thanks Daveangel....very comprehensive explanation!

Just testing you Daveangel It should be ....If a bill futures price for a contract maturing in 28 days is 92.56 and the discount rate for a 118 day t bill is 9.00, calculate the implied repo rate. Any ideas?

hi could you bring me over this calculation?- thanks

hi, i'm having some conceptual difficulties with this. If a bill futures price for a contract maturing in 50 days is 92.56 and the discount rate for a 118 day t bill is 9.00, calculate the implied repo rate. Any ideas?

<t>Hi, if I run a draw each week where there are 10 prizes. There are 100 tickets in existence. The probability of winning a prize is therefore for 10/100. If I had 2 tickets the probability of winning in a week would be 2*10/100. If I look at this probability over a year (52 draws) or 2 years ( 104...

<t>Lets say company x has a full nominal bond curve out to 30yr-they now want to issue a 30yr inflation linked bond. The sovereign in which the company is based does not have any inflation linked bonds. How would company x go about arriving upon a suitable real yield apart from engaging with potenti...

yes daveangel, they would have the same price.

Sorry- I know the answer now!! The bond with the delayed coupon payments would have the longer duration since the average payoff of this bond takes longer than the conventional coupon paying bond.

Do the following 2 bonds have the same duration1st Bond: 4% annual coupon until 20202nd Bond :A 4% bond that pays no coupon for the first 2 yrs but pays a ?higher coupon? thereafter until maturity to compensate for this fact. Both bonds have the same maturity.

QuoteOriginally posted by: daveangelprice a zero coupon bond using the yield and act/365 (use the PRICE function) and then calculate the yield using the YIELD function and specify act/act ?if my underlying bond has a long first period, would this approach still work?

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thanks daveangel.....im not getting the difference i would expect......0.000000000615%. The convention i need to get to is Act/Actual (ICMA)

hi, i've searched the web all morning for a simple way of converting yield (act/365) to yield (act/act) in excel. Is there any simple way? I've calulcated a yield using the xirr function in excel but now i want to convert this yield from a act/365 daycount to a act/act daycount.

very helpful Cuchulainn- thank you

Mathematically is the midpoint between 2 points the same if i were to use liner interpolation or cubic spline. Sorry just to lazy to think about this on a Friday!!