# 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).

665 questions
Filter by
Sorted by
Tagged with
164 views

### Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
485 views

### what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
315 views

### Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
772 views

### Total return index for interest rates (EURIBOR 3M)

I would like to calculate a daily total return index for the EURIBOR 3M. • Should I freeze at the beginning of each qurter die rate? (With this methology the developing of the index depends on the ...
899 views

### Provide a bond pricing differential equation and invoke Feynman-Kac Theorem

Grateful for any assistance. Consider the process: $dZ=r(t)Z\,dt$ , where $r(t)$ is stochastic interest rate and $Z=Z(r,t;T)$ is a zero coupon bond Price. Provide a bond pricing partial ...
247 views

114 views

### Why don't we build the discounting curve and projection curve from bonds

We know that we always build the discounting curve and projection curve from money market instruments, index Futures, interest rate swap and OIS Libor swap (depends on the period). But why don't we ...
58 views

### Does Vasicek interest rate model had any derivation that follows from a list of assumptions?

I can't find that anywhere online and It doesn't seems to me that this model originated come from intuition or some human motivation but rather it is coming from computerized curve fitting as all the ...
268 views

### PCA predicted yield curve moves do not match (closely) realized yield curve moves

I have a need to set-up a methodology to decompose the x-day yield curve moves into its underlying (3) PCAs. Specifically, for an example, to generate the 1-day moves in the EUR-swap yield curve; ...
71 views

### Duration and yield

I have some basic questions about mainly duration and yield. 1) Almost no-one defines what yield they are talking about when talking about duration and discount rate, I've seen some talk about ...
371 views

Consider this interview question: Tell me how you'd construct a risk neutral cross country trade on the 2 year – 10 year interest rate spread in Germany and the U.S. What does "risk neutral" mean ...
40 views

### Derivation of CIR interest rate model [duplicate]

I am trying to understand the derivation of the Cox-Ingersoll-Ross interest rate model. This has a stochastic differential equation of the form $$dr=(\eta-\gamma r)dt + \sqrt{\alpha r} \space dX$$ ...
180 views

### Duration of a FRN in continuous time interest rate model

This question was inspired by my attempt to understand the duration of a floating rate note, or FRN for short. Several answers, like this, say the duration of a FRN is just time to next coupon payment....
51 views

### Bootstrap zero curve source of information

I'm trying to understand the bootstrap methodology to construct a zero curve from a par curve in detail. I'm looking for a good source of information, preferably with a detailed example, that ...
128 views

### basic difference between interest rate models

I am reading up on interest rate models, but currently confused about difference in the two types of models: no arb models like ho-lee, vasicek etc. others like nelson siegel, pca models etc. While ...
72 views

### LIBOR Market Model (LMM) - references

Could you advice me where I can find the best mathematical description of LIBOR Market Model theory (except the references from the Link). Is there any book/article/pdf file/web page/notes which you ...
294 views

60 views

### Relation between BDT volatility and Hull-White one factor Volatility

Is there any mathematical relationship between the volatility of spot rates calibrated from Lognormal model and the volatility of spot rates calibrated from HW one factor model?
36 views