Questions tagged [risk-free-rate]
The risk-free-rate tag has no usage guidance.
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Risk Free Rates and Libor
With the demise of Libor, and the arrival of the new risk free rates (RFRs), what are the changes that are occurring with regards to :
Valuation of existing derivatives
Creation of new derivatives
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Which SOFR rate to use and when?
When looking at the actual daily values provided by the SOFR API it's a bit confusing when/where to use which values given they provide two sets of values with different dates, SOFR on a T-1 basis and ...
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PV and Risk on a RFR cross currency swap
When pricing a XCCY basis on RFR (assuming USD CSA so under SOFR), for example ESTER versus SOFR (USD leg resettable) : I observed that the PV / Risk and also FX Delta are close to zero.
I have been ...
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Are the monthly risk free returns on the French data libary website annualized?
when using the monthly Fama/French 3 Factors .csv file on the French data libary web site, it is possible to see that the left column includes the monthly excess return of the market (Mkt-RF) and the ...
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QuantLib: Getting the present value of a leg of cashflows using a 'risk-free' yield curve
I am trying to evaluate the present value of some cashflows and QuantLib does not return the discount factors that I am expecting.
I have a Risk Free (Zero Coupon Bond) Yield curve:
...
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Portfolio optimisation
I want to create optimised portfolios in five different countries and calculate if the inclusion of cryptocurrencies or other alternative assets contribute to the diversification. I want to use ...
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How do I have to calculate the risk free rate of my two asset portfolio?
Good afternoon everyone!
I have a question regarding the risk free rate of my two asset portfolio. For my course, we have to create a two asset portfolio with the time frame of 2015-2020 with monthly ...
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