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PV of swap
Posted: Fri Oct 22, 2004 4:36 pm
by dadeto
second one: when the yield is way below the coupon rate?
EDIT: Thanks strange!
PV of swap
Posted: Fri Oct 22, 2004 4:55 pm
by FDAXHunter
The technical term in fixed income isn't "time to expiry" but rather "maturity".
If you hate Fixed Income then it will hate you...
PV of swap
Posted: Fri Oct 22, 2004 5:12 pm
by dadeto
After all this FI shea, I still have several questions. damn, I should never have started reading this thread!
[list=1]
[*]Why is that FDAX?
[*]Are my answers to my daily quizz right?
[*]Is the duration stuff approximation wrong? I don't think the two points about duration = maturity and duration > maturity contradict the npv approximation... Does a 0 coupon swap exist? If the coupon is >> yield, than (market swap rate - our swap rate) is very big and delta works only for "small" movements.
[/list]
PV of swap
Posted: Fri Oct 22, 2004 5:29 pm
by Johnny
[i]The technical term in fixed income isn't "time to expiry" but rather "maturity".[/i]
With a structured product, which is after all the subject of conversation, it could either be maturity (like the bond part) or time to expiry (like the option part). The only point I was trying to make is that it certainly should not be duration, which is something else entirely.
[i][/i]
PV of swap
Posted: Fri Oct 22, 2004 5:31 pm
by Johnny
[i]Are my answer to my daily quizz right?[/i]
First one yes, second one nope. Think about it Dudella ...
duration < maturity: positive coupon
duration = maturity: zero coupon
duration > maturity: ... ? ... ? ...
Tongue out