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1

As zero rates are usually not observable, people tend to use the sensitivity with respect to par, or coupon, rates. Here, pv01(zero) is a vector, which cen be computed using the pricing formula that is usually expressed in terms of the zero rates. To compute $dz/dr$, you may need to use a finite difference scheme, for example, to shift the par rate $r$, and ...


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For a swap, we have a sequence of re-setting and payment dates. The # of forward rates corresponding to the # of payment dates. For example, let us assume that we have $n$ payment dates $t_1, \ldots, t_n$, where $0< t_1 < \cdots < t_n$. Then there are $n$ forward rates. During the simulation, for time steps prior to $t_1$, there exist $n$ ...


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If you want a zero coupon curve, you can interpolate it given the spot rates. This is typically not done, since spot rates are not traded on the market. Instead, cash instruments are used in the near term, FRAs and futures - in the medium-term, and swaps in the long term to imply rates at specific times, and an interpolation (and extrapolation) scheme is ...


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If you just need the description you can use =BDP(TICKER,"CIE DES") directly in Excel.


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The Fed publishes yield curve data (par, zero & fwd) built with the Svensson model and using coupon bonds: http://www.federalreserve.gov/econresdata/researchdata/feds200628_1.html. The data is 2 day delayed, however.


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Under the Vasicek's model, the price of a zero-coupon bond is given by \begin{align*} P(t, T) = A(t, T)\exp\big(-B(t, T) r_t\big), \end{align*} where $A$ and $B$ are deterministic functions. In particular, $B$ is a positive increasing function (see any books on interest rate models). Then \begin{align*} \ln P(t, T) = \ln A(t, T) - B(t, T) r_t. \end{align*} ...



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