# Questions tagged [rates]

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25 questions
74 views

### Can you model the LIBOR rate as a geometric Brownian motion?

i.e. The LIBOR rate is driven in the same way as a stock price in the Black Scholes model. For example let $R_t$ denote the LIBOR rate at time t. the stochastic differential equation (sde) would take ...
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### Black-Scholes Greeks Calculation with Daily Rates [duplicate]

Background: To simulate a set of closing prices (about a months worth) for a stock, I've been using the average, standard deviation and variance of the daily returns of the stock( LN(S1/S0)) over the ...
188 views

### finding OIS Swap data

Relatively new to SE Quant after quite a bit of lurking, I am looking to make an OIS curve but am having trouble finding OIS swap data that is free. From what i have found online bloomberg used to ...
124 views

### Why is the annuity factor proportional to the CV01?

For an asset with par amount of one unit (with a semiannual payment regime) we have $$\frac{C(T)}{2}\sum_{t=1}^{2T}d\Big(\frac{t}{2}\Big) + d(T) = 1$$ $$\implies\frac{C(T)}{2}A(T) + d(T) = 1,$$ ...
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### How to compute SABR's probability density function

I am trying to compute the probability density function of the forward rate implied by the SABR formula approximation in order to see how the density implied by the approximation has negative ...
61 views

### Can you determine USD swap rate movement probability from OTM swaption premiums?

E.g., the USD 1y x 4y swap rate is currently 2.84%. ATM receiver swaption , European exercise is currently at ATM premium of 1.15% while swaption premium at strike 1.5% is 0.15% or about 90% lower ...
93 views

### Difference between ED futures and ZCB

I am new to rates and learning the basic products. It seems to me that Eurodollar contracts are similar to zero coupon bonds except that it locks in the interest. So I want to clarify if I am ...
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### Interest rate model with external variables

There are several well-known one-factor interest rate models: Hull-White, Ho-Lee and Black-Derman-Toy just to name a few. There are also multi-factor models such as Longstaff-Schwartz and Chen. But ...
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### How do traders determine when points in a yield curve are at 'fair value'?

While on my last day on an internship last summer, I heard on the morning call a UK rates trader say something along the lines of: "Most of the curve is at fair value at the moment, so nothing ...
5k views

### What does it mean to pay USD FRA-OIS?

Would just like to check my understanding. If I were to pay USD FRA-OIS, does it mean I'm paying the OIS leg and receiving fixed? And the fixed is because the 3mL is fixed at the start of the period/...
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### Is there a reliable International Currency Exchange rates provider in JSON format

I am looking for a currency exchange rate provider (preferrably) JSON format , that is free/open and also reliable. Anybody here have any experiences working with some solutions like this? Cheers!!
19k views

### Difference between OIS Rate and Fed Funds Rate

I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral. Is ...
591 views

### Calculating fra rates

Let's assume I constructed usd libor 3m curve setting 1m rate=3m rate (so the curve is flat between 1m-3m). Will 1x4 fra rates be good if calculated from such curve?
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### How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
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### Determining rate of interest

If I have trade prices of 10Y futures contract (ZNH6) is it possible to derive the interest rate from it? Or is there a better way to obtain historical 10 year rates?
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### Moody's seasoned corporate bond yields

The Fed publishes Moody's seasoned corporate bond yields here. These yields are not broken out by maturity. According to this website, the yields represent "long-term" bonds, with minimum and ...
161 views

### 12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ... ...
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### Why AREN'T forward rates what the market expects of the spot rates?

I know that for a swap for example, the swap rate is just what adopts equilibrium for both legs by no arbitrage, on the other hand for a FRA its just the same only with one period of time. Considering ...
91 views

### returns of Bonds and exchange rates

which are the best distributions in order to model the bonds and exchange rate returns distributions. I am searching for a distribution such as the log-normal one of the stocks ( N(m-0.5*v),Sqrt[v])
2k views

### What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?

I have 5 bonds (with maturities 1,2,3,4,5 years) which I calculated the yield curve for 10 days. I also calculated the forward rates from the yield rates. Now I've been told to calculate the ...
10k views

### Why would a 6M LIBOR rate be significantly above 3M LIBOR, ED futures and swap rates?

Just was just looking at the various interest rates and noticed this: ...