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2 votes

Why does Excel's XIRR() yield a different result than the FFIEC's Reg. Z APR calculator?

The following explains the difference between the XIRR and US APR calculation, and it demonstrates the calcuation of the 28.94710% US APR. Download the Excel file "xirr vs app J apr.xlsx" ...
joeu2004's user avatar
2 votes

Why does Excel's XIRR() yield a different result than the FFIEC's Reg. Z APR calculator?

I concur with your XIRR calc of 33.19% for those cashflows. I am unable to access the FFIEC APR tool as the site seems to be down. However, converting 33.19% to Act/360 using the following formula, ...
AlRacoon's user avatar
  • 6,632
2 votes
Accepted

SOFR Futures and impact on short-end dollar swaps and front-end notes

Yes to all of your questions. USD swaps vs SOFR futures express almost identical risks, except for the 'convexity adjustment' which is small to first order. Secondly, it is almost certain that on a ...
dm63's user avatar
  • 17.2k
1 vote

How does the recent increase in shorting of US Treasury futures explain the spike in yield for US Treasury?

The guys shorting the futures are expressing a view on the basis between the future and its CTD deliverable, they're not trying to predict rates let alone influence them.
Tim W's user avatar
  • 33

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