[R-SIG-Finance] Interest rate
megh700004 at yahoo.com
Mon Jul 19 15:34:20 CEST 2010
Well, 2nd one is Ask or LIBOR right (as it is less because if I am a Bank then always my offered interest rate should be less)? Can you please validate that?
--- On Mon, 7/19/10, Scott Hixon <scott_hixon at me.com> wrote:
> From: Scott Hixon <scott_hixon at me.com>
> Subject: Re: [R-SIG-Finance] Interest rate
> To: "Megh Dal" <megh700004 at yahoo.com>
> Date: Monday, July 19, 2010, 6:40 PM
> Likely the bid and ask figures.
> Sent from my iPhone
> On Jul 19, 2010, at 9:04 AM, Megh Dal <megh700004 at yahoo.com>
> > Dear all, I need to price some derivatives therefore
> need the risk free interest rate. Anyways I decided, I will
> take 1-month LIBOR reported on FT. From this site "http://markets.ft.com/ft/markets/researchArchive.asp?report=OINT&cat=BR"
> if I select "Choose a Category -->> Bonds & rate"
> and "Choose a Report -->> International money market
> rate", for the date july-01, 2010 I get Interest rate quote
> as "0.46 - 0.24"
> > Here my question is what is the meaning of this pair
> of numbers? Are they LIBID & LIBOR (smaller one is
> LIBOR) respectively?
> > So for pricing derivative should I take "0.24%" after
> converting it cont. compounded? Or should I take average of
> those 2 numbers?
> > Your help will be highly appreciated.
> > Thanks and regards,
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