Swaps de taxa de câmbio: precificação do coupon

O objetivo deste artigo é demonstrar como se determina o coupon em operações de swaps de taxa de câmbio. A fim de atingir um público mais amplo e de traçar um pano de fundo para que melhor se compreendam essas operações em específico, será apresentada uma introdução à mecânica operacional do mercado de swaps. Discutiremos também quais os interesses das empresas que participam do mercado, os riscos de crédito envolvidos nessas operações e algumas considerações do ponto de vista legal e fiscal.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Online Stream Processing di Big Data su Apache Storm per Applicazioni di Instant Coupon

Big data è il termine usato per descrivere una raccolta di dati così estesa in termini di volume,velocità e varietà da richiedere tecnologie e metodi analitici specifici per l'estrazione di valori significativi. Molti sistemi sono sempre più costituiti e caratterizzati da enormi moli di dati da gestire,originati da sorgenti altamente eterogenee e con formati altamente differenziati,oltre a qualità dei dati estremamente eterogenei. Un altro requisito in questi sistemi potrebbe essere il fattore temporale: sempre più sistemi hanno bisogno di ricevere dati significativi dai Big Data il prima possibile,e sempre più spesso l’input da gestire è rappresentato da uno stream di informazioni continuo. In questo campo si inseriscono delle soluzioni specifiche per questi casi chiamati Online Stream Processing. L’obiettivo di questa tesi è di proporre un prototipo funzionante che elabori dati di Instant Coupon provenienti da diverse fonti con diversi formati e protocolli di informazioni e trasmissione e che memorizzi i dati elaborati in maniera efficiente per avere delle risposte in tempo reale. Le fonti di informazione possono essere di due tipologie: XMPP e Eddystone. Il sistema una volta ricevute le informazioni in ingresso, estrapola ed elabora codeste fino ad avere dati significativi che possono essere utilizzati da terze parti. Lo storage di questi dati è fatto su Apache Cassandra. Il problema più grosso che si è dovuto risolvere riguarda il fatto che Apache Storm non prevede il ribilanciamento delle risorse in maniera automatica, in questo caso specifico però la distribuzione dei clienti durante la giornata è molto varia e ricca di picchi. Il sistema interno di ribilanciamento sfrutta tecnologie innovative come le metriche e sulla base del throughput e della latenza esecutiva decide se aumentare/diminuire il numero di risorse o semplicemente non fare niente se le statistiche sono all’interno dei valori di soglia voluti.

Coupon bonds, and other stories.

Copyright notice on verso of t.p. dated 1871.

$80,000,000 State of Illinois general obligation college savings bonds : series of October 2002 (zero coupon bonds)

"Due: August 1, as shown below."

$101,855,028.75 State of Illinois general obligation college savings bonds : series of October 2000 (zero coupon bonds)

"New issue."

$80,000,000 State of Illinois general obligation college savings bonds : series of October 2000 (zero coupon bonds).

"Due: August 1, as shown below."

Differential effects of value consciousness and coupon proneness on consumers’ persuasion knowledge of pricing tactics

Pricing tactics persuasion knowledge (PTPK) is a relatively new concept that seeks to extend the research on persuasion knowledge to the pricing domain. Pricing tactics persuasion knowledge refers to the persuasion knowledge of consumers about marketers’ pricing tactics. Employing an acquisition–transaction utility theoretic perspective, this study examines the differential effects of value consciousness and coupon proneness on the accuracy, confidence, and calibration of consumers’ pricing tactics persuasion knowledge. The study finds that coupon proneness is negatively related to accuracy, confidence, and calibration of PTPK, while value consciousness is positively related to accuracy, confidence, and calibration of PTPK. The implications of the study are outlined.

How to Transfer a Coupon-Based Event into a Hedonic Shopping Experience? Retail Branding Implications Based on the Glamour Shopping Days

The paper examines the motivational drivers behind the participation of Hungarian consumers on a special shopping event, also known as Glamour Days. The study encompasses a variety of related conceptualizations such as hedonic/utilitarian shopping values, self-gifting as well as impulsive buying practices. After the introduction of relevant consumer behaviour concepts and theoretical frameworks, the paper presents a qualitative research on adult and adolescent female consumers’ shopping experiences during Glamour Days. By building on phenomenological methodology, this study also portrays the ways this shopping event has changed consumer society within an originally strongly utilitarian attitude driven Hungarian culture. The phenomenological interview results highlight differences within the motivational drivers of pleasure-oriented shopping for the two age groups. For teenagers, the main motivation was related to the utilitarian aspect due to their financial dependence and the special opportunity to stand out of their peer group by joining an event that is exclusively held for adult women. On the other hand, adult women are motivated by combined hedonic and utilitarian values manifested in self gifting and impulse buying within an effectively planned and managed shopping trip. Based on the results, retail specific strategies are provided along with future research directions.

Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Machine learning Gaussian short rate

Dissertação para obtenção do Grau de Doutor em Estatística e Gestão do Risco

Valuation of defaultable bonds and debt restructuring

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.

The illusion of control, the structures of prizes and the demand for football pools in Spain

Using data for all the fixtures for the seasons from 1972-73 to 2002-03, we estimate a dynamic model of demand for football pools in Spain paying attention to whether their main economic explanatory variable is the effective price of a ticket or the jackpot. Additionally, we evaluate the importance of the composition of the list of games in terms of whether First Division matches are included or not. Results show that the jackpot model is preferred to the effective price model, having important implications in terms of how the structure of the game should be changed in order to increase demand.

Deicing Salt Corrosion with and without Inhibitors, MLR-87-8, 1989

Chloride ion penetration through concrete to reinforcing steel is causing the premature deterioration of numerous bridge decks in Iowa. The purpose of the research reported in this paper was to determine whether any of several additives or alternative deicing chemicals could inhibit corrosion of reinforcing steel. The deicers tested were calcium magnesium acetate (CMA), CMA plus NaCl (NaCl: sodium chloride), Quicksalt plus PCI, and CG-90, a polyphosphate solution being developed by Cargill. Two tests were established. First, steel coupons were placed in a 15% solution of a deicer and distilled water to determine which alternative deicer would cause the least amount of corrosion in solution. The coupons were weighed periodically to determine each coupon's weight loss from corrosion. The second test involved ponding a 15% solution of each material on reinforced concrete blocks. Weekly copper-copper sulfate electrical half-cell (CSE) potential readings were taken on each block to determine whether corrosive activity was occurring at the steel surface. When the ponding research was concluded, concrete samples were taken from one of the three blocks ponded with each deicer. The samples were used to determine the chloride ion content at the level of the steel. Results show that all the deicers were less corrosive than NaCl. Only pure CMA, however, significantly inhibited the corrosion of steel embedded in concrete.