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Fixed Income Tidbits • a fixed income quant blog

A blog with various topics in fixed income.

http://fitidbits.nystrom.cl/

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Fixed Income Tidbits • a fixed income quant blog | fitidbits.nystrom.cl Reviews
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Fixed Income Tidbits • a fixed income quant blog | fitidbits.nystrom.cl Reviews

https://fitidbits.nystrom.cl

A blog with various topics in fixed income.

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1

Overnight indexed swap (OIS)

http://fitidbits.nystrom.cl/tag/ois

A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Overnight indexed swap (OIS). An overnight indexed swap (OIS) is an interest rate swap where the floating rate of the swap is calculated from an overnight index (usually as a geometric average). The overnight index is typically an interest rate considered less risky than a Libor rate. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. Instruments for each tenor curve i.e. ...Homog...

2

Hagan West spline

http://fitidbits.nystrom.cl/tag/hagan-west-spline

A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Hagan West spline. A forward monotone convex spline interpolation algorithm developed by Patrick S. Hagan Graeme West. It is designed to be used in financial markets for construction of curves such as forward curves, basis curves, and yield curves. Great example with Hyman filter in spline interpolation. April 22, 2012. I reproduce the graphs below. This is before the Hyman filter is applied:.

3

Dual curve pricing

http://fitidbits.nystrom.cl/tag/dual-curve-pricing

A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Dual curve pricing. The pricing of a Libor based derivative where the forward rate and discount rates are different curves. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? 12M tenors). The typ...

4

Dual bootstrap

http://fitidbits.nystrom.cl/tag/dual-bootstrap

A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Dual bootstrap. A methodology for creating the unknown libor curve relative to a known discount curve. The methodology follows the same principles as the traditional (single curve) bootstrapping methodology except that the discount curve is exogenous. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. Here’s the procedure from curve creation to pricing:. Instruments for each tenor...

5

Discounting curve Archives • Fixed Income Tidbits

http://fitidbits.nystrom.cl/tag/discounting-curve

A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Discounting curve. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. In the post credit crisis swap market the curve building process has completely changed and what was before a fairly straightforward procedure is now a lot more involved. Why is that? Here’s the procedure from curve creation to pricing:. Homogeneous in the underlying rate (typically with 1M, 3M, 6M,. Ments using...

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