<t>Hi everyone:I have a question regarding the following transaction, which is being offered by a bank that calls it an American FX Forward. In the transaction the customer, for example, wants to buy foreign currency "sometime" in the future. For that purpose he enters into an American FX forward wi...

<t>Hi:I have a question regarding the following transaction, which is being offered by a bank that calls it an American FX Forward. In the transaction the customer, for example, buys foreign currency at a forward price of X in T periods (the maturity date). Now, the contracts establishes that the cu...

Why is it that the time decay for a short term zero coupon is greater than for a long term zero coupon?Regards, SBR

You are right and I appreciate very much the help. Best regards, SBR

That is precisely what I was asking . Now, it is clear. Thanks a lot.best regards, SBR

<t>To summarize, if I compute the second derivative using the formula below, then I need the h^2 term y=(op(s+1.5h)-op(s+0.5h)-(op(s-0.5h)-op(s-1.5h)))/2h^2S initial interest rate;h change in the interest rate; equals to 0.0001But, if I compute the second derivative by dividing the change in the fir...

<t>Thanks to the different answers and links, but there is something that I still do not understand about the equation.Specifically, dividing by h^2 the numerator, which represents the change in value of the deltas at different rates, results in a very high estimate for gamma because h = 0.0001. Am ...

<t>I am computing numerically the gamma of an option using the formula above, which appears in the following document: "Provisions for Options Risks". Now, I do not understand why h in the denominator of the equation is raised to the power of 2. Is it a typo or there is something that I do not know,...

Aaron:thanks for your answer, and it seems I have some thought to do. Regards, SBR

<t>I am trying to compute the gamma for a call on a bond. Since I do not have a closed form to compute the gamma, I am doing it numerically based on Tuckman`s book (Fixed income securities, 2 edition, page 102). In the example, the author makes a difference between convexity and the second derivativ...

So there is no problem to combine prices of bullet bonds with prices of level (amortizing) bonds to derive a cero curve. Thanks and regards, SBR

<t>a bullet bonds is a bond thta pays a face value of 100 US$ at maturity date but also pays an annual coupon of c US$ ecah period up to and including the maturity datea level bond is a bond with a stream of payments that remains the same throughout the life of the bond. In other words, it pays (for...

<t>I want to apply the svensson method. The (best) data available are prices of three kind of bonds, all of them are actively traded:a) up to a year, treasury billb) for the medium term (2-5 years), bullet bonds from the govermentc) for the long term (6-20 years), level bonds (ie., the payment is th...

Thanks to both replies . Based on the answers, I can see that the decision is driven mostly by tax considerations, and that financial aspects of the bond, such as duration and liquidity, are no as important. Regards, SBR

<t>A company wants to issue debt which is non prepayable. Assuming that Market rates are 5% flat and the company can issue at theses rates, what is the best alternative:a) to issue debt at 5% and selling the bond at par; orb) to issue debt at an 8% coupon, and selling the bond above parAlso, What ar...