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Sep
7
revised Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
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Sep
7
revised Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
added 183 characters in body
Sep
7
comment Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
by the defintion of the NPV, one is supposed to have a model which has the NPV of the bond equal to the market value. The way to do the calibration is via the (credit) spread, which is supposed to express in a continuous way the rating state/probability of default. But (from the accounting point of view) one does not discount the incoming cash flows based on the credit state of the borrower, because it has already entered in the interest rate that you are charging for giving the principal away :(
Sep
7
revised Neglect the positive values in negative interest rates modelling?
edited title
Sep
7
accepted Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
Sep
7
comment Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
Thank you, @BlueTrin. NPV is supposed to be the difference between an investment's market value and its cost. The market value has been very low. There are 3 options: 1. the cost of the investment is negative, 2. the NPV did not match the market value (it should be even lower than the market value), 3. this definition of NPV is no longer exact. What you are talking about is the expected (credit) gain, which favours option 3?
Sep
6
asked Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
Sep
4
awarded  Tumbleweed
Aug
31
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Aug
31
awarded  Scholar
Aug
31
accepted Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Aug
31
revised Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
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Aug
31
revised Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
added 6 characters in body
Aug
31
answered Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Aug
30
answered How do I calculate weighted mean with negative weights?
Aug
30
comment Need advice on finding forward spot rates
if these were actual data, at the moment you raised the question, does it happen you to have the observed values for the rates you were asking? (What was the 3ML after 3M, what was the 6ML after 6 M, etc) And could you say the currency these Libors are for?
Aug
30
answered Equivalency of FX forwards and FX basis swaps for risk-management purposes
Aug
30
comment What distribution to assume for interest rates?
Hello @Bob Jansen : You could try Monika Piazzesi, the "Affine Term Structure Models" chapter, if you want to enter/modify the basis. Or you can see the work of Krippner, for example "Measuring the stance of monetary policy in zero lower bound environments", if you want to cut to some final ideas.
Aug
30
revised Concentration risk in credit portfolio
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Aug
30
revised Concentration risk in credit portfolio
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