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1 vote
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How to estimate the Mean reversion

This is classic. For pricing, under RN measure, MR (curve) need to be calibrated to market data. If you calibrate jointly to caps and swaptins, you want the vol curve to mostly pick up expires, and ...
achirikhin's user avatar
1 vote

How to estimate the Mean reversion

Typically, the zero curve that is used for calibration is originally backed-out from market prices. Then it’s interpolated and used to calibrate the mean-reversion parameter. This is basically the ...
THATS MY QUANT MY QUANTITATIVE's user avatar
1 vote
Accepted

Calculating Implied rates from OIS and Futures

This sounds like something I would write. Firstly, you can't price central bank meeting expectations from a 1Y OIS rate, it does not contain sufficient information. Its like trying to forecast the ...
Attack68's user avatar
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0 votes

Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?

If you expect interest rates to "not go down as much" as the market expects, then you would want to pay a fixed rate, which would reflect that rate reduction and receive a floating rate, ...
D Stanley's user avatar
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1 vote

Easy interest rate question, but coursera marked it wrong

What you want is to solve $$ 400=320\left(1+\frac{r}{m}\right)^{nm}$$ for $r$. Here $n$ is the interest period (which in your case is 1) and $m$ is the compounding frequency (which you have not ...
user35980's user avatar
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3 votes
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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
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