Hi David, thanks for this video one simple question, when you shift the 2 year rate by 1 bp, from 0 to 2 years why was the rate not pulled up linearly instead of increasing the rate for all 4 periods by 1 bp to 5.01% ? Thanks
u didn't understand this at all. You have to use the par yield shift to deduce the discount factor inductively! not just use par yield as discount yield.
Thanks very much for posting David! Much appreciated and extremely helpful!
Hi David, thanks for this video one simple question, when you shift the 2 year rate by 1 bp, from 0 to 2 years why was the rate not pulled up linearly instead of increasing the rate for all 4 periods by 1 bp to 5.01% ? Thanks
I have the same question. Did you get any answer?
Hi David, could you explain the d(t) formula of the new par=(2-(new par)*SUM(past d(t)s))/(2+new par), this is from the members excel file
Great explanation! Thank you!
u didn't understand this at all. You have to use the par yield shift to deduce the discount factor inductively! not just use par yield as discount yield.
can somebody please explain how to derive the 2-year shift value of 100,449.53 ? thanks.