جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Fallback spread؟

Definition 1.17 Markets II: Rates, FX and Credit · الفصل 1 — Central Banks and the Short Rate

A fallback spread is the fixed adjustment added to a compounded overnight rate when it replaces an interbank offered rate in an existing contract, to compensate for the credit and term premium the old rate contained. For LIBOR it was set as the five-year median of the difference between the two rates, fixed on 5 March 2021: for dollar LIBOR against SOFR, 11.448 basis points at one month, 26.161 at three months and 42.826 at six months.

A lookback: each day of the interest period takes the fixing of p business days earlier, so the last rate needed is known p days before the period ends and the payment can be computed and sent on its end date. With an observation shift the weights, too, come from the lower period.
Figure 1.4. A lookback: each day of the interest period takes the fixing of pp business days earlier, so the last rate needed is known pp days before the period ends and the payment can be computed and sent on its end date. With an observation shift the weights, too, come from the lower period.
اقرأ في الفصل →

مصطلحات ذات صلة