July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Two Cash Flows, Many Money Market Rates
Suppose that a money market security can be purchased on January 12th for $64,000. The security matures on March 12th, paying $65,000. To review the money market calculations seen so far, let's calculate the interest rate on the security to the nearest one-tenth of a basis point, given the following quotation methods and day-count conventions:
- Add-on Rate, Actual/360
- Add-on Rate, Actual/365
- Add-on Rate, 30/360
- Add-on Rate, Actual/370
- Discount Rate, Actual/360
Note first that interest rate calculations are invariant to scale. That means you will get the same answers if you simply use $64 and $65 for the two cash flows. However, if you work for a major financial institution and are used to dealing with ...
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