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0
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2answers
25 views

How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
1
vote
0answers
30 views

Determining rate of interest

If I have trade prices of 10Y futures contract (ZNH6) is it possible to derive the interest rate from it? Or is there a better way to obtain historical 10 year rates?
1
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0answers
52 views

Moody's seasoned corporate bond yields

The Fed publishes Moody's seasoned corporate bond yields here. These yields are not broken out by maturity. According to this website, the yields represent "long-term" bonds, with minimum and ...
5
votes
1answer
65 views

12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ... ...
2
votes
1answer
108 views

Why AREN'T forward rates what the market expects of the spot rates?

I know that for a swap for example, the swap rate is just what adopts equilibrium for both legs by no arbitrage, on the other hand for a FRA its just the same only with one period of time. Considering ...
0
votes
2answers
73 views

returns of Bonds and exchange rates

which are the best distributions in order to model the bonds and exchange rate returns distributions. I am searching for a distribution such as the log-normal one of the stocks ( N(m-0.5*v),Sqrt[v])
3
votes
1answer
358 views

Is inverted Japanese style curve persistent when negative rates are real / market - observed?

Are the inverted (Japanese style) governmental yield curves being a sign a recession/credit risk or should they be modelled as being due to a lack of liquidity? (...with such curves evolving into a ...
8
votes
1answer
1k views

What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?

I have 5 bonds (with maturities 1,2,3,4,5 years) which I calculated the yield curve for 10 days. I also calculated the forward rates from the yield rates. Now I've been told to calculate the ...
1
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0answers
59 views

Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?

Observing the negative interest bonds in Switzerland, Denmark, GErmany the value of higher presently (credit-free) outgoing cash flows seems less important than the value of lower future (credit-free) ...
7
votes
3answers
6k views