New answers tagged bond
It is useful in risk reports because it tells a trader the interest rate risk of each bond in his portfolio. It is true that it is based on an infinitessimal yield curve bump but the difference between this and 1 basis point bump is usually very small and is considered negligible by many. Note that more sophisticated traders do also calculate the dollar ...
The FRA A FRA is an agreement to exchange cash flows; the FRA in question is: Start 15/9/14 End 15/5/15 which is 242 days. USD Money Market quoting is Actual/360, so the accrual factor here is 242/360 = 0.6722. The FRA cashflows, therefore, are: on 15/9/14, Fix pays $\$1m * (0.6722 * 0.05) = \$33,611.11$, and Float pays $\$1m * (0.6722 * L)$, where L ...
First, it's not a 8% loan. The .08 interest on 1.6 is 5%. It appears that it is coming from the $A (1) = 105$.
USGG10Y is the rolling 10-year on-the-run series. On each day, it reflects the yield of the current 10-year on-the-run note. On an auction date, after a new 10-year Treasury is issued, it starts tracking the new 10-year bond yield. The default USGG10Y series is a composite quote from a few dealers. But frankly, given the liquidity and depth of the Treasury ...
in RQuantLib you need to set the evaluation date using setEvaluationDate() This is the date used by all QuantLib valuation functions in your case 10 May 2014.
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