3 votes
Accepted

How does Bloomberg bootstrap CASH Instruments?

The displayed curve uses ACT/365 daycount with continuous compounding. The ZC is calculated by converting from simple discounting (ACT/360) to continuous compounding (ACT/365). Hence, you can ...
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  • 940
2 votes
Accepted

How should we interpret r_c in continuously compounded interest?

I would add to the previous answer that it simplifies the maths around working with a large number (i.e. tending to infinity) of timesteps when modelling options and other derivatives.
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  • 166
1 vote
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how to calculate the implied interest rates using STIRs futures?

Unlike @Chris Edmonton, I am not sure what the screenshot shows, because in my opinion it does not show if Futures or OIS is used. In any case, the idea is the same: Under the assumption that only ...
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  • 4,798
1 vote

how to calculate the implied interest rates using STIRs futures?

Answering a bit broader / more general: usually, traders deduce the expectations about central bank hikes or cuts from the market quotes of liquidly traded interest rate derivatives. The same holds ...
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  • 573
1 vote

From Implied volatility to shifted Black volatility

Since it would be too long for a comment and you made some effort at least in trying to replicate, I wrap this as an "answer" to your question, while leaving the last and actual part of ...
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  • 573
1 vote

Could banks move to continuous (rather than overnight) funding?

Probably not. The first question, why? Why would banks do that? Would you this attract more clients and business? Or would it be irrelevant? How? Continuous (or at least intraday funding) would ...
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