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Questions tagged [spot-rate]

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1answer
43 views

Spot Rates on Treasuries

I am trying to find the spot rates for 1mo, 3mo, and 6mo tbills. This would just be their yields as listed on the treasury website, correct or am I missing something?
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1answer
161 views

For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?

Would like $X$ to remain general, but if needed, let's say GBPUSD Exchange Rate. By liquidity I mean overal market volume across exchanges / ease of opening and closing positions / total notional ...
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1answer
85 views

Half of the bid-ask spread as transaction cost

I am currently reading "Deviations from Covered Interest Rate Parity" by Du et al. When establishing deviations from CIRP they consider transaction costs as follows. "We assume that the transaction ...
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1answer
58 views

Calculating theoretical spot rates of treasury bonds beginning with treasury bills

In Introduction to Fixed Income Analytics by Frank Fabozzi, p. 41, there is an example how to calculate the theoretical spot rate of a 1.5 year treasury bond with a 3.5% annual interest and semiannual ...
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1answer
40 views

Units of measurement for Minimum Variance Hedge Ratio

The minimum variance hedge ratio is given by $h=p*\frac{\sigma_S}{\sigma_F}$. I was wondering if you wanted to calculate the S.D yourself and the spot prices were in Dollars per barrel while futures ...
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0answers
27 views

Retrieve SYC from Par yields

Currently studying about fixed income and the construction of the Spot yield curve, but I do not know whether my intuition is right. Suppose we have a firm that has traded Bond for different ...
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2answers
157 views

Calculating spot rates from forward rates

I am working on a problem where I am trying to calculate the forward rates from two different spot rates. I have the following: ...
1
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1answer
63 views

Generalization of Macaulay/modified duration under non-parallel shift of spot curve

The generaliztaion of Macaulay duration (which is defined in terms of yield to maturity) is known as Fisher-Weil duration. How is Fisher-Weil duration or modified duration defined under non-parallel ...
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0answers
84 views

How can we value NPV for a standard FX Swap?

hope you are all well! Was just wondering how we can value the NPV on the value date for a FX swap - i'm sure it's by evaluating the interest rate payable/receivable from the trade date until the ...
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0answers
50 views

Valueing a Short future contract with dividens [closed]

A forward of an underlying paying a yield $q$ can be priced with the equation: Price $= S_0 e^{(r-q)*t}$ or Price $= (S_0-I)e^{rt}$ Where $S_0$ = Spot price, r = interest, q = dividend yield, I = ...
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1answer
853 views

Pricing Uneven FX Swaps

I'm trying to figure out how to price uneven FX swaps. I just started on a FX trading desk and have been told that the all-in rate for a 2-legged FX swap is equal to: 1) Quote for market side of net ...
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1answer
400 views

How do I calculate the spot rate?

How can I calculate the rates to construct the curve? I was thinking to use the formula converting par yield to spot rate, but I am not confident about it. Please give some hints or working on how to ...
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1answer
445 views

Implied AUD Interest Rate from USDAUD FX Swap and USD Interest Rate

Can someone help me understand how to derive the implied interest rate or spot rate in BBG FXFA? I actually get why the Forward rate, F_Ask and F_Bid are derived using the formula in the picture. ...
2
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2answers
300 views

Why do par-yield shifts grow faster across the curve than spot-rate shifts when looking at key-rates?

Consider the following 10y key-rate shifts of bond par yields and its implied shift of bond spot rates: Assume we have the key-rates for 2y, 5y, 10y and 30y. The y-axis is in basis points, and the x-...
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0answers
74 views

Physical trading spot transaction analysis-Quantified

ref to my previous question here: Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
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0answers
618 views

Bloomberg zero rate calculation using shift

I used Bloomberg to calculate a zero rate under a parallel shift of 100 basis points, however I can not understand the results neather duplicate them. I included the +100 basis points by using the ...
1
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1answer
268 views

Spot-Forward Relationship - Proof

Does anyone know of a decent proof for the spot-forward relationship of a currency? I've been looking on Google for hours and I'm not getting anywhere. My lecture notes are useless in that they don't ...
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3answers
163 views

Structured product sellers and div swaps

From a Barclays primer on dividend swaps: We note that for shorter periods of time, implied dividends can be more volatile than spot as dividends often trade away from ...
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2answers
466 views

CIR discretization Milstein scheme

The CIR model for spot rate $r_t$ is: $$dr_t=(\eta-\gamma r_t)dt+\sqrt{\alpha r_t} dW_t$$ where $\eta, \gamma, \alpha$ are constants. How to express this SDE in discrete form using Milstein scheme? ...
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1answer
691 views

Is LIBOR a spot rate?

Can we use USD LIBOR as spot rates for discounting? If we have overnight LIBOR and say 1 month LIBOR how to compute 16 day LIBOR? Can we do interpolation?
2
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1answer
295 views

Riccati Equation in spot rate model

Given that $dr=(\eta-\gamma r)dt+\sqrt{\alpha r+\beta}dW$ Let $Z(r,t)=e^{A(t;T)-rB(t;T)}$, \begin{matrix} \frac{dA}{dt}=\eta B-\frac{1}{2}\beta {{B}^{2}} \\ \frac{dB}{dt}=\frac{1}{2}\alpha {{...
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0answers
100 views

Are forward rates starting at observation date spot rates?

In part 3.2 of Lu and Neftci (2003) "Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps", the authors propose a new way of pricing CMS swaps, with Monte Carlo simulations. ...
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2answers
286 views

Predicting the Future FX Spot Rates

Say I need to predict what the spot rate between USD and CAD will be in 3 months. What will be the most accurate measure or model that I could possibly use? Does the 3 month forward rate necessarily ...
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0answers
56 views

Is there a limit to the number of Spot rates than can be calculated from Par Yields

I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
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0answers
85 views

Settlement/Spot/(bid ask spread) ratio

Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
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3answers
885 views

Two different ways of pricing that leads to two answers

This question might appear trivial to many (considering the questions on this site), but I think it reflects something fundamental that I am missing. To keep things simple, assume everyone is risk-...
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0answers
70 views

How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : $F_0$...
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1answer
264 views

Zero coupon bonds [closed]

Assume the zero-coupon bonds from 1 year to 4 years are all available, and the current 1-year, 2-year, 3-year and 4-year spot rates are 4%, 5%, 6% and 7% accordingly. Interest rates are annually ...
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2answers
64 views

Incorrect characterization of spot rate?

Is the t in the red boxed $R(t,T)$ supposed to be the same as the S in the green boxed $R(S,T)$?
2
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2answers
109 views

Build spot rate curve with multiple treasuries for each maturity

I have the following treasuries: T 0 1/4 01/31/15 at 100.1236 T 2 1/4 01/31/15 at 101.1257 T 0 1/4 02/15/15 at 100.1251 T 4 02/15/15 at 101.9994 T 11 1/4 02/15/15 at 105.6269 T 0 1/4 02/28/15 at 100....
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2answers
278 views

Future spot price versus current forward price

Which are the two conditions necessary to claim that the future spot price will have as many chances to be above or below the current forward price?
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1answer
1k views

forward vs spot simply-compounded spot interest rate

Question about forward vs spot simply-compounded spot interest rate.Some definitions $P(a,b)$ a zero coupond price at time $a$ and maturity $b$ $L(a,b)$ simply compounded spot interest rate set at ...
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1answer
1k views

Interpolating spot rates given intermittent coupon-bond prices.

I'm trying to bootstrap spot rates given coupon-paying bond data. To simplify my problem, assume we are working with only 3 given data, the price/coupon rate on semi-annual bonds maturing in 0.5, 1, ...
2
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1answer
32k views

Calculating spot rate of interest

You are given the following information regarding the domestic government fixed-interest bond market: The current price of a one-year bond paying coupons at a rate of $4.5$% per annum and redeemed at ...
4
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2answers
2k views

Using the termstrc package in R

I am attempting to use the function estim_nss from the termstrc package in R to find the spot curve from constant maturity rates published by the Fed. I am using this package because I will need to ...
5
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1answer
3k views

Bootstrapping spot rates from treasury yield curve

I'm attempting to construct a spot rate and forward rate curve from the 2011 daily treasury yield curve rates provided by the US Treasury. All US Treasury securities (1m, 3m, 6m, 1y, 2y, 3y, 5y, 7y, ...