Brazilian swap valuations

access1nash · May 25th, 2012, 6:59 am

For a swap which has no interim payments, such as a Brazilian swap, how do you do a clean vs dirty valuation?For fixed leg, in this case, we can use = Notional*(1+rate/100)^ (no of business days/252), where no of business days = from valuation date till maturity (instead of effective date till maturity)How about the floating leg? It pays Notional*product ( (1+CDI Rate/100)^ (1/252)). Sorry I can't use the symbols here, i hope you understand. How do I exactly remove the accrued interest from here? It'll only be the Notional then?

access1nash · May 25th, 2012, 7:25 am

In case I wasn't clear, I want the clean value instead of the dirty value

daveangel · May 25th, 2012, 10:52 am

It would seem natural that the accrued interest should be calculated in a similar manner ... ie compounded up to the settlement date.

access1nash · May 25th, 2012, 11:29 am

ok, thanks for your reply.

piterdias · May 29th, 2012, 3:25 pm

The CDI Rate resets every day, so you need compound these rates from starting date until your valuation date. You may try1) http://www.cetip.com.br2) Click "English" - top right3) On "DI RATE" click on "SEE MORE"4) Play a little bit with "Calculate the accumulated DI Rate between"Regards,

CRMsquared · May 30th, 2012, 4:11 pm

Hey Guys,Can any of you guys suggest a good place to read about Brazillian market conventions?In particular I am interested in.1. Money Market, Future/FRA & Swap conventions2. What instruments are most liquid3. Suggested curve inputs for valuations4. FX spot / FWD conventionsMany Thanks in advancePaul

piterdias · June 1st, 2012, 12:02 pm

It is not that hard finding such information either in books or web sites, but almost all good stuff is in Portuguese. I can list some links and books if you want to give a shot.BM&FBovespa (stocks and futures exchange, http://www.bmfbovespa.com.br) has some contract definitions in English (Chinese and Spanish as well).The National Treasury Secretariat (http://www.tesouro.fazenda.gov.br/english/index.asp) has some documents about our Government bondsIt is hard finding something better than this in English.

miquant · July 4th, 2012, 12:06 pm

Hey Piter, could you give the list of links and books you were talking about ??Are you currently working for BRL markets?

MCarreira · July 4th, 2012, 12:46 pm

"Engineering BGM" by Alan Brace has a chapter about IR products in Brazil.

piterdias · July 4th, 2012, 4:18 pm

Actually I am Brazilian and had spent some years working on front-office and market risk systems customization for Brazil.I advice you trying a free source instead of buying a Brazilian book in case you don't speak Portuguese. You may try:Bradesco Stocks and Custody Area - Mark to Market ManualMetodologia Cetip de Marcação a MercadoCaderno de Fórmulas - SwapsA good starting book about our market, sadly in Portuguese, is Cálculo financeiro das tesourarias - Bancos e empresas.Let me know if it helps somehow.

odradek · November 28th, 2012, 4:09 pm

As someone who has had this "product" suddenly foisted on their desk, I have to ask:1) Who the hell thought this garbage up?and 2) Do they really trade this shit? Liquidly?I mean, god love the Brazilians, but this product is utter nonsense. It's a bureaucrat's wet dream. I was watching Brazil the other night (the movie, not the country), and looking at this product, that title takes on a whole new meaning.It's like some brainfart of Central Services. Have you got a 27B-6?

odradek · November 28th, 2012, 4:09 pm

odradek · November 28th, 2012, 4:09 pm

mixmasterdeik · December 10th, 2012, 4:05 pm

Seems like you never heard of an OIS swap. The reationale is the same, so I would say that developed mkts are now mirroing Brazil

odradek · December 12th, 2012, 10:40 am

Seems like you don't know how to read. Did you actually bother to look at the product specification in the original document?Nice picture, btw.