# 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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### What calculation professional use to know how much of interest rates the market is pricing [duplicate]

Whenever I read news articles on specific topic (interest rates ) especially before the fed meeting I see some titles stating that the market is betting/pricing for example 0.5% or 1% rate move ,and I ...
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### Trying to check this 1Y1Y forward treasuries calculation

here is a screenshot of the FWCM screen on Bloomberg: https://i.stack.imgur.com/2BT3y.jpg I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%. ...
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### How to build an FX curve?

Apologies for the rather broad question! Essentially, I wanted to ask how to build an FX forward curve from scratch. I have some basic understanding of interest rates and discounting but I am lacking ...
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### Deriving the variance of G2++ Model

I'm studying G2++ Model in Brigo(2007)'s book. The model constructed as follows, $$r(t) = x(t) + y(t) + φ(t), \quad r(0) = r_0\\$$ with the dynamics of $dx(t)$ and $dy(t)$ described by: \begin{align}...
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### MBS Index replication month-end flows

Several investors track indices to gain exposure to specific asset classes. And these indices may be re-balanced on a monthly basis, based on market-cap etc which generates month-end flows from ...
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### Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?

Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
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### FX Swap PnL and NPV

Suppose I have an existing FX Swap, suppose the spot leg is already settled, so only forward leg is left. Question: What will be the P&L for this instrument - only forward leg NPV or spot leg is ...
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### MBS Dollar roll mechanics

Had a few questions on MBS Dollar rolls: How are dollar rolls affected by Interest rate Volatility? Does the OAS of underlying pools matter to dollar rolls, and if so, how do they affect it? Does the ...
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### Dynamics of FX rate

I've see a couple of places where a FX rate, denoted $X$, such as EURUSD (quoted as "the number of USD needed to buy 1 EUR") is modeled with a diffusion process / Geometric Brownian Motion ...
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### Determine if stocks are hurt by rates or recession fear

Looking at a portfolio of growth stocks which traded at high multiples until end of last year. Stocks have been underperforming (no surprise there) but I'm trying to find ways to determine, ...
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### MM Proposition and the cost of debt

I was studying Miller-Modigliani theorem and one of the stated assumptions was that there will be no bankruptcy cost to the firms. Does the assumption of "no bankruptcy cost" assume that in ...
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### Interest rate risk of a bond as a function of the coupon

This SEC document claims that increasing the ocupon on a bond decreases the interest rate risk (bottom of page 3): And the Finra SIE exam states the same also. I cannot understand the logic behind ...
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### falling flatforward curve in quantlib

I am trying to create a floating rate bond where I need to create a flatforward curve, but the curve seems falling over the time, or is there any way to keep the rate constant. ...
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### Difference HJM Framework versus Short rate model

Recently I study some interest rate models. When I moved on to forward rate models, I see this documents https://en.wikipedia.org/wiki/Heath-Jarrow-Morton-_framework It said "HJM-type models ...
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### Trying to learn to bootstrap with the Treasury Curve and can't seem to get a result that makes sense

I'm trying to learn to bootstrap and am taking some bonds from the Treasury curve: https://docs.google.com/spreadsheets/d/1vA7s4ZfFzGfTji_d9cLUid5rqyaugRrI0etCW_3Jb6w/edit?usp=sharing For some reason ...
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### Determine forward rates for EUR/USD

I can't wrap my head around how to determine the interest rates to calculate the forward rates of any currency. At this point, I don't even know if this data is actually available to do the ...
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### What is the Performance Total Return Swap (TRS)? How about Performance Fixed TRS and Performance Float TRS?

I just know these products recently: Performance Total Return Swap (TRS), Performance Fixed TRS and Performance Float TRS. But cannot find a detailed explanation of the product, all I can find is an ...
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### Differential vs. derivative in the Vasicek model [closed]

Can anyone help me in understanding how we get the line I have marked with a red arrow? I guess I have trouble in understanding the difference between differentials and derivatives, i.e. what is the ...
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### Italy Zero Coupon Yields

I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
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### Is there anyone trading Then-Current Treasury Forward?

The treasury forward traded for those on-the-run or off-the-run makes sense. You simply trying to hedge the treasury bond already issued by calculating the forward price of the bond. I was wondering ...
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### Should Cross-Currency Basis Swaps exchanging risk free rates trade flat?

In the paper "Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps" by Bruce Tuckman and Pedro Porfirio (2003) the authors claim that cross-currency basis swap ...
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### Assymetric Rate Distribution

The pandemic has disavowed any notion of nominal rate distributions to being truncated at 0%. However, if Central Banks at Debtor nations are conflicted in that they are incented to suppress interest ...
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