Fixed Coupon Bond
The goal of the project is to compute the market value of a portfolio if fixed coupon bonds taking into account the issuer credit risk. The input parameters to derive this curve are:
· The par rate of a set of Overnight Index Swaps (i.e. their market quotation)
· A set of survival probabilities and the recovery rate of the issuer
· The static data of the pool of bonds (nominal, start date, end date, coupons, payment frequency)
Notes and hints
Numerical results must be presented to the examining committee during a presentation in which the candidates will also explain the theoretical framework for evaluation of risky flows.
All maturities are expressed in months and rates are expressed as fractions of one (i.e. 0.01 means 1%).
3 pekerja bebas membida secara purata €37 untuk pekerjaan ini
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