Questions tagged [zero-coupon]

A debt security that doesn't pay interest (a coupon) but is traded at a deep discount, rendering profit at maturity when the bond is redeemed for its full face value.

Filter by
Sorted by
Tagged with
1 vote
1 answer

zero coupon bond pricing formula using Hull White

I am having some trouble to understand the derivation of the parameters of zero coupon pricing formula using Hull White. Specifically I am trying to understand how to get --[1] where is the ...
user89877's user avatar
1 vote
2 answers

How do you construct a zero coupon curve from the current market yield curve?

If I was to take the current market yield to maturity and tenor for all bonds for a particular issuer how can I convert this curve into a zero-coupon curve? For example if we were to get the yield and ...
JPI's user avatar
  • 21
1 vote
1 answer

How to calculate zero-coupon curve for Italian BTPs?

On the BTP curve, we have the following Bonds (just showing you an extract) I want to calculate z-spreads my self therefore I need the zero-coupon curve. How do I go about doing this? Do I look at ...
Fidelio's user avatar
  • 59
0 votes
1 answer

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
Landscape's user avatar
  • 558