The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
1answer
96 views

Formula for the forward rates?

I'm reading a book about interest rate modelling. It states the following formula P(0,T) = exp(-sum of the forward rates) But I thought it's the average of the forward rates?
1
vote
1answer
70 views

forward vs spot simply-compounded spot interest rate

Question about forward vs spot simply-compounded spot interest rate.Some definitions $P(a,b)$ a zero coupond price at time $a$ and maturity $b$ $L(a,b)$ simply compounded spot interest rate set at ...
2
votes
0answers
44 views

Simple Forward Interest Rate Proof

Just trying to check my logic here: Let $Z(t,T)$ be a Zero-Coupon Bond with maturity $T$ bought at time $t$, $S_m$ be the spot interest rate for time $m$ and $S_n$ for time $n$ respectively, where $n ...
3
votes
1answer
63 views

meaning of discount term in FRA value

Consider a forward rate agreement on LIBOR (say), which starts 2 months from now, expires after 3 months and has strike $K$, and is based on $3M$ LIBOR -- $FRA_{2\times 5}$. Now the present value of ...
2
votes
1answer
77 views

Why are multiple custom curves (swap) built for one desk?

Currently in a journey of learning and getting my hands a bit dirty with Interest Rate Swaps. Why there are multiple customized curves built by many even within one desk? For e.g. Short Rates desk ...
0
votes
1answer
39 views

Derive instantaneous forward rate

Given that $P(0,T)=e^{-RT}$, how does one get the formula for the instantaneous forward rate below? Specifically, how does one get to the partial derivative in the formula? I'm sure the answer is ...
0
votes
0answers
46 views

Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement

Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
3
votes
1answer
395 views

Calculating instantaneous forward rate from zero-coupon yield curve

I have a big dataset containing zero-coupon bond yields with different relative maturities. I fix a time horizon on my dataset and I want to calculate instantaneous forward rate. I'm going to write ...