Recent content by STIRNoob

On Bloomberg i want to arrive at White Strip price the way you described it i.e SONIA curve & then add credit risk based on FRA-OIS. I dont know much about FRAs but i assume beyond 1 year they may be replaced with swaps( just a guess). So is it that Reds & Greens will be priced based on swaps...

You mentioned banks hedging their loan books & activity from mortgage markets.My conjecture is that both these group of players will be hedgers & will always hit at market. If the majority trading volume is hedgers' then activity in their markets ( whatever they are , i only know FRAs & swaps)...

So basically one starts with OIS curve ( which has less risk) & add the risk from FRA market which is similar to STIR futures in that both are expectations of forward LIBOR rate. What i am trying to find out is what causes orderflow in STIRs outrights. e.g if a contract is Bid 7000 lots &...

Agreed that one cannot calculate forward rates using two rates with different terms & when thinking from lenders point of view this makes sense. Then how does market price the White strip of STIRs, Is market using FRAs price ?

Whats a 3s6s basis? Why cant i perform forward rate calculation using two rates with different underlying terms( atleast thats what Aikin did in his book)? Why would i need a FRA( did u mean 3x6) to calculate forward rate since FRA itself is a forward rate?

Martinghoul, If i am correct Basis is the difference between futures market price & theoretical price. It seems to me that market participants are not pricing front contracts based on depo rates, if not then how do they price white strip of STIRs? Can you elaborate a little please. thanx

I looked at BTMM page on Bloomberg for UK markets, there is a column of Depo rates but Bid/Offer is wide. I am taking todays LIBOR fixes for steling 3month .8250 & 6 month 1.10188 to calculate 3month forward rate after 3 month 1 GBP after3 month = 1+ .8250/100*90/360=1.002063 1 GBP after 6...

Pricing of STIRs Hi Everyone, I am trading in short streling market since last 1 year. I have a question reagrding pricing of these futures. In Aikin book the pricing was done using Term deposit rats til 1year i.e white strip & then to construct a zero curve using swaps . Q1. Is there any...