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by djquackkquackk
February 5th, 2011, 3:00 pm
Forum: Trading Forum
Topic: basic interest rate swaps questions
Replies: 4
Views: 23457

basic interest rate swaps questions

thank you.I understand that the book is mark-to-marketed daily using the closing data, but you say they consume balance sheet - how? do you mean the cash flows being set into the assets/liabilities of the bank?
by djquackkquackk
February 5th, 2011, 1:20 pm
Forum: Trading Forum
Topic: basic interest rate swaps questions
Replies: 4
Views: 23457

basic interest rate swaps questions

<t>hello. i had two questions. firstly, i've tried researching online, but could only find very technical papers on this - what's the importance of the forward curve, and why is it downward sloping for greater maturities.also, what are the balance sheet implications of an interest rate swap?thank yo...
by djquackkquackk
December 2nd, 2010, 4:03 pm
Forum: Numerical Methods Forum
Topic: Using regressions to find illiquid points
Replies: 3
Views: 26291

Using regressions to find illiquid points

<t>thank you for the replyMy question though is that I have the daily closes of each of the rates, 2-30 year. I also have access to reuters where I can get a reletively accurate swap rate on the liquid points. I was told I can use regressions on ALL the historical points and the current liquid point...
by djquackkquackk
November 23rd, 2010, 11:05 am
Forum: Numerical Methods Forum
Topic: Using regressions to find illiquid points
Replies: 3
Views: 26291

Using regressions to find illiquid points

I have to use the liquid points on the curve as well as historical data to be able to find the illiquid points. I've been using forecast in excel, but was wondering if there are any other ways to do this more accurately. thank you.
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