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Answer by Adam N. for OIS example in Hull's book
isn't the fixed-rate payer paying $(1+q/360)^n$Interest rate swaps typically don't involve exchange of notional. Also, fixed leg of a swap is usually quoted in money market convention, not as a...
View ArticleAnswer by user35980 for OIS example in Hull's book
I'm not clear on the algebra you've given, but I think all Hull is doing is saying the annualised fixed rate is 3% and the 3m OIS float rate fixing is 2.8% - thus the cashflow is the difference of this...
View ArticleOIS example in Hull's book
In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \$100...
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