p********0
发帖数: 186 | 1 Hi,
I am trying to get the discount factor/forward rate based on the following
US treasury rate
Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
02/01/08 1.75 2.10 2.15 2.13 2.09 2.22 2.75 3.13 3.62 4.31 4.32
I can easily get Forward(1, 2),
forward(2,3), forward(3,5) based on expectation theory.
Can I get the forward(3,4) based on the data above?or the spot rate S(4)?? | D*****a
发帖数: 2847 | 2 you have to interpolate
【在 p********0 的大作中提到】
: Hi,
: I am trying to get the discount factor/forward rate based on the following
: US treasury rate
: Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
: 02/01/08 1.75 2.10 2.15 2.13 2.09 2.22 2.75 3.13 3.62 4.31 4.32
: I can easily get Forward(1, 2),
: forward(2,3), forward(3,5) based on expectation theory.
: Can I get the forward(3,4) based on the data above?or the spot rate S(4)??
| p********0
发帖数: 186 | 3 Thanks, please elaborate, didnot get it. | w******h
发帖数: 9 | 4 Feel really dumb:) What does forward(1, 2) mean?
【在 p********0 的大作中提到】
: Hi,
: I am trying to get the discount factor/forward rate based on the following
: US treasury rate
: Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
: 02/01/08 1.75 2.10 2.15 2.13 2.09 2.22 2.75 3.13 3.62 4.31 4.32
: I can easily get Forward(1, 2),
: forward(2,3), forward(3,5) based on expectation theory.
: Can I get the forward(3,4) based on the data above?or the spot rate S(4)??
| p********0
发帖数: 186 | 5 forward(i, j) which means the forward rate from year i till year j in the
future.
I tried the interpolation by plug in year4 spot rate to be 2.5, 2.6, they
all satisfy the expectation theory.
d(i, j) = d(i, k) * d(k, j), seems the spot rate for year 4 can not be
determined based on the spot rate for year 3, 5, 7, 10. etc. | D*****a
发帖数: 2847 | 6 no way to do it. you have to assume something or get some extra
information. the swap rate may be helpfu.
【在 p********0 的大作中提到】
: forward(i, j) which means the forward rate from year i till year j in the
: future.
: I tried the interpolation by plug in year4 spot rate to be 2.5, 2.6, they
: all satisfy the expectation theory.
: d(i, j) = d(i, k) * d(k, j), seems the spot rate for year 4 can not be
: determined based on the spot rate for year 3, 5, 7, 10. etc.
| w******h
发帖数: 9 | 7 using expectation theory for f(1,2):
[1+s(1)][1+f(1,2)] = [1+s(2)]^2
for f(3,4):
[1+s(3)][1+f(3,4)] = [1+s(7)]^2
here s(3) = 2.22 and s(7)=3.13, so we can solve f(3,4), right?
Or you are asking for f(4,3)? then I guess we'd interpolate s(4) from s(3)
and s(5).
【在 p********0 的大作中提到】
: Hi,
: I am trying to get the discount factor/forward rate based on the following
: US treasury rate
: Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
: 02/01/08 1.75 2.10 2.15 2.13 2.09 2.22 2.75 3.13 3.62 4.31 4.32
: I can easily get Forward(1, 2),
: forward(2,3), forward(3,5) based on expectation theory.
: Can I get the forward(3,4) based on the data above?or the spot rate S(4)??
|
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