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by hanh510
June 27th, 2010, 5:01 am
Forum: Technical Forum
Topic: Hedging the duration gap
Replies: 3
Views: 42581

Hedging the duration gap

<t>QuoteOriginally posted by: daveangelyour amortising loand can be modelled as follows1. 5 year loan of 200,0002. 4 year loan, 1 year forward starting3. 3 year loan, 2 year forwardetcHow is the interest rate set ? Is it based on Libor ?Actually, the interest rate is based on saving interest rate 1 ...
by hanh510
June 27th, 2010, 4:55 am
Forum: General Forum
Topic: calculating forward rates
Replies: 6
Views: 70928

calculating forward rates

<t>QuoteOriginally posted by: cemilQuoteI do agree with U on both of cases. However, I have seen many documents in which the forward rate is calculated by this formula:Forward rate (1,2)= ((1+r02*t02)/(1+r01*t01) - 1) * (1/(t02 - t01))Look at this formula: (1+r01*t01) * (1+r12*(t02-t1)) = (1+r02*t02...
by hanh510
June 25th, 2010, 8:30 am
Forum: General Forum
Topic: calculating forward rates
Replies: 6
Views: 70928

calculating forward rates

<t>Dear Daveangel,I infer from your answer that the formula of forward rate in case of simple rates (money market) is:Forward rate (1,2)= (1+R02*t02)/(1+R01*t01) - 1and in case of compound rates: Forward rate (1,2)= ((1+r02)^(t02))/((1+r01)^(t01))-1I do agree with U on both of cases. However, I have...
by hanh510
June 25th, 2010, 7:29 am
Forum: Technical Forum
Topic: Hedging the duration gap
Replies: 3
Views: 42581

Hedging the duration gap

<t>I can not reply to your answer. Otherwise, I would like to know how to calculate the duration of different assets on balance sheet such as amortizement loan or equity shares.Exemple: A loan of $1 million with 5 years to maturity, interest rate 10%/year, semi -annual payment (constant amortizement...
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