c-strip
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P1.T4 Valuation & Risk Models - Tuchman Ch. 2 Spot, Forward and Par Rates
Another Example: Compute semi-annual compounded rate of return for a C-Strip if a 10-year C-STRIP is quoted at 58.770, the semi-annual compounded rate of return is given by 2[(100/58.779)^1/2-1]=5.385%. Question: I am not clear what the 100 in the formula represents? Please clarify the...- 123Rabbit
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- c-strip rate-of-return
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- Forum: Fixed Income (P1.T4 or P2.T5)