# Tagged Questions

The tag has no usage guidance.

1answer
18 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 ...
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?
0answers
50 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 ...
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 ... ...
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 ...
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])
1answer
357 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 ...
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 ...
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) ...
3answers
6k views

### Why would a 6M LIBOR rate be significantly above 3M LIBOR, ED futures and swap rates?

Just was just looking at the various interest rates and noticed this: ...