Recent content by j88jke

I'll look at Uri Ron now. And what I need to do is to convert them. No idea where to begin. So for example, I take Z10, 100-97.9225 = 2.0775 This rate is for the third wednesday of December 2010? How do I account for the spread? I need to basically take that table I gave above, and get the...

Would anybody be able to explain to me in simplest terms how to strip a yield curve completely? The part I'm having trouble with are the futures rates. If someone knows how to do this I'd really appreciate it as it's causing me no end o problems and I'm sure some people can do this really...

thanks blade, that looks really helpful, just scanned through it now so may look at it later this evening. Seems like there may be a lot i'm missing from my model that this mentions I need to do (i.e. dont just continuously compoun the rates, they've got to be bootstrapped - and this can only be...

Hey, I've just started working at BNP Paribas on a summer internship and need some help with something..... I've been asked to build a swap pricing model. I've been given a set of market rates (which I'll attach below) that consist of cash, futures and swaps rates. I need to get a curve which I...