# Questions tagged [interest-rates]

An interest rate is the rate at which interest is paid by a borrower (debtor) for the use of money that they borrow from a lender (creditor).

923 questions
Filter by
Sorted by
Tagged with
45 views

### Term premium with daily vs monthly time series

I have estimated the term premium for the Polish Government Bonds (POLGBs) using the methods described by Adrian et al. (2013) (often referred to as ACM). The underlying yields are interpolated from ...
32 views

### How to combine DV01s from multiples maturities into fixed ones?

Suppose I have multiples maturities on my book of IRS trades , each one maturing in 15, 35 , 58, 65, 70, 74, 95 (...) days. How do I decompose (or combine) the DV01 for each flow/maturity into fixed ...
77 views

• 6,850
111 views

### Calculating Risk Free Interest Rates for VIX formula

This question pertains to a whitepaper published by the CBOE that explains how the VIX index is calculated. Near the bottom of page 5 of the whitepaper, it explains that two risk-free interest rates ...
• 123
338 views

### Term SOFR rate formula

The following website gives the specifications of the CME Term SOFR reference rates: CME Term SOFR. Point 1 in the link above specifies that the tenors that are currently supported are 1m, 3m, 6m, and ...
• 5,106
73 views

### Filling in between data in finance

I'm trying to create a model on how different factors influence a particular asset. For some of these factors, like inflation, for example, I have monthly data, while for others, like exchange rates, ...
• 101
85 views

### Put call parity with real time tick data

I am working with some real time options tick data (mainly futures options and index options), and in many cases the quotes are single sided (as seen on bloomberg terminal). I will denote a quote as ...
• 93
110 views

1 vote
54 views

### Inferring a term structure when using a short-rate model

I'm relatively new to working with interest rate models and I am having some conceptual difficultly considering how a short-rate model can be utilized when calculating OAS of a mortgage-based bond, ...
• 41
1 vote
### If any zero coupon bond $P(T)$ can be chosen as a numéraire, then why can the rolling bond for any time discretization be chosen as numéraire
Let us consider some finite time horizon $[0,T]$, and we assume that $P(t)$, the zero coupon bond maturing in $t$ for any $t\in [0,T]$ can be chosen as a numéraire, i.e. such that the numéraire-...