Box Spreads Embedded Interest Rates

Martinghoul · Jun 24, 2011

Quote from dragonman:
I see a quote of 3-months LIBOR/OIS spread (which is about 15.65 regarding USD), and I didn't see any quote for a longer period. Does that mean that a box spread which is 10 points appart that expires within 2 years should be traded at about 9.98, so that the 3-months LIBOR/OIS is being applied to such box even considering it expires within 2 year and not 3 months?
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Well, 3M spot LIBOR/OIS is just the very first fixing, so it's not going to do the trick. See the attachment for the rates you actually want.

dragonman · Jun 24, 2011

Quote from Martinghoul:

Well, 3M spot LIBOR/OIS is just the very first fixing, so it's not going to do the trick. See the attachment for the rates you actually want.
More...

Thanks, very helpful. So if the 2-year is at .3430 the price of a 10 points 2-year box spread should be 9.9657?

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Box Spreads Embedded Interest Rates

Martinghoul

usois.jpg

dragonman