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seen Aug 3 '13 at 20:24

Oct
3
awarded  Scholar
Oct
3
accepted Calculate the “ten year zero rate” given two bonds with two prices
Oct
3
asked constructing a minimum variance portfolio
Sep
18
comment Calculate the “ten year zero rate” given two bonds with two prices
I forgot that we always know that $Z=100$. Thank you very much.
Sep
17
comment Calculate the “ten year zero rate” given two bonds with two prices
Okay, so that confirms my initial thought, but how exactly do you get $\approx 3.57\%$, because I only get a value of $\approx -0.311$ when I type this into Mathematica as follows: $\verb{NSolve[{0.04*Z*Sum[Exp[-y*k], {k, 1, 10}] == 10,70 == Exp[-y*10]*Z},{y, Z}]}$ Does anyone see what I do wrong?
Sep
17
awarded  Supporter
Sep
16
comment Calculate the “ten year zero rate” given two bonds with two prices
I'm especially curious now because, when I try to solve this system, I only get $y\approx -0.311$, and I don't think that $y$ should have a negative value here...
Sep
16
asked Calculate the “ten year zero rate” given two bonds with two prices
Dec
22
comment What are the limits of bond portfolio immunization against interest rate changes?
Hello, the article is called "Duration, Convexity, and Time Value" by christensen and Sorensen, taken from The Journal of Portfolio Management, page 58.
Dec
22
awarded  Student
Dec
22
asked What are the limits of bond portfolio immunization against interest rate changes?