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2 votes
Accepted

How to use exp(-r*t) to calculate tbill price

It's just a quote convention that likely comes from tradition before computers were prevalent. Calculating a "yield" from simple addition and multiplication/division is easier to do without ...
D Stanley's user avatar
  • 1,391
1 vote

Simulating the Term Structure of Interest Rates in the CIR model

A theoretically sound IR process always reflects today's yield curve. Compounding short rates does not sound reasonable, say today's short rate is 1% and the 1 month spot is 2%, you are way off ...
Arshdeep's user avatar
  • 2,055
1 vote
Accepted

Shape of Yield curve of ZCB under no-arbitrage

There are some not-quite-correct statements in your question: "the term structure s↦v(t,s) is monotone increasing with respect to the maturity s" is generally incorrect. Given an ...
dm63's user avatar
  • 17.1k
1 vote

Shape of Yield curve of ZCB under no-arbitrage

The yield curve shape has annualized interest rates. You need to annualize each rate and then, any shape is allowed. $discount factor = 1/(1+r*(delta_t))$ where $r$ is the annualized rate.
Arshdeep's user avatar
  • 2,055

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