Questions tagged [spot-rate]
The spot-rate tag has no usage guidance.
67 questions
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Scipy Interpolation not good for fitting spot rates?
Trying to calculate a simple spot rate of a bond that has 2 cashflows left.
Maturity: 2025-05-15
Cashflows: $0.725$ coupon on 15-11-2024, then final on maturity
Dirty price is $99.703$
If I calculate ...
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Calculating forward rate based on semi annual compounding
I am referring to an example in book "Derivatives and Risk Management" by Sundaram Janakiramanan. Page 218.Check the attached image.
I want to understand if the forward rate calculation is ...
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Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form.
For example, I should use $...
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Is it appropriate to use Term-SOFR curve as spot rate curve in bond pricing for simplicity?
everyone, I am coding for a task of some derivatives pricing, and I am a newbie to the quant. Since the term SOFR data is already available in my company's database, I am wondering if it's appropriate ...
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Parallel shift in spot yield curve moves the IRR of a bond portfolio in the same direction: Analytical Proof
I am trying to prove that a parallel shift in the spot yield curve will as its effect have the IRR of a bond portfolio move in the same direction and by the same amount.
I have tested this on few ...
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Shape of Yield curve of ZCB under no-arbitrage
Sorry if the question is somewhat elementary, but I have thought about it for a while and I cannot figure out where my mistake is.
Suppose we are in are in an arbitrage-free market in which risk-free ...
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247
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Spot and Forward rates - arbitrage?
Working on a problem to devise an arbitrage strategy. 1 year sport rate is 5% and 3 year spot rate is 5.5%, 1x3 Forward rate is 5.6%.
I calculated the 2 year spot rate as 5.75%
...
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Relationship Between the Equity Funding Curve and Equity Forward Curve
am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
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445
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Relationship of par-curve and zero-curve/spot-curve
I've been trying to bootstrap the zero-curve from a swap curve composed of ESTR OIS swaps.
Theory says when the par-curve is upward sloping, the zero-curve will be above the par-curve and vice-versa. ...
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Bootstrapping the zero-curve/spot-curve from incomplete swap curve par-rates
TL;DR: I have an incomplete set of swap rates and want to bootstrap the zero-rate curve, what can I do?
I'm trying to construct a spot-rate/zero-rate curve from a swap curve (i.e. par-rate quotes) ...
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How to calculate spot rates using market data of bonds?
Given 3 Bonds $A$, $B$ and $C$ with
\begin{matrix}
& \text{Bond } A& \text{Bond } B& \text{Bond } C& \\
\text{Price:}& 101,12\%& 99,03\%& 102,95\%\\
\text{Mat. in years:}&...
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Eikon Government Benchmark Yield Curve
I want to price gov bonds using Bid Yields (column 5) from the screen below, and quantlib.
I am not sure what those Bid Yield rates represent.
Do those Bid yields represent spot rates, or what?
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PIP Value conversion - How can I convert my Pips? general formula [closed]
So I was wondering, how I can convert for example a 20 pips charge is(Spot: 1.0250 with pips 1.0270) on EURUSD into EURCNH Pips with (Spot EURCNH at 7.3005). Is there a general formula and short-cut?
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Relationship between simple Libor spot and forward rates
How is the simple forward rate L(0,T,T+1) calculated given the spot rate L(0,T)?
user62731
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What is the consensus interpretation of index future dealer gamma?
I'm trying to confirm that I'm understanding this concept correctly: dealer gamma exposure. I can make sense of dealers / gamma in isolation:
Dealers: make markets for certain securities, notching ...
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Determine forward rates for EUR/USD
I can't wrap my head around how to determine the interest rates to calculate the forward rates of any currency. At this point, I don't even know if this data is actually available to do the ...
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Good performance of naive forecasting in efficient markets
I am doing spot price forecasting for a market, and so far, the naive forecasting model, which forecasts with the last observed prices, is the best forecasting model. I know that it might be because ...
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Can I use spot rates bootstrapped from a swap curve to price a bond?
Say that some corporation has a long position in a fixed rate bond. To turn this into a float-rate asset, they take a fixed paying position in a fixed/float swap. If we are given the par swap curve, ...
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Are the buy/sell demand, the underlying spot price and the time value, the only factors in futures contract price?
Are the buy/sell demand on the future contract, the underlying spot price and the time value (days to expiration and the accelerating decay in backwardation or rising in contango, coefficent ) are the ...
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How to value a long term interest rate swap if the floating leg is USD-LIBOR
To value an IRS, you require a spot/zero curve. If I am correct this zero curve will be the USD-LIBOR curve. However, if you have e.g. a 10-year swap that you are trying to value 2 months into the ...
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Deriving instantaneous forward rate from spot rates/ zero rates
i have the following problem. I have a set of spot rates /zero rates $\{(t,r_t)\}_{t=1}^n$ where $t$ is the time and $r_t$ is the zero rate. How can i calculate with this data the instantaneous ...
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Is there a name for the common class of instrument which Spots and Forwards belong to?
I'm doing some database design where I'm modelling Forwards and Spots. They share the same schema, the only difference is that Spots have a settlement date of the time they were created at, while ...
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Implication of Humped Spot Curve on future spot curve(s)
I'm currently implementing a G++ model (Two Factor Hull & White model with constant parameters) on zero curve bootstrapped from USD IRS.
Currently, USD IRS is humped at 30 years; swap rate goes up ...
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Total return of a bond using spot rates
Suppose that the current spot rate curve (annually compounded) is s1=0.2%, s2=0.8%, s3=1.2%.
Assume that one year from now, the spot rate curve will be s'1=0.8%, s'2=1.4%, s'3=1.8%.
Consider a 3-year ...
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104
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FX spot distribution with student-t returns
If I am modelling my returns as $\sim N(0, \sigma^2)$, then I can evolve my spot distribution as: $$S_{t} = S_{0}e^{(\mu - \frac{1}{2}\sigma^{2})t + \sigma dW_{t}}$$
where $S_{0}$ is the spot, $\mu$ ...
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Bootstrapping OIS curve
I am trying to get a zero curve from a series of EONIA-based OIS rates with Quantlib. When comparing my output with Bloomberg, I find some differences (see at the end of the question), and and I don't ...
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Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade
In general most of the forex market closes by 10:00 pm london time on Friday and opens back on Monday morning APAC time , somewhere around Sunday evening London time. I am interested in knowing if ...
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Spot rate investment horizon
I'm learning about spot rates from Financial Mathematics for Actuaries and something about the definition is confusing me.
Spot rates are used (in the textbook) to specify the interest rate on a ...
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Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve
I would like to ask about swap zero curve calculation algorithm used by Bloomberg. Below is a plain vanilla EUR IRS. I want to calculate >= 2 year spot rates from the market rates. I don't know how to ...
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Link between spot and forward rates in no-arbitrage world
With reference to the forward exchange rate definition, let be:
$S$: the spot rate
$F$: the forward rate
$r_d$ and $r_f$: respectively the domestic and foreign interest rates
$DF_d$ and $DF_f$: ...
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Bloomberg SWPM Zero Rate Curve Conventions
Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M
Hi,
I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
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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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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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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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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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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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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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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:
...
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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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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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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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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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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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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.
...
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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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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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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 ...
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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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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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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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