The interest-rates tag has no wiki summary.
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When calculating CIP between EU and US, which interest rates data to use?
I am wondering which data to use to test the Covered Interest Rate Parity between Europe and the United States. Recap that for the CIP to hold, it should mean that
F/S = (1+r)/(1+r*) where
F = the ...
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1answer
132 views
Yield on Fixed income futures
I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
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543 views
Modelling with negative interest rates
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio. The literature on modelling negative interest rates is limited, and the only theory I could ...
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100 views
Replicating portfolio and risk-neutral pricing for interest rate options
For equity options, the pricing of options depends on the existence of a replicating portfolio, so you can price the option as the constituents of that replicating portfolio. However, I am not seeing ...
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49 views
Optimal mortgage rate strategy
When buying a mortgage, you can choose to "lock in" a rate at any point within 60 days of your closing date. Once locked in, you can't revert.
This makes it a secretary problem - in the traditional ...
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114 views
compute time from FX forward, how use DEPO rates?
assume I have following delta-term vol data from broker:
...
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123 views
How does one estimate theta in the Ho-Lee model from a yield curve?
I have a yield curve constructed using linear interpolation with data points every 3-months for US treasuries.
I would like to use that calibrate a Ho-Lee model, but I can't wrap my head around how ...
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113 views
Yield Curve Volatility
Let you have several issuers, and let each issuer have its yield curve built up with liquid plain vanilla fixed rate bonds.
Each yield curve has its slope and its curvature, and they obviously change ...
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80 views
Eurdollar Futures
Trying to understand the Eurdollar market a little better. I understand it's the market for dollar denominated deposits outside the US (not just in Europe). They are unregulated and not subject to ...
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50 views
Neglect the positive values in negative interest rates modelling?
The magnitude of the negative interested rate should vary correlated with the increase in fixed assets prices and with cross-currency basis spreads.
Could their volatility / correlation ...
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48 views
Modelling the magnitude of negative interest rates as depending on the deposited volume
The discounting curves are generally inferred from zero coupon bonds, especially for short rates, where such zero coupon bonds exist. Given the recent governmental negative interest rate bonds, this ...
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36 views
The observed negative interest rates should be modelled as the observed positive ones?
The presently observed negative interest rates for the recently emitted negative interest bonds by France, etc seem to increase in magnitude with the term. This might suggest that their modelling is ...
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43 views
Jumps in the evolution of observed negative interest rates related to changes in credit ratings?
If credit risk is to be considered completed integrated in the market prices (integrated credit and market risk), the change in the credit rate will trigger the change in the interest rate/market ...
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64 views
Split in two the observed negative interest rates (theoretically always positive/negative)?
An autoregressive model to get the future evolution a non-jumpy evolution of the interest rates seems a good option , but not taking into account the possible future variations in credit rate states ...
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44 views
Bibliography and historical data relevant to negative interest rates modelling
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio.
From this point of view, the literature I have found is limited.
I am asking for some ...
