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No, do nothing. It is important to have "as-of" data for backtesting. Answer below is when I misread the question and thought you were trying to smooth out jumps in the rolling on-the-run series. I thought I'd keep it for reference purpose: It depends on what you're doing. If this is purely to show where the rolling on-the-run bond yields have been ...


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You need to have a process to fix the auction-day prices. Often the coupon is changed and you will have a previous price for the old coupon, which causes the jump. It happens fairly frequently; at my place we finally automated it.


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Ok, so I think you are just asking what is the dv01 of the bond. So if the yield goes up one bp what's the new price? And if it goes down, what's the new price? That's the simple way that people look at it. For a bond that can't be called or converted in any way it's pretty easy. Let's assume that's what you have. Here's the process: So first you ...


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Firstly, some instruments: FX Swap, also known as an FX Forward: exchange of principals at start, and exchange back at end. The back exchange is at an adjusted FX rate, which differs from the spot rate by the quoted number of forward points. Non-Deliverable Forward FX (NDF): much the same as an FX Forward above, but delivery is of the USD (usually) ...


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They need to do 3 swaps (1) Singapore IRS: Receive fixed SGD vs Singapore floating rate for 10yrs on SGD 100mm (2) Currency Basis swap: Receive Singapore floating versus paying MYR floating for 10 yrs. This swap includes an exchange of principal at the start of the swap (pay SGD 100mm/ receive 33mm MYR) and an exchange of principal at the end in the ...


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In an FX swap you exchange SGD and MYR payments at the beginning of the swap, and then again (in the opposite direction) at the end of the swap 10 years later. In a Cross Currency Basis Swap, in addition to these payments you also make interest payments quarterly. The party that initially received (i.e. borrowed) the SGD makes interest payments based on SGD ...


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Traditionally, banks did not particularly consider consumer loans as a source of profit, but rather as a source of credit risk to be mitigated (Thomas, 2000). Expected profit simply was (and I would guess, still is) not really something that comes into the loan decision at micro level. As to your question as to how the profit is calculated in practice, I ...


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There are different measures and interpretations of duration. One, as has been pointed out already, has a formula weighting coupons and final contractual cashflow. Other definitions of duration take a broader perspective and relate it to the interest rate sensitivity of the security and not to a particular formula. These go by names such as effective or ...


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Ditto to Larasing. Any bond's duration is just a matter of coupon, price, discount rate. Credit risk does not factor into this equation.


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Discount factors>1 is not impossible. It just means that rates are negative, which is indeed the case in several Government bond markets in Europe.


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Suppose the short rate $r$ follows the diffusive process $$dr=\mu dt+\sigma dB$$ where $B$ is the standard Brownian motion. The price of a bond portfolio $P(r(t),t,T)$ at time $t$ maturing at time $T$ follows $$dP=\frac{\partial P}{\partial t} dt+\frac{\partial P}{\partial r}dr+\frac12\frac{\partial^2 P}{\partial r^2}dr^2=\Big(\frac{\partial P}{\partial t}+ ...



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