It is the volatility associated with the term structure

Hi,The BDT Model takes a volatility estimate associated with the Term structure of interest rates.Can anyone tell me is this available in Bloomberg and how to go about getting a historical estimate?Thanks

Hi,I need to source historical cash rates, Eurodollar futures and Swaps rates to derive some historical discount curves. Where could I source such data? Is Bloomberg the best source?Thanks

<t>Hi Elpep5, Yes, just differentiate the variance equation and set it be zero.So if you are looking to find out X2, differentiate it with respect to x1The first X1 term is set to zero, the second becomes 2X2 ( using the power rule, multiply by exponent and decrease power by 1).For the third term, d...

<t>Hi,Can someone help me understand this please?If I have an amortising 3 year Swap starting in 1 years time with the following principal 30, 20, 10.If I am the Fixed rate receiver what is a hedge using standard swaps that start today and have maturities from 1 to 4 years?To hedge the IR risk, I ne...

<t>Thanks Daveangel, that's great!One final question, the formula 1 = R * df1 + R * df2 + .. (1+R) * dfn, when changing over from the final future of the first year (the final quarter) to the first Swap rate...I should include the DF for that period in the above formula (correct??) Whereas if a ques...

<t>Thanks Aaron,I have redone using your suggested method. Some of the Forwards at the 2,3,4 intervals look large in comparison to the other forwards. Is there any possible explanation??...Also, is it also possible/correct to calculate the first years compound "yearly" rate using the quarterly forwa...

<t>Hi All,I need some help with the attached derivation of a zero coupon discount factors curve.Basically, I have a 3 month floating rate, with 3 IR futures out to the end of year 1. This is followed by 3 Swap rates for years 2,3,4For the Cash Rate and the futures, I have used the forward period rat...

<t>Hi,I am having difficultly working through a single bond hedge of a portfolio consisting of a long position of 100 in each of following 2 bonds...Bond 1: DV01 = 5.35, Conv = 0.389, Nominal = 100Bond 2:DV01 = 3.48, Conv = 0.163, Nominal = 100Possible Hedging Bonds to be used:Bond 3: DV01 = 2.72, C...

Thanks, Is asset-swap risk similar to basis risk?

Hi,Is it possible for bond futures to be a perfect hedge for an interest rate swap?Would there be issues with daily mark-to-marketing of the future?Thanks

Hi,Is it possible for bond futures to be a perfect hedge for an interest rate swap?Would there be issues with daily mark-to-marketing of the future? Thanks

<t>Thanks Paul, that does make sense.Just two final questions...(1) How do you know the price is expressed as a percentage in the question? I only see a DV01 of 0.15, convexity and market value??(2) Also, how would I handle a situation of 1% move in interest rates? Would the same logic apply i.e. ch...

My question really is when to use the actual basis point value eg: 25 and when to use the equivalent percentage value 0.25%?And why in the below example have they used 0.25 in all cases???Thanks

Thanks,Why is the second delta r^2 not 0.25% to represent the basis point movement? It is 0.25??