# 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.

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### What does instantaneous forward mean?

Could you please help me to understand meaning of instantaneous forward rate? I mean economic interpretation at basic level. What is it used for? How can i derive it from zero rate/price? Thanks
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### yield concept for a short maturity zero coupon bond

I am trying to clarify what is the more relevant and appropriate quantity for a discount security / zero-coupon bond, that is defined by a face value, FV, a present value, PV and a time to maturity, t,...
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### Duration of callable zero coupon bond

Can anybody please help me out with the below question with a brief explanation:- A 10-year zero coupon bond is callable annually at par (its face value) starting at the beginning of year 6. Assume a ...
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### Zero rate vs. yield on coupon bearing bond

in Hull's solutions manual of Options, Futures & Derivatives (8th edition), there's question 4.7, in which is asked to put the following in descending order: a) the five-year zero rate, b) the ...
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### When estimating P/L through greeks based on zero rate curves, does it contain time (theta) PNL?

Suppose on day 1 we calculate a delta wrt. a point on an interest curve of zero rates, we then let 1 day pass, recalculate the interest curve of zero rates with the same bonds (though now day 20 bond ...
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### Can we derive 5 year zero coupon interest rate by using 1, 2 and 3 year zero coupon interest rate?

Given that the 1 year zero coupon bond interest rate is 5%, 2 year zero coupon bond interest rate is 6% and 3 year zero coupon bond interest rate is 7%. 4 year coupon bond price and interest rate are ...
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### Are pure PIK bonds' payoffs known from the start?

I am developer working in the financial field and I would like to understand what I'm doing. My latest work subject involves Payment In Kind bonds with coupons fully reinvested (e.g, no coupons ...
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### a property of zero coupon bond in Brigo/Mercurio's “Interest Rate Models”

Let $P(t,T)$ be the the value of a contract at time $t$. This contract guarantees its holder the payment of $1$ at time $T$. consider $t<T<S$, when the interest rate is non-deterministic, do ...
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### EURIBOR zero rates vs forward rates to project future income on a bank's loans

I work at an international bank within the M&A FIG team, and have seen that my associate uses the future daily EURIBOR 3M,6M,12M to estimate what the future interest income on a banks loans will ...
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### Zero Coupon Curve and Floating Rates Notes pricing

Simple question: Can I use a Zero Coupon Curve (using Treasury or Swap Curve) to price floating rates notes (FRN)? I am building a classic Zero Coupon Curve, however I wonder if I can use it to ...
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### example regarding zero coupon bonds

This example is from Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by Carmona, René, Tehranchi, M R. I am wondering if the calculation is correct?, he says ...
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### Zero rate curve USD Libor

Good day, I gave following inputs of Libor rates : ON 0.3731 1W 0.3939 1M 0.4265 2M 0.5148 3M 0.6176 6M 0.8655 1Y 1.1336 How can I build zero-rate curve ?
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### Constructing NS-Svensson parameters with zero coupon AND coupon bonds

I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price ...
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### Role of the evaluation date ( ql.Settings.instance().evaluationDate )

I have questions about the evaluation date. (set up with ql.Settings.instance().evaluationDate). I'm trying to build the zero-coupon curve from deposit rates and swap rates, however I don't ...
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### Transforming coupon bond returns to ZC bond returns

I am interested in aggregated Amihud ratios measures over bond groups. For a large panel data set with daily bond prices and volumes I have calculated already Amihud ratios per ISIN/day. Naive ...