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July 11th, 2012, 3:22 pm
Forum: General Forum
Topic: Reconstructing Libor
Replies: 24
Views: 13609

Reconstructing Libor

<t>of course Libor is the rate between say the panel. for curiosity only, what will be effect on Global financial market of unmanipulated Libor? is it possible that in this case manipulated rate is better match to the Market than unmanipulated? and whether manipulations are already proved or only vo...
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July 11th, 2012, 2:39 pm
Forum: General Forum
Topic: Reconstructing Libor
Replies: 24
Views: 13609

Reconstructing Libor

Do there exist a period of confirmed unmanipulated Libor data? Otherwise is there a sense to do with manipulated Libor?
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July 11th, 2012, 2:28 pm
Forum: General Forum
Topic: ois rate
Replies: 1
Views: 11486

ois rate

<t>Let me ask this in other way. My concern is a discount factor notion. Let B ( t , T ) be a T-bond. Assuming that it is risk free one pays $c B ( t , T ) in order to get $c at T. There is no market risk. If we invest $c at t in ir contracts which underlying is Libor or OIS what we can expect to ge...
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July 11th, 2012, 2:22 pm
Forum: Off Topic
Topic: You and your ruler
Replies: 1
Views: 11085

You and your ruler

It has some good photoshttp://yourruler.com/
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July 10th, 2012, 9:47 pm
Forum: General Forum
Topic: ois rate
Replies: 1
Views: 11486

ois rate

what is more common numeric relationship between primary interest rates ( r , L, o ) that relate to T-note, Libor, OIS correspondingly. Can we write for the same tenor L < r < o or not ?
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July 9th, 2012, 3:14 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>It is clear what does it mean arbitrage when ask=bid prices but in reality it is not clear real world arbitrage when bid < ask,. There is no immediate arbitrage if one buys for ask and sell for bid regardless whether interest rate negative or positive. if we look at some time interval then to the...
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July 9th, 2012, 2:54 pm
Forum: Student Forum
Topic: Nonlinear expctation
Replies: 4
Views: 11669

Nonlinear expctation

<t>Whether V ( x_t ) should be written as V ( t , x ) where x = x ( t ) one should find derivative with respect to t from the right hand side of expression to which it assigned. Note here subscript t in expectation can be omitted. If x ( t ) < b then we arrive at d/dt V ( x_t ) = - ax which does not...
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July 8th, 2012, 12:49 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: bearishDanish government bond yields are now negative past the three year maturity point. German government bills have negative yields. US T-bills have occasionally been priced above par over the last year. Negative rates are, at this point in time, pretty much routine,...
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July 7th, 2012, 5:13 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: AlanYou're welcome.1. Does this mean that at t = May and June 2012 the prices of the Swiss bonds T = 2, 3, 4 years ahead were larger than 1CHF ? yes 2. Also whether it ask prices? There is a footnote to the table that links to their procedures.3. Who is buying the bond ...
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July 7th, 2012, 8:44 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: listQuoteOriginally posted by: MattNowakI personally have no problems with negative rates in models. They happen in the real world after all.Can you present a real world example of the interest rate r ( t , T ) for a bond is a negative num...
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July 6th, 2012, 9:29 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: acastaldoAs Alan said it is a fairly trivial derivation. In place of a plain sigma, there appears a time intergral of sigma(t).Lesniewski: Short rate models see page 6That the first time I see if formulated with an explicit du/dt term (i...
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July 6th, 2012, 9:26 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

QuoteOriginally posted by: MattNowakI personally have no problems with negative rates in models. They happen in the real world after all.Can you present a real world example of the interest rate r ( t , T ) for a bond is a negative number or calculations represented negative r ( t ) ?
by list
July 6th, 2012, 3:35 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: MattNowakWonderful, thanks!This might be interesting to you.Topic Title: Avoid negative interest rates in Hull White modelCreated On Tue Oct 19, 10 10:26 AM Tue Oct 19, 10 10:26 AM User is offlineHi everyone.I am using a one Factor HW model to simulate spot rates. Unfor...
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July 6th, 2012, 3:17 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 19807

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: acastaldoAs Alan said it is a fairly trivial derivation. In place of a plain sigma, there appears a time intergral of sigma(t).Lesniewski: Short rate models see page 6He did not talk about financial meaning of the r ( t ) and therefore there is no question. If one looks...
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July 6th, 2012, 3:05 pm
Forum: Student Forum
Topic: Nonlinear expctation
Replies: 4
Views: 11669

Nonlinear expctation

<t>This type of objects well known in SDE theory or in general stochastic processes theory. The right name for it is the functional of the diffusion process, ie it is better not to call it nonlinear expectation.Next, the functional depends on two parameters, ie V = V ( t , x ) where x = x ( t )."s i...
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