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4

The CME' Fed Fund Futures are what you are looking for. http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html On settlement day they settle at the average overnight rate set by the Fed during the contract month.


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The best solution is to matrix-price these bonds first. For each bond, either find a comparable bond or use your own judgment to determine the appropriate spread to a benchmark curve (e.g., OAS to LIBOR), then use the daily LIBOR curve and the corresponding OAS to obtain the daily prices.


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There could be many reasons: You're using on-the-run yields, but the Fed's fitted curves are off-the-run yield curves. You're using only a few points on the curve, the Fed uses virtually all outstanding issues. The optimization, as you stated, is unstable. There's also no guarantee that the Fed's parameters are necessarily the best. If you look at the ...


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Conceptually, let's say you sell a bond three months after the previous coupon date. Because you've sold the bond, you won't receive the next coupon payment, which happens in three months' time. But you deserve half of the next coupon payment, because you've held onto it for half the coupon period. That's what accrued interest is. Accrued interest, in ...


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US Treasuries follow the Actual/Actual day count convention, so you can't make the assumption that there are 180 days in a coupon period. Let's assume that the settlement date (T + 1 for US Treasuries) is 8/6/2015, the previous coupon date for a bond is 7/31/2015, and the next coupon date is 1/31/2016. Then the number of days in the coupon period is 184 ...


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Your term_1, which represent the zero coupon rates, are expressed in %. You have to divide the values by 100 to compute discount factors.


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if I short the futures, at expiry I'll lose if 3 months LIBOR goes higher than the initial forward price If you short the future and LIBOR rate goes up you will actually make money, not lose money. If you short a Eurodollar contract you are effectively locking in that interest rate. Here's an example. Say it's December 2015 and you need to borrow 1M ...


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Nowadays, government yield curves are customarily built with only coupon bonds. Zero coupon bonds (i.e., STRIPS in the US) are much less liquid compared with coupon Treasuries, and tend to trade very differently. If you plot a zero curve implied by coupon Treasuries vs yields of STRIPS, you'll notice that they can differ quite a bit in certain parts of the ...


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Back when I had lots of free time, I used to publish a series of constant maturity par bond total return indices (http://hungrydummy.com/datacenter/). Because these are "par" bonds, they are immune to coupon effects. I briefly described the computational methodology on that page, which is copied below. The same methodology can be used to create constant ...



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