@Cab828 compound frequency is beside the point. Convexity is a simpler calculation under continuous. As modified and Mac convexity converge under continuous, for illustration purposes you get a convexity that is invariant to yield. But thanks for your, er, help and constructive tone
PLEASE DONT READ THIS. YOU WILL GET KISSED ON THE NEAREST POSSIBLE FRIDAY BY THE LOVE OF YOUR LIFE. TOMORROW WILL BE THE BEST DAY OF YOUR LIFE. HOWEVER IF YOU DONT POST THIS COMMENT something bad will happen. NOW UV STARTED READIN DIS DUNT STOP THIS IS SO SCARY. SEND THIS TO 5 VIDEOS IN 143 MINUTES WHEN UR DONE PRESS F6 AND UR CRUSHES NAME WILL APPEAR ON THE SCREEN IN BIG LETTERS. THIS IS SO SCARY CAUSE IT ACTUALLY WORKS THIS ACTUALLY WORKS
Hi David, in your opinion what are some of the options in pricing an illquid bond? Say i had to mark mtm. Can we take the spread on the cds? It was suggested that we look at a treasury bond and then take a spread...but how would we know what spread to take? Thx
Thanks for this video.
TheGrayIntellectual 1 month ago
What actualy is your "Actual" value?
The video shows formula:
=face*EXP(-(C5+1)*T)-face*EXP(-C5*T)
Which I understand as: (Price for 104% yield) - (Price for 4% yield), not as the price percentage change.
Also "Modified Duration" = "Macaulay Duration" / (1 + yield)
which should give positive 28.85. Why do you need this to be negative?
wiertmir 1 month ago
do you have a book on higher level bond analycitcs?
MogTrader 7 months ago
Good video David. Is Cab an ex-g/f perhaps?
ivqancorp 9 months ago
@ivqancorp thanks, appreciated. Cab seems way more pleasant than my ex-g/f ;)
bionicturtledotcom 9 months ago 2
This comment has received too many negative votes show
hey dumb ass. zero coupon bonds are, by default, semi annual.
Cab828 1 year ago
@Cab828 compound frequency is beside the point. Convexity is a simpler calculation under continuous. As modified and Mac convexity converge under continuous, for illustration purposes you get a convexity that is invariant to yield. But thanks for your, er, help and constructive tone
bionicturtledotcom 1 year ago 8
@Cab828 I am laughing at your dumbass comment now. You must be new to this shit hahaha!
kaqhan2 6 months ago
@kaqhan2 Did you just get released from a mental institution?
vatd112 4 months ago
This has been flagged as spam show
Meet scorching sexy lathing women ** rockmycity.info **
KaneraEvins 1 year ago
This has been flagged as spam show
PLEASE DONT READ THIS. YOU WILL GET KISSED ON THE NEAREST POSSIBLE FRIDAY BY THE LOVE OF YOUR LIFE. TOMORROW WILL BE THE BEST DAY OF YOUR LIFE. HOWEVER IF YOU DONT POST THIS COMMENT something bad will happen. NOW UV STARTED READIN DIS DUNT STOP THIS IS SO SCARY. SEND THIS TO 5 VIDEOS IN 143 MINUTES WHEN UR DONE PRESS F6 AND UR CRUSHES NAME WILL APPEAR ON THE SCREEN IN BIG LETTERS. THIS IS SO SCARY CAUSE IT ACTUALLY WORKS THIS ACTUALLY WORKS
sweetiepieess 1 year ago
David, how can I calculate the data in the duration plot highlighted in green. Thanks
engelberthk 3 years ago
Hi David, in your opinion what are some of the options in pricing an illquid bond? Say i had to mark mtm. Can we take the spread on the cds? It was suggested that we look at a treasury bond and then take a spread...but how would we know what spread to take? Thx
sashman00 3 years ago
Very nice informative video. Where i could get/learn more about how to build financial models in excel. The formulas, graphs, ect... thx
mmboyes 4 years ago
Winston - Financial Models Using Simulation & Optimization (I & II)
geiko187 2 years ago