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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 ...


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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 ...


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First, it's not a 8% loan. The .08 interest on 1.6 is 5%. It appears that it is coming from the $A (1) = 105$.


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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 ...


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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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