# Tag Info

### What does instantaneous forward mean?

1. Observable instruments, spot rates, and forward rates First remember that something observable means that you can observe/find the rate in the market by looking at traded rate instruments or ...
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### What does instantaneous forward mean?

Given a forward rate, for example: $F(t, T, T+\delta)$ The instantaneous forward rate $f(t,T)$ fixed in $t$ is the limit when $\delta \rightarrow 0$ of your forward rate. If the relation between ...
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The idea of assuming that the transaction cost is one half of the bid-offer spread comes from several assumptions: the positions are marked-to-market at mid; you can actually execute at bid or ask (...
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### FX Forward rate agreement valuation in quantlib

You are not giving the constructor a discountCurve. The constructor is: ...

### Mid-curve swaption

You can only infer forward vol by pairing a mid-curve option with a spot option. It's easier to go through an example (I'll use 5y x 5y vol since I have the sketch below handy...) One decomposition of ...
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### continuously compound forward rate formula

In the simple case, you have as per first equation on your last slide: $\frac{P(t,T_0)}{P(t,T)}=1+\delta F(t,T_0, T)$ The continuous time equivalent, assuming constant piecewise rate, as per your ...
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### Approximation of Forward Rates in discrete time

You may show it as follows: \begin{align*} f_{t,T}&= \left[ \frac{(1+r_T)^T}{(1+r_t)^t} \right]^{\frac{1}{T-t}}-1\\ &=e^{\frac{1}{T-t} \left[\ln (1+r_T)^T - \ln (1+r_t)^t \right]} -1\\ &\...

### How to calculate one-year forward one-year rate?

Let $\{r_t\}_{t>0}$ be the spotrates and $f_{t,T}$ be the forward rate from time $t$ to $T$ for $t<T$. Then the general formula to compute $f_{t,T}$ is $$(1+r_T)^T=(1+r_t)^t(1+f_{t,T})^{T-t}$$...

### Understanding FX forward points and market usage

There are two relevant sections on the help page, the direct links (e.g. if you have it in an IB) look like this: {LPHP FRD:0:1 2898067 }: ON ("Overnight"), TN ("Tomorrow-Next"), ...
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### Change of measure between T-forward and T*-forward contract?

By definition $Q^{T_s}$ is risk neutral for the numeraire $P(t,T_s)$, and $Q^{T_e}$ is risk neutral for the numeraire $P(t,T_e)$, hence  \left(\frac{dQ^{T_s}}{dQ^{T_e}}\right)_t = \frac{P(t,T_s)}{P(...

### FX Forward pricing with correlation between FX and Zero-Cupon

We consider the expectation \begin{align*} E^{Q_d^{t_f}} \Big(P_d(t_f, T) X_{t_f} \mid \mathcal{F}_t \Big), \end{align*} where $Q_d^{t_f}$ is the $t_f$-forward measure, and $P_d(t_f, T)$ is the ...