Many thanks. You use a bond notion while infering the par rates. What is par rate for the swap? Do you have a video with the similar calculations, but in multicurve framework?
Can you explain where you get the discount factor for the 0.5 term? I'm assuming that in 0.5 years, I get back par plus a coupon of 0.00705/2. so ( 1 + 0.00705/2 ) * d(0.5) should equal par (1) and solving for d(0.5), I get 0.99648738. This doesn't match the .996489 in the table. What am I missing here? Thanks.
@@mansiswami2548 I just looked at my notes at it seems the spreadsheet is truncating values and then calculating with the truncated values. If you use all the decimals needed, it works
I don't think so (never heard that). I just tried it with the swap rate video set where forward curve is {0.40%, 1.60%, 2.51%, 3.51%, 4.02%) and 5-year swap rate (par yield) is 2.36%, but the corresponding geometric average is 2.40%
you made a mistake at 9:52 where it should be [1+r1/2]ˆ1*2 for compounding at 1 year spot rate semiannually.
Many thanks. You use a bond notion while infering the par rates. What is par rate for the swap? Do you have a video with the similar calculations, but in multicurve framework?
Thanks man, your videos are very helpful, do you think that some day you can explain the diebold li model?
Can you explain where you get the discount factor for the 0.5 term? I'm assuming that in 0.5 years, I get back par plus a coupon of 0.00705/2. so ( 1 + 0.00705/2 ) * d(0.5) should equal par (1) and solving for d(0.5), I get 0.99648738. This doesn't match the .996489 in the table. What am I missing here? Thanks.
I got the same
@@mansiswami2548 I just looked at my notes at it seems the spreadsheet is truncating values and then calculating with the truncated values. If you use all the decimals needed, it works
Is it also true that if we did a geometric average of the forward rates, we would get the swap rates?
I don't think so (never heard that). I just tried it with the swap rate video set where forward curve is {0.40%, 1.60%, 2.51%, 3.51%, 4.02%) and 5-year swap rate (par yield) is 2.36%, but the corresponding geometric average is 2.40%
Not explained clearly