KIC000009 - Choosing the Bonds Liquidity comparability is...

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Unformatted text preview: Choosing the Bonds Liquidity comparability is always an issue Repo premium is a consideration Way off the run is a problem No clear answer, takes some trail and error More on Curve Fitting and Inflation Compensation publicly available data on curves fit from the treasury and TIPS market is available on the FED web page: bnp/fwww.fedend.~se.ve. gO\ll'.,.,onresdata/n:searchdag htm h ttp ' f1wWW;ed ..,."!r ..,,,ry,,w'pub,tred,I?OO3!?OOsos! "The TIPS Yield Curve and Inflation Compensation"- bv Refet S. Gurkavnak, Brian Sack, and Jonathan H. Wright, 2008 In this paper, they fit forward rate curves for TIPS and regular, which you can derive a spot curve from. This gives the real spot curve and the nominal spot curve. Nelson and Siegel functional form. BINOMIAL TREES 6 r - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - ~ - - - - Valuation of Option-Free Bonds- 0 The price of an option-free bond is the pn:sent value of the cash flows...
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This note was uploaded on 09/06/2011 for the course FIN 428 taught by Professor Hood during the Fall '11 term at Iowa State.

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KIC000009 - Choosing the Bonds Liquidity comparability is...

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