I'm trying to parse compounded OIS vs fixed and compounded OIS vs 3mLibor swaps for USD. Question is pay-lag.
Suppose we have a 3y compounded OIS vs. 2$ fixed swap. So we start at t0 = spot-of-today and generate actual dates
t0, t1, t2, t3.one year apart. Now the compounded OIS rates for an interval, say, t1 to t2, are paid with a 2 day pay lag.
Does this mean that the rate for t1 to t2 is paid on t2 +2busdays? Does the fixed leg also pay on t2 _ 2 busdays
Same question for a swapping Libor 3m + spread vs compunded OIS
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- Martinghoul
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Re: Converntions for compounded OIS swaps
I believe t2+2 bus days is correct, certainly as far fixed vs floating swaps are concerned. This applies to both legs of the swap.
Interestingly enough, it appears that conventions for a regular LIBOR/OIS basis swap are different, but I am not sure that's the product in question here.
Interestingly enough, it appears that conventions for a regular LIBOR/OIS basis swap are different, but I am not sure that's the product in question here.
Re: Converntions for compounded OIS swaps
Thanks.
Thanks.
For OIS/fixed swaps, would you know if the fixed leg payments are Act360 and if they are delayed so that they occur on the same day as the compounded OIS payments? And for OIS vs. (3mLibor + spread), are the 3m Libor payments delayed to match the OIS pay dates, or are they like any other 3m Libor leg?
Thanks.
For OIS/fixed swaps, would you know if the fixed leg payments are Act360 and if they are delayed so that they occur on the same day as the compounded OIS payments? And for OIS vs. (3mLibor + spread), are the 3m Libor payments delayed to match the OIS pay dates, or are they like any other 3m Libor leg?
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- Martinghoul
- Posts: 188
- Joined:
Re: Converntions for compounded OIS swaps
AFAIK, for regular OIS, fixed leg convention is ACT/360 and the payments occur on the same day as the floating leg payments.
For the basis swap, the LIBOR payments appear to coincide with the OIS ones. At least, this is what I see...
For the basis swap, the LIBOR payments appear to coincide with the OIS ones. At least, this is what I see...