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If you do this calculation you will get. P = 0.005614 P = 0.005614. Now, the output of this is also in units of domestic per 1 unit of foreign notional (as pointed out by noob2). e.g. 0.005614 USD per 1 CAD notional. To get from CAD notional to USD notional, divide by X X. Pd = P/X = 0.7488% P d = P / X = 0.7488 %.
The paper I'm reading refers to "bloomberg dataseries" in the following formats (using Australia as an example): Exchange rates: AUD/USD for London close: "AUDUSD CMPL Curncy". AUD/USD for New York close: "AUDUSD CMPN Curncy". Government yields: AUD for London close: "ADSW2 CMPL Curncy". AUD for London close: "ADSW2 CMPN Curncy".
26. Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can tell, if the stock is a US one, there will always be a code of the form "xxxx US". [Update] So after working on the equity tech team for a year ...
2017年7月14日 · 3. BDP () is for current data, to get past data at a specific time or range of times you use BDH () (where H refers to Historical Data) Try for example. This will search the time interval from 3:00:00 and 3:00:01 and give you the price of the last trade in that interval, in other words the most recent price as 3:00:01.
3 year US Sovereign Strips Yield: 0.633% (BEY) According to the straight-line method the Yield for 2.826 year is 0.5808% (BEY) While the interpolated 2.826 year Yield is 0.619% from Blg interpolation function (BEY) in addition, the additional information is below. 1 year US Sovereign Strips Yield: 0.11% (BEY)
2022年3月15日 · I was able to calculate the discount rate for the short end by using the following formula: We can easily check that above formula works for every term of the short end, e. g., for 3 MO term (curve date 10mar22), we have that: market rate is 5.905 and period is 92 days (14jun22 minus 14mar22).
2023年10月11日 · $\begingroup$ Thank you for your kindly response. I would like to ask short 2 questions. If the Implied yield is greater than the direct USD interest rate (spread is positive) , what does it mean? 1- This means that positive FX swap basis spread reflects a premium to borrow U.S. dollars in the FX swap market, meaning that borrowers pay a higher cost for obtaining funds than the relevant U.S ...
2022年10月18日 · I'm currently reading bloomberg's paper "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." but I cannot rederive the discount rates even for the most simple terms. I found a similar post here How Bloomberg calculates discount rates for zero rate curves? but computations are not included.
2023年8月13日 · AKdemy. 9,554. The way FX Carry trade usually works is: you enter into an FX forward contract with 3m maturity today (at the current forward price) and you keep it for 3 months. At maturity there is an exchange of currencies as previously agreed, but you immediately reverse that with an opposite transaction in the FX spot market (there will be ...
2016年11月23日 · Caps: Interest Rate Caps are a sequential series of interest rate options called caplets sharing the same strike. For a given (quoted price) of the cap, the implied vol (Black or Normal) is defined as the single vol applied to every caplet in the cap that delivers the given price of the cap - in the respective model.
