Questions tagged [interest]
The interest tag has no usage guidance.
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Immunization: Whats the best way to hedge my short interest rate exposure?
What's the best way to hedge a portfolio against a rise in rates?
Portfolio: long bonds different maturities.
a) parallel shift
b) convex shift (short and long term rise more than mid term)
How is ...
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Force of Interest Compounding at Annual Rate i
I'm working through some actuarial practice and am lost as to what's going on with the differentiation here (it's been a while since I've had calc):
Derive an expression for $\delta_t$ if ...
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What interest rate should I use for testing the covered interest parity?
I am doing an empirical test of the CIP from the recent financial crisis between Canada and the United States. I am using 1,2,3,6,12 month forwards (monthly data). What interest rates should I use? I ...
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Compound Interest Calculation (Years + Months)
My question is with regards to the calculation of "Compound Interest". I have the formula below where I would get an answer to the total value of the investment over a period of "years".
$A$ = Future ...
user16517
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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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Is an economy where money yields interest able to be sustainable and healthy? If yes, how?
There are two points that concern me
Loans
If someone takes a loan of let's say 1000\$, he has to pay back the money with 5% interest, i. e. 1050\$. But where do the 50\$ come from? They didn't ...
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Intuition behind interest rate models
I am modelling the 3M yield of US Treasuries using an ARMA/ GARCH approach. Most interest rate models (e.g. Vasicek) describe the process as follows:
$r_{t}-r_{t-1} = some ARMA+ \epsilon_t $
...
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"Equivalent" data sets despite different numbers
Are the historical data sets of short term treasury bill rates considered the same as the historical data sets of savings account interest rates because by definition they are both risk free rates of ...
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How often do banks update forward points?
My understanding is that forward rates are calculated by comparing interbank interest rates of the 2 currencies for a currency pair, with the points being the difference between spot and the forward ...
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What is lagged interest rate?
I am trying to reproduce a plot in "Statistics and Data engineering for Financial Engineering" by D. Ruppert. The author uses the risk free returns data available in the Ecdat package in R. ...
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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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Is inverted Japanese style curve persistent when negative rates are real / market - observed?
Are the inverted (Japanese style) governmental yield curves being a sign a recession/credit risk or should they be modelled as being due to a lack of liquidity? (...with such curves evolving into a ...