for FRAs that are cleared , i guess that they must be settled in arrears? (eg for a 1x4 FRA, in contrast to the old world where it would have been setteled in 1 month and the payout was (F-K)*0.25/(1+F*0.25)  ,  i suppose for cleared the payout would be in 4 months of (F-K)*0.25 ? ) To the best of ...

Hi MAARE, I once wrote a paper about FIReD ( Floored Instrument on Rolled DEposit), which is basically the instrument you describe with the floor on the composition. This was written before the multi-curve became the standard, and thus in a single Libor curve framework. The paper is available on ID...

QuoteOriginally posted by: kfcnhl Hi Guys, I am having trouble understanding why US swap/GOV spread could be negative for 5 year onward. How can the credit quality of banks be more than US government?My take on it: Treasury / Swap spreads are negative. And what?

<t>QuoteOriginally posted by: mtsm[br]How would you build EUR Eonia, 6M Euribor and 3M Euribor curves without a global fitter? Why do you want to avoid global fitter?With multi-curve framework you are restricted yourself severely if you don't have a global fitter. As discuss below, the EUR example i...

<t>QuoteOriginally posted by: tw813If one applies the approach that bumps market quotes, many rounds of curve recalibration is required. It is much more so in a multi-curve framework.Don't do bump and recompute for the curves inputs (or any other input). Algorithmic Differentiation is there to help ...

<t>You mention GBP cash collateral and I'm assuming that the swap itself is also in GBP. You use a multi-curve / collateral discounting framework with one discounting and one "forwarding" curve and a spread between them. The zero-coupon you are pricing has a fixed leg and, I guess, a floating leg wh...

<t>QuoteOriginally posted by: imanuelcostiganNot in ISDA and I can't find any reliable info from "canonical" sources. OpenGamma interest rate markets conventions document states EOM applies to swaps. But I'm seeing conflicting information from other sources (e.g. BBG SWPM tool, Tradeweb)In the conve...

<t>QuoteOriginally posted by: BerndSchmitzHas anybody given any thought to the convexity in OIS swaps introduced by the deferred payoff (t+1 for eonia swaps, t+2 for FF swaps - at least to my knowledge)?Bernd,I look at this a long time ago (10 years now ). My notes on that questions where collected ...

<t>QuoteOriginally posted by: BerndSchmitzThis is the thread Martinghoul is referring to. If I read correctly the referenced thread is about EONIA, not Fed Fund effective rates.From my understanding, the EONIA rate is published at the end of the trading day on the start date of the period while the ...

<t>QuoteOriginally posted by: BerndSchmitzNot really sure what you mean with Mercurio.The problem is that all papers cited in Ametrano&Bianchetti 2013 are still singleCurve. One can probably use the same arguments in a multiCurve setUp if one assumes a deterministic Libor-OIS-spread but I haven'...

<r>QuoteOriginally posted by: miltenpointThanks all.Mathmarc - Any chance of uploading a sample chapter sample of your book? It looks good but there's no sample on Amazon to look at. I'm just concerned it might be too mathematical for me.The introduction chapter is available on the editor web site a...

<r>My new book "Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation" has a couple of chapters about curve definition, curve calibration, interpolation, global fitting and curve risk.For sale in any good bookshop More details at: <URL url="http://multi-curv...

<t>QuoteOriginally posted by: surya2centsIs there a fast approximate Jacobian calculation of swaps with respect to libor and discount curves? Why do you want an approximate calculation? Why not an exact one? Specially if you want to use it for risk management, it is better to have an exact matrix.Al...

<r>QuoteOriginally posted by: surya2centsMarc - is there an overview document on the multi curve construction which describes the global root finding approaches you have used in Open gamma implementation ?If I may advertise a little bit for it, I have just published a book on multi-curve framework. ...

<t>QuoteOriginally posted by: JohnGuThat's the method I am using.But the value i get is quite off.I used the gradient function in matlab.Why do you want to compute instantaneous forwards? They are a useful theoretical concept, but I have never seen a practical case where you would want to use them. ...