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An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period. Note that the OIS term is not ...
The Bank of England took on administration of rate in April 2016. Two years later, in April 2018, the rate underwent a number of reforms. [1] In the same year efforts to promote SONIA as the standard Sterling interest rate benchmark for loans, derivatives and bonds were stepped up. [3] [4]
Secured Overnight Financing Rate (SOFR) is a secured overnight interest rate. SOFR is a reference rate (that is, a rate used by parties in commercial contracts that is outside their direct control) established as an alternative to LIBOR. LIBOR had been published in a number of currencies and underpins financial contracts all over the world.
NSE launched the 14-day NSE MIBID MIBOR on November 10, 1998, and the longer term money market benchmark rates for 1 month and 3 months on December 1, 1998. Further, the exchange introduced a 3 Day FIMMDA-NSE MIBID-MIBOR on all Fridays with effect from June 6, 2008, in addition to existing overnight rate.
A "five-year Euribor" will be in fact referring to the 5-year swap rate vs 6-month Euribor. "Euribor + x basis points", when talking about a bond, will mean that the bond's cash flows have to be discounted on the swaps' zero-coupon yield curve shifted by x basis points in order to equal the bond's actual market price.
Course of EONIA 1999–2009. Eonia (Euro Overnight Index Average) was computed as a weighted average of all overnight unsecured lending transactions in the interbank market, undertaken in the European Union and European Free Trade Association (EFTA) countries by a Panel of banks (the same as for Euribor) subject to the Eonia Code of Conduct.
Given: 0.5-year spot rate, Z1 = 4%, and 1-year spot rate, Z2 = 4.3% (we can get these rates from T-Bills which are zero-coupon); and the par rate on a 1.5-year semi-annual coupon bond, R3 = 4.5%. We then use these rates to calculate the 1.5 year spot rate. We solve the 1.5 year spot rate, Z3, by the formula below:
For discounting, the overnight indexed swap (OIS) curve is typically used for the "risk free rate", as opposed to LIBOR as previously; see Interest rate swap § Valuation and pricing. Relatedly, the "Multi-curve framework" is now standard in the valuation of interest rate derivatives and for fixed income analysis more generally.