Things to be covered:

IRS valuation using the new curve

Overview of pricing department

Production work types: pricing platform

Libor curve:

Model questions:

Which rates and why these rates in Short /mid/long???

Which parameters affect the most? What is the convention for this curve? What does bbg use?what do
we use in our system? why do we use that particular settings? See curve settings for usd libor used by
the system

Explaining the JPY OIS curve

Significance of that parameters and what do they mean

Explain libor and jpy ois legs ?

Why this 2 curves?

Value addition done?

credits

JPY OIS CURVE

what is an ois curve?

overnight rate?what is it?how is it calculated? how ois differs from LIBOR? Why have we shifted
from LIBOR to OIS in discounting?

tickers used are; maturity: explain aadateadjust function used

overnight rate=which irs?explain attributes

swap rates=explain attributes ;pay freq;accrual method;

 explain the 1st 8 attributes

bootstrap,interpolation,futres gap method,accrual basis for output rates

effective,terminating,value date

It is an Interest rate swap where the floating rate is an overnight rate of the specific country

Floating leg = overnight rate index e.g. in the US: the effective federal funds rate or the
Japanese MUTSCALM index rate .EONIA (Euro Overnight Index Average)

SONIA (Sterling Overnight Index Average)

SARON (Swiss Average Rate Overnight)

MUTAN (Japanese Uncollateralized Overnight Call Rate)

Overnight rate: The interest rate at which a depository institution lends funds to another
depository institution (short-term), or the interest rate the central bank charges a financial
institution to borrow money overnight

pro and cons of interpolation?when and where to use it?

Explain a sample LIBOR curve usd 3M,pick a discount factor and how do we value any asset class,IRS
according to it?

convexity?

bootstrappin example and deriving spot rates,forward rates?

system setting for libor/accrual curves

be thorough about day count convention,pay freq for libor+JPY,accrual methods used in
BBG,system=Explain compounding and day count

slide for system setting vs bloomberg settings..market trends? which one is better and why?

what i have learnt in the 2 months?

blomberg

finad

curve construction

jyp ois
libor usd

met awesome people

weekly reports sent regarding project progress to prcing team

JPY OIS CURVE

what is an ois curve?

overnight rate?what is it?how is it calculated? how ois differs from LIBOR? Why have we shifted from
LIBOR to OIS in discounting?

tickers used are; maturity:exlpain aadateadjust function used

overnight rate=which irs?exlplain attributes

swap rates=explain attributes ;pay freq;accrual method;

explain the 1st 8 attributes

bootstrap,interpolation,futures gap method,accrual basis for output rates

effective,terminating,value date