# 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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### 3 Factor HJM model, do these factors have an economic meaning?

In the HJM model, in case we have 3 factors, do these factors have an economic meaning at all ?
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### Fixed Income free research available online

As from the title, I would like to know where it is possible to find free research focused on fixed income markets' themes and topics, such as interest rates, credit risk related fundamentals, new ...
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### Bank of England base rate feed

I am implementing a program in Java that needs the Bank of England base rate. Rather than the user inputting this into the system, I have heard that there is a way to get a live feed of the base rate ...
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### Bond-price dynamics in the Vasicek model

Hello I am studying about interest rate modeling There is one good source about Vasicek (link: https://web.mst.edu/~bohner/fim-10/fim-chap4.pdf). However there is one equation that I try but unable ...
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### “Standard” Model for Effective Fed Funds Rate

Is there a "standard" model used to model the Effective Fed Funds Rate? I know that BGM is often used for LIBOR but haven't found a similar application to the Effective Fed Funds Rate. Do ...
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### Implementation of one-factor Hull-White short interest rate model

I am looking for implementation in R, VBA, C++, Python (or in any other programming language) of one-factor Hull-White short rate interest model according to the following article: Hull J. and White ...
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### Fitting the Term structure of Discount Bonds with Ho-Lee

I was now reading a book on interest rate modelling, and I am having trouble picturing the practical issues of model calibration with the Ho-Lee model. Apparently, one of the drawbacks of this model ...
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### Effect of interest rate on options prices

This might be another basic derivatives question. When interest rate rises, stock prices generally fall. Assuming an option's underlying is a stock, this should lower the option's price as well. ...
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### How to Analyze Interbank Lending Market?

I am currently trying to do a study in the interbank lending market, i plan to fit a DCC model to model them, these series below is taken from ...
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### Yield on Fixed income futures

I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
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### Value of option-free instruments with a short-rate model vs the spot curve

You can calculate the value of an option free bond or swap by using the spot curve and discounting cashflows accordingly. Alternatively, apparently you can use a single-factor short rate model in a ...
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### Measuring interest rate sensitivity for illiquid private investments?

There seems to be surprisingly little literature on this topic. If you had a portfolio consisting of an unlisted illiquid private asset class (eg private real estate, direct infrastructure or private ...
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### How to quantify how many ECB hikes are priced in?

My question comes in the same vein as the market estimates (roughly) how many hikes are priced in the US through looking at Fed Funds futures contracts. Is there a way to come up with a similar ...
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### Where can I find open swaption implied volatility data?

Anyone have a good place to find interest rate swaption implied volatility data? Does Bloomberg's python API allow access?
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### How to calculate daily risk free interest rates

I'm working on an assignment in which I need to calculate excess returns for six stocks plus the S&P 500. I have computed daily logarithmic returns for every stock and for the market, I now need ...
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I have been reading online about the FX carry trade and how this can be profitable (in general). From my understanding, the idea is to be long (lend) the currency with higher interest rate and short (...
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### Monte Carlo, convexity and Risk-Neutral ZCB Pricing

I've built a simplistic Excel monte carlo model to price a zero-coupon bond, but it came up with a slightly unepxected result so I wanted to confirm whether my maths is just a little rusty or my model ...
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### Negative Interest Rate & Basis Models

Since markets are showing negative interest rate, I'm forced to find a model that can catch this behaviour. Because of that, I have implemented and calibrated the G2++ (or the Hull-White 2 Factors) ...
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### Implied interest rate using put-call parity

In the process of asking this question, I acutally found the solution. I still let this post open if it can be interesting to someone else and have added a related question at the end. I want to ...
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