New answers tagged interest-rates
2
votes
Accepted
FRN are more complex than we think
You are 90% right.
I will prove some of your statements with a numerical library.
First we need to setup a market. I will construct a SOFR curve and calibrate it to 1y, 2y and 3y SOFR swaps rates.
<...
- 11.2k
0
votes
Expected future interest rate from FRA or IR futures
This is quite an interesting question IMO.
The underlying problem is that you have two different instruments which settle to the same index value and yet demonstrate different expectations for their ...
- 11.2k
0
votes
Expected future interest rate from FRA or IR futures
For EUR Swaps for example, the correct "forward EURIBOR rate" to use, would be the convexity adjusted (EURIBOR) futures rate (i.e. the forward rate). Assuming the future has the same fixing/...
- 643
1
vote
Accepted
In rateslib curve construction, how to control the jump size in step daily forward (log_linear), when i have 2 nodes on 1 instrument?
If you have a copy of my book: "Pricing and Trading Interest Rate Derivatives" (2022, 3rd edition) there is a chapter called 12. Advanced Curve Building, and within that a section, 12.6 A ...
- 11.2k
0
votes
Question about Interest rate model and zero coupon bond
I think you are getting confused by the notation, as this is just an application of the univariate Ito's lemma. Write out the formula for $dX$ where $X=f(P)$ for some generic (suitably differentiable) ...
- 164
Top 50 recent answers are included