September 2012
Beginner
328 pages
7h 42m
English
Content preview from Key Financial Market Concepts, 2nd Edition
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Values Dates, Interpolation and Extrapolation
Definition
The value date of a money market transaction is the date on which the transaction is consummated, i.e. delivery takes place.
Interpolation is the process of estimating a price or rate for value on a particular date by comparing the prices actually quoted for values dates earlier and later than the date required.
Extrapolation is the process of estimating a price or rate for value on a particular date, from other known prices, when the value date required lies outside the period covered by the known prices.
How are they used?
Values dates
In many transactions, there is a delay, of one day or more, between agreeing on a transaction with the counterparty and actually transferring the cash ...
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