUD fix-float swaps, how many days prior to each period's start does the AUD-LIBOR rate fix? According to Marc Henrard's convention guide it's -1D. However, all our AUD swaps (admittingly we only have very few of them) ha...
by BerndSchmitz
March 2nd, 2018, 3:14 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 21955

Re: Swaption settlement trend

Why not (at leat in theory). A broker could apply some consensus (i.e. probably not too fancy) bootstrapping procedure with a fixed interpolation method and populate the corresponding vector of dates and DFs on some Reuters page. Together with an extrapolation method the curve would be 100% fixed
by BerndSchmitz
March 1st, 2018, 4:22 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 21955

Re: Swaption settlement trend

Yeah, buit it doesn't say anything about the details of the EONIA curve to be used. BTW I'm confused now. Is the Standard in the USD market collateralized cash price or physical settlement? Last time I checked, physical was still the convention in USD... As to the details of the EONIA curve used to...
by BerndSchmitz
February 28th, 2018, 5:10 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 21955

Re: Swaption settlement trend

Yeah, buit it doesn't say anything about the details of the EONIA curve to be used.

BTW I'm confused now. Is the Standard in the USD market collateralized cash price or physical settlement?
by BerndSchmitz
February 28th, 2018, 3:53 pm
Forum: Technical Forum
Topic: FVA for a fully collateralized swap
Replies: 15
Views: 9517

Re: FVA for a fully collateralized swap

Hi, I would like to reopen this thread as I still sometimes hear the argument that "FVA ultimately comes from collateralized trades" - which to me ist just wrong. Yes, for a collateralized trade there will be future collateral flows and, thus, at first glance a dependency on the funding ra...
by BerndSchmitz
February 28th, 2018, 9:01 am
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 21955

Re: Swaption settlement trend

Hi, I know this is a very old thread but I didn't want to create a new one. From july onwards the market standard settlement type for EUR swaptions shifts from cash IRR to collateralised cash price. With the latter I haven't had any experience yet. I was just wondering how the curves for the collate...
by BerndSchmitz
May 24th, 2017, 7:51 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 1817

Re: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?

 @antoineconze: Thanks for pointing that out. However, what I can do is simply put all spreads on one leg. I only have to account for the different daycount-conventions of the EUR leg (Act/360) and the GBP leg (Act/365) @Martinghoul: No, I have not yet done it. At one point I will definitely do this...
by BerndSchmitz
May 24th, 2017, 7:38 am
Forum: Technical Forum
Topic: (discount and forward) curve interpolation - sophisticated methods or keep it simple?
Replies: 19
Views: 3714

Re: (discount and forward) curve interpolation - sophisticated methods or keep it simple?

Hi arkestra, what exactly do you mean by "imperfections in the forward curve". If you choose to interpolate linearly directly on the forwardLiborRates then your forwardLiborRates look, well, linearly interpolated :-). I wouldn't call this imperfect and consider it a valid Interpolation met...
by BerndSchmitz
May 19th, 2017, 8:35 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 1817

Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?

Hi, I just used the EUR/USD and GBP/USD CCY-Spreads (quoted on Bloomberg) to calculate synthetic EUR/GBP CCY-Spreads. I then compared those to the quoted EUR/GBP CCY-Spreads. The mids are always in line up to 0.125 bp:        quoted EUR/GBP    synthetic EUR/GBP 1Y        17.500                     1...
by BerndSchmitz
April 26th, 2017, 12:53 pm
Forum: Technical Forum
Topic: CCY Swap rolling subtleties
Replies: 0
Views: 886

CCY Swap rolling subtleties

Hi, I have a question concerning the rolling of a CCY swap - in particular about the business day calendars that are used for the two legs. Let's say it's a 1Y EUR-USD MtM CCY swap that was traded on 31/03/2017. Both legs will start on 04/04/2017. Adding 3M gives me 04/07/2017 which is a good busine...
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