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A short-term interest rate (STIR) future is a futures contract that derives its value from the interest rate at maturation. Common short-term interest rate futures are Eurodollar, Euribor, Euroyen, Short Sterling and Euroswiss, which are calculated on LIBOR at settlement, with the exception of Euribor which is based on Euribor and Euroyen which is based on TIBOR.
The key variables for (credit) risk assessment are the probability of default (PD), the loss given default (LGD) and the exposure at default (EAD).The credit conversion factor calculates the amount of a free credit line and other off-balance-sheet transactions (with the exception of derivatives) to an EAD amount [2] and is an integral part in the European banking regulation since the Basel II ...
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation. Journal of Financial and Quantitative Analysis, 25:419-440. Heath, D., Jarrow, R. and Morton, A. (1991). Contingent Claims Valuation with a Random Evolution of Interest Rates Archived 2017-04-28 at the Wayback Machine. Review of Futures Markets, 9:54-76.
The forward rate is the future yield on a bond. It is calculated using the yield curve . For example, the yield on a three-month Treasury bill six months from now is a forward rate .
NEW YORK/LONDON (Reuters) -MSCI's global equities gauge rose and U.S. government bonds rallied while the dollar fell on Monday as investors welcomed the incoming U.S. president's selection of fund ...
The conversion ratio is the number of shares the investor receives when exchanging the bond for common stock. The conversion price is the price paid per share to acquire the shares when exchanging the bond for common stock. [6] Market conversion price: The price that the convertible investor effectively pays for the right to convert to common ...
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