New answers tagged swaps
The formula seems to be correct. Negative interest rates are not impossible in these days. http://www.bloombergview.com/quicktake/negative-interest-rates Have you checked the algorithm with values that produce positive rates? And in what area lie the negative ones? In the case of negative interest rates the discount factors should be greater than one, of ...
Zero should be the price, shouldn't it?
Once upon a time, there was the One Curve. It was made of various instruments (Depos, Fixings, Futures, Swaps) and represented the One True Discount Rate for any given term. With that curve, and an appropriate interpolation method, it made sense to talk about expensive days, the curve up to 3m, etc. But that world is long gone. When you create a 3m curve ...
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