<t>A yield beta is the regression coefficient when you regress the yield changes in one instrument on the yield changes in another instrument.for example when you want to estimate the hedge ratio for hedging a bond with a swap you would regress the swap rate changes on the bond yield changes to calc...

<t>HI ALLI have implemented a calculator for OIS swaps VaR.I have assumed that since the floating accruals get paid on the six month date and hence get reinvested at each day's float index rate, the floating side always is at par.Hence, I have included the notional principal at maturity as well as t...

HIindexing works as below:for a given data series you fix a base year .The value of the variable you are analysing in that base year is assumed to be say 100 or any other convenient number.The later series values are scaled accordingly.

hi..DOES ANYBODY HAVE ANY EXPERIENCE IN CALCULATING LIQUIDITY ADJUSTED BETAS? BECAUSE FOR STOCKS WHICH ARE TRADED RELATIVELY INFREQUENTLY VIS-A-VIS THE INDEX THE BETA CAN BE IMPROPER USING STANDARD CALCULATION METHODS USING VARIANCE AND COVARIANCE .THANKS

How about using a Chebyshev's distribution? Either for each of the assets or on the spread between the two.

Thanks.Could anyone indicate the expected VaR figure since it was said that the figures I have obtained ( 0.40 % for 1 year and 0.80 % for 5 year) are a bit high.Anybody working live on this?

<t>Hi,Ok.In the OIS swap Floating rates are compounded daily.Payment at every 6 months.I have used a treasury zero coupon curve historical data for 900 data points to evaluate VaR .The fixed side cashflowas are known.The floating side ,since there is a daily reset and compounding has no VaR.Only the...

Hi,Is anybody in the know of calculating the VaR of an overnight indexed swap.I have done a calculation for a portfolio and the VaR magnitude for a 1 year and a 5 year swap has turned out to be around 0.40 and 0.80 % of notional principal.Help will be appreciated.

<t>Hi,In terms of interest rate swaps which are a kind of variation in fixed income, when rates are expected to go up, a person who does a fixed pay, floating receive trade has an initial negative carry because the fixed pay leg factors in long term interest rates.Similarly the counterparty would ha...

<t>Hi all.Why do I think that we are missing something? When you hedge, you calculate a hedge ratio which depends upon the volatilities of the two securities and the correlation between the two. hedge ratio= correlation*vol ratio I suppose if you do this you have taken care of the correlation constr...

Both the solutions are simplistic.The swap amortisation must be linked to some market movement or some constraints.eg the swap has to last for 11 years whatever the amortisation schedule.Unless these things are included , priccing in my opinion is not possible.Regards.

Hi,I have recently seen an application wherein you can write rules based on market data for cashflows linked to such data.There is a rule engine which applies the same to the instrument and generates cash flows.Probably this could be used on simulated market movements also.Regards.

<t>Hi .To start with I think it is not at all difficult to arrive at the duration of a portfolio by the cash flow mapping and discounting method.This can be done in EXCEL even for bonds with optionality....I do not know what problems you face in doing this because anyway one would need to use cashfl...