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Results tagged with interest-rate
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user 7033
The proportion of an amount loaned which a lender charges as interest to the borrower, normally expressed as an annual percentage. The interest rate is typically determined by a combination of market forces and monetary policy.
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What's a good textbook reference for interest rate models / term structure modelling?
There is a huge literature modelling the yield curve. For instance, the affine term structure literature, both in continuous and in discrete time, has many models with different factors, models that h …
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Why do we have *daily* series of T-bill yields?
I understand that each week the US Treasury issues new T-bills at different maturities (1-month, 3-months, 1-year, etc). As far as I understand, this issuance happens every Tuesday. After the auction, …