User Attack68

18 votes

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interest rate swap: PV01 vs DV01

answered Nov 8, 2019 at 18:38

14 votes

How to adjust butterfly 2s5s10s swaps trade for directionality?

answered Jun 28, 2018 at 17:19

12 votes

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Why are FRA/futures convexity adjustments necessary?

answered May 26, 2019 at 13:24

10 votes

Carry calculation on an interest rate swap

answered Sep 3, 2017 at 16:46

10 votes

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What is the definition of Curve

answered Sep 5, 2023 at 6:30

9 votes

Arbitrage possible with negative rate of interest?

answered Nov 25, 2018 at 20:54

9 votes

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Is there a way using matrix algebra to add portfolios to a covariance matrix of assets?

answered Feb 2, 2021 at 21:24

9 votes

Why do banks have capital requirements on deposits?

answered Feb 4, 2021 at 23:27

8 votes

When to Choose FX Swap or Forward

answered Sep 27, 2018 at 19:05

8 votes

Forward implied volatility

answered Jul 22, 2018 at 19:19

8 votes

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Question on pure carry for two bonds

answered Oct 1, 2017 at 20:40

8 votes

Fastest way to calculate YTM from bond price

answered Apr 30, 2023 at 14:13

7 votes

Bond curve fitting, practical question

answered Mar 23 at 6:27

7 votes

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Why is the 1 month OIS rate so stable?

answered May 26, 2018 at 7:01

7 votes

definition of mid price in literature

answered Jan 21, 2019 at 17:56

7 votes

Estimate covariance matrix using prices

answered Jan 31, 2020 at 12:21

7 votes

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Hedging a trade for PCA component neutrality

answered Nov 10, 2019 at 14:52

6 votes

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3M curve vs 6M Curve, which one to use for valuation of IR Derivatrives

answered Nov 26, 2019 at 14:48

6 votes

analytical formula for FV of fixed rate of a IRS

answered Jun 30, 2019 at 18:14

6 votes

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Construct a butterfly interest rate portfolio to eliminate PCA exposures

answered Nov 16, 2018 at 20:07

6 votes

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approach on trading algorithm using machine learning

answered Jun 11, 2018 at 18:05

6 votes

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Term SOFR rate formula

answered Mar 28, 2022 at 17:43

5 votes

Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

answered Sep 24, 2023 at 10:03

5 votes

Estimating the price of an illiquid 5y bond futures contract

answered Jun 1 at 17:18

5 votes

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Model-free convexity adjustment

answered Jan 10 at 8:36

5 votes

Inflation Bond accrued inflation

answered Jan 4 at 8:25

5 votes

uncollateralised otc derivatives and bank funding costs

answered Jul 1, 2018 at 7:39

5 votes

formula for physical DV01 of interest rate swap

answered Sep 3, 2017 at 14:23

5 votes

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Difference between ED futures and ZCB

answered Feb 19, 2018 at 21:17

5 votes

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Relation between OIS rate and discounting rate

answered Oct 15, 2018 at 5:53

Stack Exchange Network

381 Answers

interest rate swap: PV01 vs DV01

How to adjust butterfly 2s5s10s swaps trade for directionality?

Why are FRA/futures convexity adjustments necessary?

Carry calculation on an interest rate swap

What is the definition of Curve

Arbitrage possible with negative rate of interest?

Is there a way using matrix algebra to add portfolios to a covariance matrix of assets?

Why do banks have capital requirements on deposits?

When to Choose FX Swap or Forward

Forward implied volatility

Question on pure carry for two bonds

Fastest way to calculate YTM from bond price

Bond curve fitting, practical question

Why is the 1 month OIS rate so stable?

definition of mid price in literature

Estimate covariance matrix using prices

Hedging a trade for PCA component neutrality

3M curve vs 6M Curve, which one to use for valuation of IR Derivatrives

analytical formula for FV of fixed rate of a IRS

Construct a butterfly interest rate portfolio to eliminate PCA exposures

approach on trading algorithm using machine learning

Term SOFR rate formula

Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

Estimating the price of an illiquid 5y bond futures contract

Model-free convexity adjustment

Inflation Bond accrued inflation

uncollateralised otc derivatives and bank funding costs

formula for physical DV01 of interest rate swap

Difference between ED futures and ZCB

Relation between OIS rate and discounting rate