3y swap rate calibration point using your discount factors

Assignment Help Finance Basics

Reference no: EM131086933

Calibrate a yield curve using the market inputs given in Figure 2-3.

1. Bootstrap the discount factors for all the calibration points in Figure 2-3.

2. Produce discount factors at the following non calibration times given in Figure 2-4.

3. Reproduce the 3Y swap rate calibration point using your discount factors.

4. Produce a continuously compounded yield curve using (2.4)-i.e., a graph of r_i versus t _i.

Make the following assumptions:

Dates overlap perfectly-i.e., the 3M cash rate ends just when the first futures begins.
The day count basis for all rates is 30/360-i.e., 3M = 0.25 Years.
All times are relative-i.e., the actual dates such as "Jan 1, 2012" don't matter and may be ignored. This relaxed assumption is true only for this exercise. In practice, actual dates, holiday calendars, etc. need to be taken into account.

Reference no: EM131086933

Questions Cloud

Multiplying monomials and polynomials : Do you always use the property of distribution when multiplying monomials and polynomials? Explain why or why not. Give examples that you have created. In what situations would distribution become important?

What could the cfo do to investigate the potential problems : What could the CFO do to investigate the potential problems in the procurement department of Bucket Corporation? Do you think it is possible there is fraud involved? Why or why not?

What would you predict the cycle time : What would you predict the cycle time would be if the cut-in and cut-off points were respectively changed to 86° and 88°?

Define the fundamental counting principle : Be sure to describe or define the Fundamental Counting Principle, combinations, and permutations in your paper introduction. Include detailed calculations and solutions in the body of your paper.

3y swap rate calibration point using your discount factors : 1. Bootstrap the discount factors for all the calibration points in Figure 2-3. 2. Produce discount factors at the following non calibration times given in Figure 2-4.

Multiple regression to develop an appraisal model : a. Use the model to predict the selling price of a house that is 1860 square foot. b. A house with 1860 square feet recently sold for $95000. Explain why this is not necessarily what the model predicted. c. If you were going to use multiple regressi..

Find the initial torque supplied to the antenna : Find the initial torque supplied to the antenna.

Find out the all taxes of shown query : Assume that COGS is always 70% of Sales, Interest Expense is always 10% of the previous years long term debt, Depreciation is always 20% of the previous years Net Fixed Assets, and taxes are always 40% of EBT.

Write a motion-control program for a three-axis system : write a motion-control program for a three-axis system to do the following:

User Account

All Pages