SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
equanimity
Topic Author
Posts: 10
Joined: April 30th, 2013, 2:54 am

Conventions in EUR and GBP Interest Rate Swaps

April 21st, 2017, 1:35 am

A few questions about EUR- and GBP-denominated interest rate swaps:

1) Is it the market convention to trade GBP-denominated interest rate swaps with an Act/365 day count basis?  Are there any other day count bases that are commonly traded in GBP?

2) Let's assume a GBP-denominated 5-year interest rate swap has a fixed rate that pays annually on an Act/365 basis.  Would this be referred to by the brokers as "5-year annual money in Sterling" (i.e. money market)?

3) Is it common to trade EUR- and GBP-denominated interest rate swaps with a fixed leg that pays on a monthly or quarterly basis (or only semi-annual and annual)?

Thanks in advance! 
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...