What's new


  1. Nicole Seaman

    P2.T10.20.7. Beyond LIBOR

    Learning objectives: Describe the features comprising an ideal benchmark. Examine the issues that led to the replacement of LIBOR as the reference rate. Examine the risks inherent in basing risk-free rates (RFR’s) on transactions in the repo market Questions: 20.7.1. According to the Bank for...
  2. Nicole Seaman

    P1.T3.723. Swaps: valuation with OIS and LIBOR, comparative advantage, and currency swap valuation

    Learning objectives: Explain the mechanics of a currency swap and compute its cash flows. Explain how a currency swap can be used to transform an asset or liability and calculate the resulting cash flows. Calculate the value of a currency swap based on two simultaneous bond positions. Calculate...
  3. Nicole Seaman

    P1.T3.712. Interest rate fundamentals (Hull Chapter 4)

    Learning objectives: Describe Treasury rates, LIBOR, and repo rates, and explain what is meant by the “risk-free” rate. Calculate the value of an investment using different compounding frequencies. Convert interest rates based on different compounding frequencies. Questions: 712.1. Interest...
  4. Nicole Seaman

    P2.T9.605. Reforming LIBOR and other financial market benchmarks

    Learning objectives: Discuss the recommended principles to make benchmark rates such as LIBOR and other interbank offered rates less susceptible to manipulation. Evaluate the implications, advantages, and disadvantages of using benchmarks. Assess the types of agglomeration effects after a...
  5. Nicole Seaman

    P2.T5.506. Risk-free rate versus LIBOR and the overnight indexed swap (OIS) rate

    Learning outcomes: Explain the main considerations in choosing a risk-free rate for derivatives valuation. Describe the OIS rate and the LIBOR-OIS spread, and explain their uses. Questions: 506.1. With respect to the risk-free rate, LIBOR, and the overnight indexed swap (OIS) rate, consider...
  6. W

    LIBOR, day count convention and compunding frequency

    Hi David, In your notes, you say that LIBOR is quoted on an actual/360 basis. But when using the LIBOR rate as a proxy for the spot rate it is continuously compounding. Doesn't actual/360 imply simple interest (no compunding)? I just do not see how these two methodologies are compatible...