Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
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The articles here deal with Overnight Index Swaps.

Sonia OIS Relative Carry and Roll-Down in Excel. Has Bloomberg got it Wrong?

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I have discussed the generic concepts of Carry and Roll-Down in relation to the expected cash flows of any financial instrument in my post titled Carry and Roll-Down of USD Interest Rate Swaps in Excel with Bloomberg Comparison. The emphasis there was placed on their absolute (dollar) definition and a USD Libor interest rate swap was used as exampl...
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Overnight Index Swap (OIS): Observation Lags, Lookbacks, Rate Cutoffs and step-by-step Prising in Excel

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I have covered in quite exhausting detail the mathematical description of an Overnight Index Swap (OIS) in my earlier post about Pricing and Understanding OIS using Excel.Since then, OIS have increased in significance due to the cessation of Libor that affected primarily the USD and GBP currencies to the effect that today hardly anyone still trades...
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Overnight Index Swap (OIS): Pricing and Understanding using Excel

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Overnight Index Swaps (OIS) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface.An OIS contract is very similar to a plain vanilla interest rate swap, the only difference being that each payment in the floating leg is calculated according to a floating number F that equa...
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