The tag has no usage guidance.

learn more… | top users | synonyms

4
votes
1answer
1k views

How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
0
votes
1answer
754 views

How can an FRA create arbitrage opportunities?

I'm working through Options, Futures and Other Derivatives (beginner trying to understand investment banking). I've more or less followed the discussion of interest rates, forward rates and forward ...
-1
votes
1answer
109 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
7
votes
0answers
320 views

Implied term structure from risky discount curve: does it make sense?

We know that, taken every discount curve, it's possible to calculate its forward rates according to our tenor preferences. We know also that it's actually possible to extract an implied term ...
5
votes
0answers
427 views

compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...
2
votes
0answers
74 views

FRA-Strategy: Make 3-month and 1-year Excess returns comparable

I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference. I am ...
2
votes
0answers
235 views

EUR/PLN and EUR/USD delta-term-vol surface quoting convension

does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
1
vote
0answers
39 views

How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : ...
1
vote
0answers
88 views

Forward Credit Spreads

I have a beginner question in credit quantitative modelling. I would like to know how we can derive forward credit spread curve, i.e the counterparty of forward yield curves. Indeed, for deriving a ...
1
vote
0answers
70 views

forward curve and cap/floors in nowadays environment

I'm currently trying to get the implied volatility of a vanilla Euro floor with maturity 1Y with data from bloom. I have the price ( which is not supposed to take into account the first floorlet ...
1
vote
0answers
49 views

What is the main point in the Forward contracts definition?

In Islamic Finance there is a contract called "Salaf" or "Salam" which is similar to Forwards except in time of payment which happens in the entering contract day (exactly unlike the Forwards). Some ...
1
vote
0answers
126 views

Bond pricing with HJM simulation

I'm using Glasserman 3.16 and 3.17 algorithm to price bonds. The algorithms evaluates the forward rates and the discount factor $B(0,t_j)$. My question is: How can I price bonds in a future time? I ...
0
votes
0answers
21 views

How to fit model implied forward curve with market forward curve for Ornstein-Uhlebeck?

I have a spread option model of 2 correlated Ornstein-Uhlenbeck commodity prices that I estimate the parameters of with Maximum Likelihood. What is the formula for introducing the additional ...
0
votes
0answers
37 views

The calculation of NIBID rate from 2013 by using NIBOR rate (UIP)

I need to calculate the NIBID rates from 2013. I have the NIBOR as a starting point and some indications but I am still quite confused. I found some advices online, but it does not seem to get me the ...
0
votes
0answers
42 views

Calculate Forward Rate under CIP - differs from qouted rates, why?

Hello everyone out there, I am quite new here, but hope you are helping me out, nevertheless. By assuming that we have CIP I want to calculate the 3M Forward rate for EURUSD. I use the known formula ...