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by kladivko
March 25th, 2005, 8:44 pm
Forum: General Forum
Topic: Duration of FixedCoupon-LIBOR
Replies: 4
Views: 155240

Duration of FixedCoupon-LIBOR

Hojdard, are you sure that the short duration should be equal to the duration of IRS €? I guess it could be less because, there is no redemption of the principal in €?Thank you for your reply.
by kladivko
March 25th, 2005, 1:55 pm
Forum: General Forum
Topic: Duration of FixedCoupon-LIBOR
Replies: 4
Views: 155240

Duration of FixedCoupon-LIBOR

<t>Thanks for your reply. You are right, but there is a problem, because we did only GBP-EUR cross currency floating-to-floating basis swap. The Euro fixed-float swap isn't done.So it implies that the cash-flows are as following:(1) We pay annually fixed EUR coupons for the next 15 years, principal ...
by kladivko
March 24th, 2005, 6:02 pm
Forum: General Forum
Topic: Duration of FixedCoupon-LIBOR
Replies: 4
Views: 155240

Duration of FixedCoupon-LIBOR

<t>How would you calculate duration of the following instrument:A series of ten (FixedCouponRate-6MEuribor)*Notional "bonds", where the 1st has 1 year maturity, the 2nd 2 year maturity and so on.(Of course FixedCouponRate and Notional ae known.)Or actually duration of this position:1. Issue 10 Year ...
by kladivko
December 13th, 2004, 9:49 pm
Forum: General Forum
Topic: CIR moments, quantils, VaR without simulations?
Replies: 1
Views: 166054

CIR moments, quantils, VaR without simulations?

<t>Hi, is there any explicit solution for uncoditional expected Value and unconditional variance of the CIR model. If I want to use the CIR for VaR stuff, do I really need to make simulations of the short rate and then use the close form formula of the yield courve and find quantils? Or would it be ...
by kladivko
October 12th, 2004, 2:34 pm
Forum: General Forum
Topic: Yield curve from one factor model
Replies: 9
Views: 172864

Yield curve from one factor model

by kladivko
October 12th, 2004, 9:14 am
Forum: General Forum
Topic: Yield curve from one factor model
Replies: 9
Views: 172864

Yield curve from one factor model

by kladivko
October 8th, 2004, 9:35 am
Forum: General Forum
Topic: Yield curve from one factor model
Replies: 9
Views: 172864

Yield curve from one factor model

Hi,I need to simulate the whole yield curve from one factor model (CIR). How can I do it so that I obtain realistic yield curves? (I estimated CIR from time series of Pribor (Prague) and want to use this for calculating VaR.)Thank You for any suggestions.
by kladivko
August 16th, 2004, 11:49 am
Forum: Student Forum
Topic: Interest Rate Modelling
Replies: 6
Views: 179976

Interest Rate Modelling

<t>Actually I would like to use the models for VaR, more specifically - as a Government Bond Issuer - for estimating possible future cupon cost of the state debt. So far I have used historical simulation which gives good results but Interest Rates models seems to be more sophisticated.Than You for a...
by kladivko
August 3rd, 2004, 9:40 am
Forum: Student Forum
Topic: Interest Rate Modelling
Replies: 6
Views: 179976

Interest Rate Modelling

<t>I would like to model Interest Rates (e.g. Libor). I know about Vasicek, CIR, etc. models but it seems to me that this models are only suitable for pricing, not for any predictions. Am I right? If I can use them for modelling (predictions) not pricing, can I get their parameters (calibrate them) ...
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