# 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).

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### How to build a cross currency swap pricer?

We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ...
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### Best way to lock in margin rate via hedging

I'm currently paying a 1.25% margin rate. This rate is based on the Fed Funds rate plus a margin. I would like to hedge against the possibility of this margin rate increasing. What is the best/...
1 vote
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### Free Arbitrage conditions in ATM swaption surfaces

I'm wondering how can we check free arbitrage conditions in ATM swaptions surfaces since we only have access to Expiry, Tenor and volatility? Can someone help me please, i didn't find any article ...
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### Any other ways to hedge a bond portfolio against interest rate risk? [closed]

I'm currently taking a (gentle) intro to derivatives class. One of the exercises asked me to discuss duration as a risk measure and to provide alternative methods of hedging a bond portfolio against ...
279 views

### PV01: bumping all tenors along the curve or only a tenor at a time?

Item 22 from this ISDA SIMM 2.3 document gives the following definition for the PV01 of an instrument $i$ with respect to the tenor $t$: $$s(i, r_t) = V_i(r_t+1bp, cs_t) - V_i(r_t, cs_t)$$ where $r_t$ ...
1 vote
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### How to convert the parameters of multi-factors cheyette model (quasi-Gaussian model) from tenors to factors?

The book "Interest Rate Modeling" by Andersen and Piterbarg is an extermely fascinating book on interest rate derivatives. Recently, I have encoutered some issues while reading this book. ...
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### Barrier Reverse Convertible on interest rate

I'm trying to find the price of an barrier reverse convertible on interest rate - https://structuredproducts-ch.leonteq.com/isin/CH1251797945. I have simulated the underlying interest rate by Vasicek ...
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### Carry for an Interest Rate Swap

I don't get why for calculating the carry of a spot starting swap I need to adjust the difference between the fixed rate and fixing by the Dv01? For example if I receive in a 5y swap and want to ...
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### Fitting volatility using SABR

I have been working on generating a volatility surface for options on SOFR futures with the help of the SABR model. I am running into some trouble for low strikes in particular, in that I cannot seem ...
1 vote
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### I am trying to compute the the tail of a future roll using the ratio of forward dv01

I am trying to compute the the tail of a future roll using the ratio of forward dv01, per the link CME: Calendar Spreads with Tails : I am trying to compute the the tail of a future roll using the ...
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### How do forward-looking forward rates in the Mercurio's and Lyashenko's normal or extended FMM model represent EURIBOR rates

(By XIBOR I intend any EURIBOR or LIBOR rate. By RFR I intend SOFR for the USD and ESTR (€STR) for EUR.) I am mainly focused on the EUR rates market (but also a bit on the USD market) and looking for ...
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### A rates model for EUR and USD pricing in different underlyings (EURIBOR (yes) or ESTR, and SOFR)

Being a house mainly focused on almost everything else that rates products we never had a "rates pricer", no surprise. The best connected to rates thing we have is an equity/fx/what have you ...
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### How to hedge 3 Month SOFR futures with 1 Month SOFR futures considering FOMC meeting

Has anyone considered trading SR3 vs SR1 SOFR futures? They both have the same underlying basis of daily SOFR, and how would one calculate a hedge ratio for the SR1 to trade along SR3? Looking at the ...
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### ATM cap prices in Vasicek model (Filipovic)

I am trying to replicate the ATM cap prices in table 7.1 (see bottom of this post) from Filipovic's book "Term Structure Models - A Graduate Course" which assume the Vasicek model and uses ...
1 vote
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### Cheyette Model vs Markov Functional Model

Just like to understand more about the model difference between 1d-Cheyette Model vs 1d-Markov Functional Model. Is there a model difference betweeen these 2?
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### DI futures contract value on bloomberg

I am trying to understand the Contract value for DI1 futures on bloomberg. I assume the Price of 4.630 below is the CDI one day interest rate. Where does the Tick value of 9.6169 come from and how ...
279 views

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The ...
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### How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?

I know that calculations of yield to maturity(YTM) assume that all coupon payments are reinvested at the same rate as the bond's current yield and take into account the bond's current market price, ...
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### Recommended books/resources for IRRBB risk metrics calculation

Any recommendations for books/resources/videos/on-demand courses for in-depth IRRBB-related risk metrics calculation etc? Yield Curve Risk, Basis Risk, Repricing Risk, Optionality Risk, Value at Risk, ...
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### Can volatility assume negative values under multi-factor HJM framework?

I could find any reference restricting the sign of the volatilities in the multi-factor HJM framework. Can someone please confirm if $\sigma_i(t,T)$ can assume negative values for some $i,t$ and $T$? \$...