# Tag Info

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$$\frac{1}{(1+r_{02})^2} = E\left(\frac{1}{1+r_{12}}\right)\frac{1}{1+r_{01}}$$ Indeed, in the pricing measure, the distribution of $r_{12}$ has to be such that this relation holds. If you look at ...
Accepted

### Bootstrapping OIS curve

I see several problems that might explain those differences: The frequency of the fixed leg on a EONIA swap is Annual and not semi The deposit facility rate is not part of the EONIA curve. Use the ...
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### For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?

Completely depends on the asset class. For currencies (including GBP/USD) the spot market is an order of magnitude more liquid than forwards, futures or options. However, some currencies with trading ...
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### Riccati Equation in spot rate model

As you noted, this is a Riccati type ODE and it can thus be simplified using the standard transformations for this class - see e.g. Wikipedia. We start by defining \begin{equation} C(t, T) = \frac{1}{...

There is no conflict here. In the identity, \begin{align*} \frac{1}{(1+r_{02})^2} = E\left(\frac{1}{1+r_{12}}\right)\frac{1}{1+r_{01}}, \end{align*} the expectation is under the year-1 forward measure....

1 vote

### Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade

As others have mentioned, the conventional answer is 'no'. However, here is one interesting angle of the new cryptocurrency trading market to me - it operates 24/7/365 (yes even Christmas day!). Now I'...
1 vote

### Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade

Well it depends on what pairs you want data for. But in general, no. Even if you can see intraday data in those 'dead' times, the quotes can be very stale (hours old).
1 vote

### Spot rate investment horizon

The confusion arises because “spot” is variousLy used in FX, equities and commodities to refer to the immediate/very-short-term price (before any forward adjustments for interest rates, dividends, ...
1 vote
Accepted

### Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve

It seems you are using the same curve for forward and discounting. The EUR Vanilla Swaps vs 6M actually have yearly payments, so to obtain the discount factors, and after having the DF for year 1, ...
1 vote

### Spot Rates on Treasuries

Yes you can access spot rates on the Treasury website here: https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/TNC-YC.aspx https://www.treasury.gov/resource-center/data-...
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### Calculating theoretical spot rates of treasury bonds beginning with treasury bills

The question really is what is the discount factor for a payment in one year assuming semiannual compounding? Because then your present value is simply 1.75 times this discount factor. If you have $k$...
1 vote

### Units of measurement for Minimum Variance Hedge Ratio

Since SD in this case is usually the 1-day difference of log prices (i.e. 1-day returns) and corr is a dimensionless number, you shouldn't have to keep the units the same. After all that's how you're ...
1 vote

### Calculating spot rates from forward rates

If you want to calculate the forward rate given semi-annual compounding then the answer should be: \begin{equation} F(0,t_a,t_b)=\Bigg(\sqrt[2*(t_b-t_a)]{\frac{(1 + \frac{r_b}{2})^{2*t_b}}{(1 + \...
1 vote

Forward Rate = $\frac {(1+(0.5) 2\%)^{2 * 2}} {(1+(0.5) 1\%)^{2 *1}} -1$ The above works fine when the day count convention is 30/360. General formula - $F(t,t+1,t+2)= \frac {P(t,t+1) - P(t,t+2)} {... 1 vote Accepted ### Generalization of Macaulay/modified duration under non-parallel shift of spot curve When you want to consider arbitrary (i.e. non parallel) movements of the yield curve, the duration ( a scalar) is replaced by a vector of 'key rate durations' one for each maturity you wish to ... 1 vote Accepted ### Why do par-yield shifts grow faster across the curve than spot-rate shifts when looking at key-rates? Intuitively, this is the "coupon effect" at work – when the yield curve is upward sloping, lower coupon bonds have higher yield and their yields move up more when the overall curve shifts up (all else ... 1 vote Accepted ### Spot-Forward Relationship - Proof Let's go for a detailed and rigorous proof. Let us define our local currency$Y$as the numéraire, i.e. the asset in terms of whose price the relative prices of all other tradeables are expressed.$X\$...

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