All Questions
11
questions
0
votes
1
answer
230
views
How do I calculate yield and trading margin of an Australian Dollar floating rate note?
I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details.
I am forecasting cash flows and solving for the discount rate ...
- 21
0
votes
0
answers
139
views
Is the price of the following inflation derivative observed/traded?
Let $M_{t\to t+2}^{\\\$}$ be the pricing kernel (SDF) from period $t$ to $t+2$. Let inflation over period $t$ to $t+1$ be denoted by $\Pi_{t \to t+1}$. Is it possible to observe the following quantity ...
0
votes
0
answers
288
views
Carry & Roll, roll down current curve valid assumption?
The assumption for calculating the roll of a fixed income instrument is that you roll down the current spot curve. So if 10y rate is 2% and 9.5y is 1.8% the carry for the coming 6 month horizon is ...
- 31
1
vote
0
answers
67
views
Comparing swaps with bonds
Swaps and bonds have a lot of similarity although one is a security and the other is a derivative.
For example,
libor for swaps is like repo rate bonds (thinking them both as the funding leg)
fixed ...
- 734
1
vote
0
answers
32
views
Mismatch of periods with numeraire compared to the forward rates
In Joshi's The Concepts and Practice of Mathematical Finance Page 323--324 I believe that there may be a mismatch of periods with forward rates:
Consider time partition $t_{0} < ... < t_{n}$ ...
- 459
1
vote
0
answers
95
views
Is the value of an Asset-Swap (Underlying + Swap) the same value as a floating-rate bond with the same issuer, maturity, etc.?
I am trying to evaluate the impact of switching an Asset-Swap Package (fixed bond + Swap) into a floating rate bond of the same issuer with the same notional and maturity. My intuition would tell me ...
- 11
2
votes
1
answer
593
views
If 10s20s steepener have equal DV01 weighting on each swap then why does convexity play a role in MtM
Receiver Swap 10yrs
Notional: 1,000,000
DV01: +1,300
Tenor: 10yrs
Rate: 4%
Payer Swap 20yrs
Notional: 500,000
DV01: -1,300
Tenor: 20yrs
Rate: 5%
Looking at this fictitious example, I want to ...
- 459
0
votes
1
answer
709
views
What is the value/price of a bond paying floating rate
I am going through J.C.Hull for swaps. Where he says we can value a swap using bonds. Let $B_{fl}$: value of floating rate bond, $L$ notional principal. Why is $B_{fl} = L$ just after a payment ? What ...
- 201
2
votes
1
answer
843
views
Sovereign bond CDS data
Does anyone know where I can download from historical data for sovereign bond CDS (credit default swaps) rates?
preferebly free?
- 45
-1
votes
1
answer
491
views
Does this trade have a name?
Ok so I got this idea, it's very simple so I know I'm not the only one who has thought about it. It is a pairs trade between long and short term treasury swaps, and goes as follows:
Going by ...
- 500
1
vote
1
answer
7k
views
Swap Rate vs Par Rate
If we calculate the par rate for n periods, why does the nth swap rate equal the par rate? A mathematical formulation would be helpful apart from an intuitive answer.
Edit: Example:- A 2 year ...
