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I don't do TRI, so I may be wide of the mark, but: Euribor is not an instrument. It originated as a fixing to reflect the cost of borrowing for a term (here 3m) in the interbank market. But it is not an instrument, so there is no return to reinvest, nor an instrument to reinvest in. Instruments that do depend on 3m Euribor are FRAs, Futures, IRS, and then ...


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I guess you'll have found the answer to this question sometime in the last couple of years, Gabriel, but anyway: It is purely notional. This market is not made for producers to sell their product, it is simply for hedging. The money market is where actual short-term capital is lent between banks. In EuroDollar futures there is no exchange of principal. In ...


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Thanks to my research leader, I found what I missed. $V_{0,1}$ is vol of swaption that matures at $T_0$ which is not 0 (as I thought), rather it is maturity of the first libor. So $V_{0,1}$ is the closest available point on market. And now this is all clear with table on page 323 in section 7.4. $V_{0,2}$ is realy vol of swaption that matures at $T_0$=1y ...


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In the past, The Fed typically raised interest rates to help balance the money supply. When the economy is good and unemployment is low, the Fed raises rates to prevent an over-tightening of the money supply. This is traditionally how inflation works and when this happens it is actually a sign of health. Commodity prices tended to soar because there was ...


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The NS model should be fit directly to bond prices. If you have the prices of all the Treasuries, you should use those directly. See this paper for how the Fed does it http://www.federalreserve.gov/pubs/feds/2006/200628/200628pap.pdf The "Daily Treasury Yield Curve Rates" are already fitted par yields (they're fitted using a cubic spline model to on-the-run ...



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