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FRA-OIS quotation??!!
Hi, Could not find it in search so if already asked and answered...sorry.What is meant with : 18m into 1yr FRA-OIS is now 51 bps.How is this FRA-OIS quoted and when trading it....what are the legs of the trade...can anyone give an example please?
Last edited by Adoniz on November 4th, 2010, 11:00 pm, edited 1 time in total.
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- Martinghoul
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FRA-OIS quotation??!!
It's a 1Y FRA (fixes to 1Y LIBOR) vs 1Y OIS swap; both start on the same date, which is 18m fwd.
FRA-OIS quotation??!!
QuoteOriginally posted by: MartinghoulIt's a 1Y FRA (fixes to 1Y LIBOR) vs 1Y OIS swap; both start on the same date, which is 18m fwd.Ok..so its a 18m vs 30m FRA and a 12m OIS.ok a few questions1)Does the Fra always fixes to 1Y libor?2)Is the Euro equivalent FRA/Eonia and does the fra also fixes to 1Y euribor?3) when you read about Fra/OIS, what are the start dates and tenors? (market standard?)Thank you
FRA-OIS quotation??!!
1) No. In fact it is more common to set to 3mL, but can set to whatever the conterparties agree upon.2) Conceptually, I suppose so. But EONIA is akin to overnight LIBOR, whereas OIS swaps are based on fed funds3) Don't really understand the question. Start dates and tenors are whatever you want them to be. No real "market standards" in the OTC market.
FRA-OIS quotation??!!
QuoteOriginally posted by: bilbo14081) No. In fact it is more common to set to 3mL, but can set to whatever the conterparties agree upon.2) Conceptually, I suppose so. But EONIA is akin to overnight LIBOR, whereas OIS swaps are based on fed funds3) Don't really understand the question. Start dates and tenors are whatever you want them to be. No real "market standards" in the OTC market.Thank....what i ment is, sometimes you read in an article about Fra/OIS.Which Fra/OIS are the talking about.