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Partial '01
Hi Bionic Turtle, I'm having trouble understanding Partial PV01; and haven't found anything helpful on Google so far. In the source reading Tuckman says "More specifically, the partial ’01 with respect to a particular fitted rate is defined as the change in the value of the portfolio after a...- Number1
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- Replies: 3
- Forum: P1.T4. Valuation & Risk Models
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Replicating portfolio (bonds)
Hello, I've seen examples on how to setup a "replicating portfolio" to solve for the price of a bond with a known coupon rate given 2 other bonds with known prices and known coupons rates which pay on the same date annually. Can someone provide an example using 3 or more known bonds ? I have a...- Number1
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- Replies: 8
- Forum: P1.T4. Valuation & Risk Models
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Implied forward rate
Hello BionicTurtle, I want to calculate the implied 6 month forward rate starting 6 months from now given the 1 year spot and 6 month spot, but am not very clear on how to do this. Is this correct ? [ (1 + 1 year spot) / (1 + 6 month spot)^.5 ] -1 My thinking is if I invest for 1 year upfront at...- Number1
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- Replies: 2
- Forum: P1.T4. Valuation & Risk Models