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by Magnyz
April 20th, 2017, 2:18 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 2752

Re: OIS Pay lags and discount factors

Well, I can be wrong as well but in my mind when you want to back out the discount factor it is the day when you have the actual cashflows that are important (regardless of accrual or not). As a thought experiment ... assume you have one usd ois swap without paylag and another with a 1month paylag, ...
by Magnyz
April 20th, 2017, 1:14 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 2752

Re: OIS Pay lags and discount factors

Cashflow is paid on 5/8, hence to the 8th. ;-) 
by Magnyz
April 20th, 2017, 5:34 am
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 2752

Re: OIS Pay lags and discount factors

It seems pretty clear to me. Do you get a discount factor on the 4th or on the 8th in the example above?
by Magnyz
April 19th, 2017, 3:47 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 2752

Re: OIS Pay lags and discount factors

In my opinion the discount factor you derive is for the day you have the cashflows i.e. it includes the payment lag. In your example the point on the discount function you derive is the 8th. The 4th is just a "calculation day".
by Magnyz
September 4th, 2016, 8:43 am
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1990

Re: curvebuilding EUR with eonia/euribor basis swaps

Yes, you are right. However, some (such as Numerix) call this approach an approximation (not exactly sure why or to what extent) and advocate simultaneous stripping in the case that most accurate results are priority. Having limited experience of the USD market I thought the "simultaneous strip...
by Magnyz
September 1st, 2016, 6:40 am
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1990

Re: curvebuilding EUR with eonia/euribor basis swaps

Ok, thanks for clarifying. I will try to find out what BBG does (I don't see how the synthetic long dated ois swaps are created without having a discount function). I know there are a many ingredients involved in the "curve building business" and I have been through most of them one way or...
by Magnyz
August 29th, 2016, 8:16 pm
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1990

Re: curvebuilding EUR with eonia/euribor basis swaps

Well, my need is to use the most liquid instruments at all times to build the curves and the primary user of the curve calculations are market makers / traders in swaps. I'm not sure I completely follow your logic on creating synthetic instruments. Take USD as a case ... up to 1yr the ois swaps are ...
by Magnyz
August 28th, 2016, 11:26 am
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1990

Re: curvebuilding EUR with eonia/euribor basis swaps

Thanks Martinghoul. I'm wondering for which markets it is really necessary to be able to simultaneously solve for the forward curve and discount curve.  I know that in USD it is standard procedure because the fed funds/libor basis swaps are more liquid than longer term ois swaps. I have a vague memo...
by Magnyz
August 24th, 2016, 2:25 pm
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1990

curvebuilding EUR with eonia/euribor basis swaps

I wonder if the "best practice" curvebuilding in EUR should include eonia / euribor basis swaps thus requiring a simultaneous solver for the forward curve and discount curve? In other words are  eonia / euribor basis swaps (on the long end) more liquid than eonia swaps? Thanks for any comm...
by Magnyz
July 18th, 2016, 7:52 am
Forum: General Forum
Topic: same value date for consecutive fixingdays?
Replies: 4
Views: 827

Re: same value date for consecutive fixingdays?

Thanks guys. I suppose also a 'value_date_to_FIRST_valid_fixing_date_taking_you_forward _to_the_value_date_you_specified' could be relevant.
by Magnyz
July 17th, 2016, 8:07 pm
Forum: General Forum
Topic: same value date for consecutive fixingdays?
Replies: 4
Views: 827

same value date for consecutive fixingdays?

I am slightly confused here and hoping for some comments. The spot date calculation for ICE Libor (i.e. formerly BBA Libor) is done like this and I am quoting from an old link to bba  "the period between f ixing date and value date will be two London business days  after the fixing date, or if ...
by Magnyz
May 27th, 2015, 9:28 am
Forum: Technical Forum
Topic: frn discount margin with a floor
Replies: 0
Views: 3278

frn discount margin with a floor

<t>Anybody knows if there is a well-defined market convention when using the standard frn discount margin formula for a frn with an embedded floor (such as no negative coupons). It seems to me that the discount margin will be somewhat difficult to interpret if for example the input assumed coupon is...
by Magnyz
May 26th, 2015, 12:20 pm
Forum: General Forum
Topic: frn discount margin with a floor
Replies: 0
Views: 3328

frn discount margin with a floor

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by Magnyz
October 17th, 2012, 12:33 pm
Forum: Technical Forum
Topic: swap surface and crossing tenors
Replies: 3
Views: 10509

swap surface and crossing tenors

ok, sounds cool and complicated. I guess this is the only way to handle it to be sure the forwards behave as expected. Can you elaborate on any details of the implementation?
by Magnyz
October 16th, 2012, 8:15 pm
Forum: Technical Forum
Topic: swap surface and crossing tenors
Replies: 3
Views: 10509

swap surface and crossing tenors

<t>Hi,I wonder how (and if) you would handle the fact that when bootstrapping ois and all swap tenors to create a swap surface the different tenor rates can cross each other on the longer end of the curve (depending on the interpolation model used). It would be nice to be sure that for example the 3...