m***h
发帖数: 23691 | 1 她说过两年就搬家了，
升降不一定的， 要看当时的libor rate |
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h*********r
发帖数: 287 | 2 【 以下文字转载自 Accounting 讨论区 】
发信人: lindabi (bibisea), 信区: Accounting
标 题: 有没有学finance的，请教几个问题
发信站: BBS 未名空间站 (Sun Sep 9 17:38:40 2007)
这个学期选了一门finance的课，第一周老师就布置了一份作业。要求每个星期填一个
表格。要填的是yield rate 和change from last week for 10yr T-Note/90 day T-
Bill/ Prime Rate/LIBOR 90 Day/Mortgage Rate,还有close 和change from last
week for DOW/S&P 500/NASDAQ 以及currency change rate(in dollars) for Euro/
Yen。要求每个星期选固定的一天来填，比如说每个星期的星期一。
第一部分的数据我是从bankrate.com上抄的， 第二部分是从finance.yahoo.com上抄的
。问题是我不知道什么时间开始算是close rate |
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h**y
发帖数: 17 | 3 PART TIME的mba读了一年了，又要交学费了。
去年申请了salliemae的贷款，有个朋友帮我co-sign的，利率还可以，LIBOR左右，可
是今年他们不给贷了，说这个朋友的信用不够。
想问一下有经验者，还可以申请哪家银行的贷款试试？ 谢谢 |
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d****a
发帖数: 88 | 4 我本人在英国读金融法，不像国内时不时的有同学聚会，这里可以静下来看书，花了40
天把PRM考过了。学PRM之前，跟其他非金融专业的同学一样，总觉得 数学有多难，我
也总在论坛上看到别人问“要不要考PRM”或者“非金融背景能不能考PRM”之类的问题
。我总觉得，去花时间调查PRM有多难或者有没有意 义，倒不如直接就坐下来开始学。
下面我来说一下我所谓的考试“经验”吧。
我考PRM本来是想通过学习风险管理来更好的理解金融法，毕竟现在的金融法大多都参
照BASEL委员会的规定来制法的，而Basel也主要是处理了金融机 构的各种风险，因此
，学了风险管理应该对金融法会有更深刻的理解。我在这里建议大家（particularly，
没有数学基础的学）从数学基础这门课开始学，因为没有数学的knowledge，在risk
management上简直就是寸步难行。而数学有多难？PRM的selfstudy上说就是大学基础数
学的难度，但因为我本人本科是读英语和法律的，研 究生读金融法，所以根本没学过
大学数学，所以按我自己的学习来说，就是今年的1月1日一直学到1月11日，我去了考
试的，总共11天。也就是... 阅读全帖 |
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U*****e
发帖数: 2882 | 5 zuyeye第一节里提到银行间拆借市场，很值得注意。拆借利率已经创了历史新高，这比
股市重挫更可怕。既然已经是系统性风险，就需要系统外的力量来修复，要不然就是大
洗牌推倒重来，不确定性非常高。另外，政府收购不良资产，若干年后转亏为盈的例子
并不少见。（香港97贬值风暴，阿根廷外债危机，中国90年代的三角债）
最后，第一份草案里美国政府打算用反向荷兰式拍卖收购证券，对作为买家的政府是相
当有利的。
下面一段引自Bloomburg。
The London interbank offered rate, or Libor, that banks charge each other
for such loans in euros climbed to an all-time high of 5.07 percent today,
while the equivalent dollar rate surged to the highest level since January,
the British Bankers' Association said. Overnight dollar lo |
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i*******e
发帖数: 349 | 6 央行能够控制的利息是银行通过提交抵押向央行借钱的利息，银行之间借贷的利息（如
LIBOR）或者向商业客户和个人客户贷款的利息，大概可以分解成为向央行借钱的利息
加上risk premium，以及银行自己挣的净回报率。现在银行不愿意贷款，是因为大家非
常不信任任何的交易对象，也就是risk premium很高，这是央行不能控制的，央行降自
己的那块利息恐怕是杯水车薪。 |
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f*****0
发帖数: 489 | 7 not really sure what you are asking - using Chinese terms didn't help either.
But TED (treasury yield - libor) measures the 'perceived' incremental risk
of lending to a bank in the spot market vs. buying the t-bills which is *
generally* considered to be risk free. so if the market believes that the
banks are getting riskier (they don't have actually be riskier) the spread
will widen.
the spread could also widen if the t-bills are perceived to be less risky.
This happened at 4Q08 when the financ |
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p**a
发帖数: 50 | 8 Access group private loan: www.accessgroup.org
It is the only one I know that does not require GC or co-signer(except the
loans provided by law schools).>=3 year US credit history required.
Interest rate is 3-month LIBOR index rate + your individual fixed rate (
varies depending on your situation). the fixed rate could be 2-3% if you
have excellent credit.
You can start applying in May, Access needs tuition information from your
university to decide the final loan amount. |
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B*********h
发帖数: 800 | 9 ☆─────────────────────────────────────☆
dannyxz (DXZ) 于 (Wed Jun 6 00:12:21 2007) 提到:
One deal from my client is structured as equity index basket swap. One leg
is a capped and floored index basket return, the other leg is LIBOR. I
priced the equity leg as basket option with dividend taken into account. My
manager says it's not necessary.
那位高手提提意见，应该怎么样算？谢谢。
☆─────────────────────────────────────☆
scarface (人生犹如一场电影) 于 (Wed Jun 6 00:17:09 2007) 提到:
what is not neccessary? the dividen |
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a*****r
发帖数: 63 | 10 最近在看LMM, 看了不少资料,反而把自己绕进去了,现在头脑僵硬看不懂Calibration这
块了. 急需牛人指点一二.
我的问题如下:
calibration我的理解就是用市场上的实际数据(比如swaption 价格),来估计
volatility,然后通过这个volatility来算模型推导出来的swaptioin 价格. 其中这个
volatility要能minimize error funciton.
然而: 1.为什么书上同时给出这个公式
sigmamodel_n_{^2}=(1/T_n) *Integral_0_{T_n}{sigma_n_{^2} } (也就是implied
volatility 在给定时间Tn内的平均值)
来计算模型中的sigma? 那这样的话,sigma不就是确定了吗? 怎么来minimize error
function呢?
2. implied volatility 和instantaneous volatility 有什么具体区别?
3. 市场数据是怎么来的? 难道不是根据这个模型算出来的吗?还是完全根据供求关系来
的?
4. smile 怎么 |
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i****e
发帖数: 78 | 11 dF = F*mu*dt + F * sigma(t) *dW
where sigma(t) is called instantaneous volatility.
1) & 2)
Implied volatility is backed out from BS formula, the relation between
instantaneous volatility and implied volatility is given in your 1),
i.e.,
IVol = sqrt( 1/T * int_0^T sigma(t)^2 dt
this relation can be proved easily using Ito lemma, or the proof is also
an exercise in Shreve's book. (the instananeous volatility is also a kind
of implied instantaneous volatility).
3) The market price is determined |
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b******w
发帖数: 52 | 12
楚,
The instantaneous volatility can be assumed to take a function form, then
based on your formula to computed the following optimization problem
\min \sum_i (sigma_model_i-implied_vol_i)^2
Notice here \sigma_model is the vol you computed from your model
specification, which implicitly depends on the parameters to be calibrated
in your instantaneous volatility function. The implied_vol can be derived
from market data.
the subscript i denotes the i-th swaption you are using for calibration.
an |
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K******r
发帖数: 152 | 13 你在哪啊？在米国就用LIBOR rate，要在中国就不知道了。一般trade date一年算252
天，不计入周末。 |
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x****x
发帖数: 87 | 14 晕的，学过连续时间模型的，还是没有学好啊
题目大概是这样的，告诉了一个关于discount rate P和Libor rate L之间的线性表达式
（这个估计大家都知道的），然后告诉了一个关于L的随机动态是GBM形式。 现在要用P
（0）做numeraire。 问如果实现无套利。 GBM的某个参数必须满足社么条件？
实在不好意思没法打公式
做法当然是有那个change numeraire的，使得新的资产动态是一个martingale。 可是
我一直没有找到方法，如何把前面的关系式代入后面的GBM动态方程中。郁闷
请达人帮助下啊，在线等，给我点提示， msn,s******[email protected]
many thanks |
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b******w
发帖数: 52 | 15 The drift of L is specified by the vol. Under some measure, one libor is
martingale with 0 drift, others are recursively related.
达式
用P
可是 |
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r**u
发帖数: 69 | 16
the
the
you
can't your tree remember the node one more level up?
actuall, i'm not even sure why you want an intrest rate tree,
since there is no optionality.
vols
i'm not sure if you are asking a practical or theoretical question.
in practice, you just need to construct the interest rate curve.
EDF, LIBOR, and swap rates are pretty well quoted on the market.
All you need to do is to discount floating leg by curve as well. |
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l*****i
发帖数: 3929 | 17 Let's assume you enter into a 4-year quarterly-reset payer's swaption at 5.2
0% on a notional amount of $20,000,000 indexed to a 3-month LIBOR.
If FED continues to cut interest rate, would this swap show a profit or loss
?
Thanks! |
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r**u
发帖数: 69 | 18 not quite sure about 4-year part. is it expiry or tenor?
also, not quite sure about quarterly-reset/indexed to 3-month libor. aren't
they the same thing about the floating leg?
anyways, here is my thinking. if you long pay fixed swap, each time fed cuts
rate, you would tend to lose money. hence, if you long payer swaption, you
would lose money as well.
.2
loss |
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i****e
发帖数: 78 | 19 I guess that you can try few ways
1) reduce the degree of freedom in your model, i.e., reduce model
parameters, use simpler model.
2) or try to calibrate to more market data. for example, if you want
to calibrate the correlation, find some liquid options, which are
sensitive to correlation.
3) or use historical data to determine the undetermined model parameters.
to
some
.g |
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k**k
发帖数: 61 | 20 Thanks! but still a few questions below.
How? All I can see is reduce # of factors (say 2 Brownian motion instead of
3) or reduce the rates included (say only extend to 10 yr instead of 30 yrs)
What else can we use besides caplet/European swaptions that are liquid
enough?
How this works? |
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i****e
发帖数: 78 | 21 I am not the expert in this area, so I may not be able to
answer all your questions. There is a good book may be able to help you:
Modern Pricing of Interest-Rate Derivatives, by Riccardo Rebonato
There are concrete examples and procedures in this book may help you.
1) Yes, reduce from 3 factor to 2 factor model is a way to reduce
model parameters.
2) Swaptions contains correlation information, it
should be enough if you want to calibrate correlation model parameters.
3) for example, if you have |
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k**k
发帖数: 61 | 22 That's good enough, Thank! |
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t**********a
发帖数: 166 | 23 Interest Rate Models - Theory and Practice By Damiano Brigo, Fabio Mercurio
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and
Beyond by Riccardo Rebonato |
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w*l
发帖数: 6 | 24 How you can back up a coupon rate on a newly issued European callable bond,
being given current market
swaption vol and callable agency spread to LOBOR?
You can consider treasury curve, swap curve and other basic rates as
accessible market information.
I tried several methods but can not get the right level that close to the
market level.
Say a FNMA 3nc1, given 3nc1 spread to LIBOR is 145 bp, 1Y2Y swaption vol is
45?
Sincerely thanks! |
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K*****Y
发帖数: 629 | 25 callable bond can be decomposed into (par floater) + (payer swaption).
the strike on the payer swaption depends on both the coupon rate and the
spread over LIBOR. So you only need to be able to price the swaption in
order to back out the coupon rate since you already know the spread.
If you want to consider default risks more seriously, then this can be more
tricky. |
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w*l
发帖数: 6 | 26 "the strike on the payer swaption depends on both the coupon rate and the
spread over LIBOR" this is the part I can't understand. Is that like the
swaption strike should be expected 2yr forward rate 1yr from now? I guess I
don't know how to calculate the strike for the swaption. Can you explain a
little bit more?
more |
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d******e
发帖数: 285 | 27 It means the bond is hot in repo market. To make money, you can repo out
the bond, get cash collateral in, lend out the cash at benchmark rate (e.g.
Libor or fed open), make some extra interest accrue on your side. When you
need to unwind the position, you get the cash back, collect the interest,
then pay the cash back to the bond borrower, pay him a fee, and get your
bond back. When a bond is special, the fee you pay to bond borrower should
be less than your interest income, that's how yo |
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i**********o
发帖数: 5993 | 30 treasury rate is credit risk free
libor is the rate banks borrow/lend with each other.
you can consider swap rate for 1 yar or longer term. |
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b***k
发帖数: 2673 | 31 ☆─────────────────────────────────────☆
wisesummer (summer) 于 (Fri Feb 13 23:48:18 2009) 提到:
都说caps are quoted as implied volatility,那到底是怎么quote的啊? 是按固定的
moneyness
还是按固定的strike rates? 如果是前者,那么current rates of underlying(Forward
LIBOR)是
怎么确定? 是用对应的Swap rates替代吗?
期待了解cap trading实务的高手解答,谢谢
☆─────────────────────────────────────☆
Taikonaut (遨游太空) 于 (Sat Feb 14 00:02:55 2009) 提到:
我记得是按照给定的strike，用这个vol把每个caplet的价算出来，再求和。
Forward
☆─────────────────────────────────────☆
wisesummer (summer |
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w********r
发帖数: 290 | 32 通常计算一个investment的return就是将资本收益除以初始投资额再做annualized。
我的问题是如果一个投资的初始投资额为零，那么return怎么计算啊？
比如投资于LIBOR, Swap, or CDS market，理论上都是不需要初始成本。
我知道实际操作肯定会有margin requirements，不过和return的计算怎么联系起来，
有没有知道
具体的market convention？
先谢谢啦！ |
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N***T
发帖数: 31 | 33 LIBOR or treasury yield, both are okay. |
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k***s
发帖数: 206 | 34 比如一个swap, party A pays 3M libor + spread and receives fixed.
这个refix到底指的是什么？吧floating leg的rate 改？ 根据什么改？为什么要改？
不是contract一开始就定下的吗？ |
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k***s
发帖数: 206 | 35 3m libor rate 不是每天都change的吗？ |
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k***s
发帖数: 206 | 36 what does libor fixing mean? |
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g*******s
发帖数: 59 | 37 Libor Market Model?
Actually, I am still wondering how I can get the correlation calibration for
LMM.
Using closed-form solutions from Ribando for Swaption to get it? |
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i******x
发帖数: 115 | 38 那个题如果float leg用30days libor / 4折现会算出答案A... |
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w*********r
发帖数: 63 | 39 原题是本金20million, 6x9的FRA，合约利率为3.5%，到期时libor是1.5%，问损失多少。
我算的结果是99,626，但唯一看起来像的答案A是96,626。
好不容易碰到一道会做的题，却没有答案…… |
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d********t
发帖数: 9628 | 41
depends on the expectation for the 3 month interest rate 3 month from now. |
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z****g
发帖数: 1978 | 44 if you know, become a trader |
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m*********g
发帖数: 646 | 45 check the price change of 6month ZCB... |
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l***u
发帖数: 91 | 46 it's not equivalent nowadays.
There is a non negligible basis between forcasting curve and discounting
curve. |
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i*i
发帖数: 7 | 47 不懂rates，搞不清楚repo具体怎么实现的。几个问题麻烦大侠指点一下：
1）比如说进入一个10yr treasury的reverse repo，向seller支付的是CMT rate么，还
是pass through 10yr tsy的coupon?
2）如果把reverse repo得到的10yr tsy卖掉，这样的net position应该是1）里面的
net cash flow （repo interest - tsy whatever payment), 加上一个tsy的net
short。tsy short position收益随tsy yield波动，这样似乎10yr tsy的repo利率是取
决于10yr tsy futures，实际上是这样的么？而直觉上repo利率应该是libor去掉一个
credit spread，具体到10yr tsy的repo怎么能统一起来？
思维很混乱，不知道表达清楚了没有。 |
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