JuniorASA
09-11-2005, 11:05 AM
May I get some sharing from ladies and gentlemen?
I am now handling the non-parallel shift for yield and face two problems.
1) I will do the cash flow discounting by month discounting factor. However, the cash flow input will be daily cash flow in the practical situation. For example, bond will mature in different days.
How could I convert the daily cash flow into monthly cash flow for this discounting issues in practical case? (Could it discount by interest factors only?)
2) I would like to shift the short term yield by x basis point while long term yield by y basis point.
However, within short term yield (let's say 1 year) and long term yield (30 year). There will be some yield within the 1 year and 30 year. (let's say 5 & 7 year)
How could I shift this yield point within the 1 year and 30 year under this criteria in practical case?
Is there any reference for this non-parallel shift topic?
Many Thanks for your sharing!
I am now handling the non-parallel shift for yield and face two problems.
1) I will do the cash flow discounting by month discounting factor. However, the cash flow input will be daily cash flow in the practical situation. For example, bond will mature in different days.
How could I convert the daily cash flow into monthly cash flow for this discounting issues in practical case? (Could it discount by interest factors only?)
2) I would like to shift the short term yield by x basis point while long term yield by y basis point.
However, within short term yield (let's say 1 year) and long term yield (30 year). There will be some yield within the 1 year and 30 year. (let's say 5 & 7 year)
How could I shift this yield point within the 1 year and 30 year under this criteria in practical case?
Is there any reference for this non-parallel shift topic?
Many Thanks for your sharing!