Questions tagged [interest]
The interest tag has no usage guidance.
11
questions with no upvoted or accepted answers
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US Rule versus Actuarial Method for calculating interest
I'm trying to understand the difference between the actuarial method and the U.S. Rule for calculating interest. I think the difference is that the actuarial rule adds unpaid interest to the principal ...
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Formal Proof of Immunization Techniqu
Please correct me if I am wrong in understanding the Immunisation Technique behind bond interest rate risk management.
It says that any change in interest rate can be neutralised by reinvesting the ...
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71
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Which Model Should I Use for Pricing USD Interest Rate Caps (7, 10, 30 year maturities) on 1Month Rates?
I am trying to price USD interest rate caps on 1M rates (e.g., LIBOR, SOFR, etc.).
The caps are designed to limit the exposure on non-callable USD Pay Float / Receive fixed positions in interest rate ...
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Time step in Hull white mean reverting model
Specially for mean reverting processes for interest rate simulation. Is it acceptable to directly simulate the paths at say 1 month horizon without stepping through time? Please advice.
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Swap curve is unsmooth at front end with naive interpolation
I am looking at swap curve building at front end and find it difficult to get a smooth forward curve with a fast generic algorithm. For example, EUR 6m curve has 6m deposit, and then a series of FRAs (...
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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 ...
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Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?
Observing the negative interest bonds in Switzerland, Denmark, GErmany the value of higher presently (credit-free) outgoing cash flows seems less important than the value of lower future (credit-free) ...
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How does Bloomberg calculate interest rate for a government bond?
I am working in some related field and working on the data, I am curious that how did Bloomberg obtain the interest rate of a particular currency.
In particular, one of my workings is on the HK ...
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Annualizing the pay frequency of underlying swaps when bootstrapping the zero curve?
Say I'm looking to bootstrap two zero curves based on two swap curves with different underlying currencies and, consequently, two different pay structures in the swap contracts. For example, say I ...
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Why do we get a higher yield when we pay the interest at the end?(bonds)
I have an example where I show that if you pay the tax at the end of the bond period, the yield after tax is higher, but I am wondering if it is possible to give an explanation as to why it is like ...
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Sharpe Ratio and interest rate
The Sharpe ratio is calculated as the ratio between the return and the volatility.
Now, when I have a trading strategy that requires to be invested sometimes and to be flat other times, I assume 0% ...
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