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, ...
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".
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...
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...
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 ...
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...
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...
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 ...
<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...
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?
<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...