# Questions tagged [forward-rate]

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I would like to extend my question about about FX Forward rates in stochastic interest rate setup: FX forward with stochastic interest rates pricing We consider a FX process X_t = X_0 \exp( \int_0^t(... 3answers 1k views ### Change of measure between T-forward and T*-forward contract? I am trying to prove the need of a convexity adjustment to a forward rate by calculating the next expectation: \begin{align*} P(t_0, T_s)E^{T_s}\big(L(T_s, T_s, T_e) \mid \mathcal{F}_{t_0}\big). \end{... 2answers 6k views ### Mid-curve swaption I would like to know how the mid-curve swaption could inform us about forward volatility. In my understanding it is a swaption on a forward starting swap. Let us say the midcurve swaption expires ... 1answer 5k views ### Dual Curve Bootstrapping - When to OIS discount? I am a new quant and I am trying to understand some of the specifics of dual curve bootstrapping. For concreteness, suppose I want to build a Libor forward curve. From what I understand OIS ... 1answer 329 views ### Convexity adjustment when payment if after interest natural term? I've been working with a convexity adjustment for an interest rate payoff and the next question came to me: The usual problem that gives rise to the convexity adjustment I'm referring to is as ... 1answer 2k views ### Calculating Discount Margin on a floating rate bond using QuantLib Going off Luigi's hint on this answer: Setting up Schedule for an amortizing floater in QuantLib I was able to cobble something together but I'm unable to verify if it's correct. TLDR: I was able to ... 3answers 1k views ### How to prove martingality of forward rate under T-forward measure LetP(t,T)=\mathbb{E}_{Q_{R}}[e^{\int^{T}_{t}r(u)du}|\mathcal{F}_{t}]$be the price of a 1-euro zero-coupon bond with maturity$T$and$r(u)$the interest rate process. Consider the the forward rate$...
As far as I understand, a compounded swap rolls up individual payments into one final payment which becomes: $$V(t_n) = N \prod_{i = 0}^{n-1}(1 + d_i L_i)-N$$ where $d_i$ is the day fraction for ...