New answers tagged pricing
consider your bond initially was at par (cpn=3%~=yld_0) and now answer the question what is the price change given new yld_1=9%. for a very dirty estimate use relationship between price change vs yield change and duration (~=10).for a less dirty estimate you'll need some educated guess on the level of convexity. have a look at closed formula of convexity of ...
It might be more impressive to demonstrate that you have the tools and can use them. Go to the interview with a handheld calculator. The answer is a few keystrokes away.
I am a professor too and I did work with Siemens Corporate Technology which provides the quantitative technology for their copper and electricity trading (Siemens being one of the biggest players in this area in Europe). They are mainly using sophisticated neural networks. We also published a paper together, see my answer here: What types of neural networks ...
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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