What's new

upward-sloping

  1. I

    Evolution of short term interest rates (Construction of Tree in case of upward sloping curve)

    I have a question related to the evolution of short term interest rates, in case of upward sloping curve i.e. r0,1 is 10% and E(r1,2) is 12% and E(r2,3) is 14% and volatility around the expectation of interest rates is 200bps. How would you construct the tree, what would be the values at t=1 for...
  2. T

    Bond prices and forward rate

    Hi guys, I came across something on the textbook and found it very off. The statement: In the case of an upward-sloping term structure, there will be a tendency for the forward rate to be higher than the coupon so that bond price rises. Is this statement correct? Thanks in advance.
  3. M

    Gregory: CVA

    A question about CVA: Why is it that CVA is lower for upward-sloping credit spread curves and higher for downward-sloping credit spread curves? Intuitively, as the CDS spreads increase, credit quality of the counter party worsens and so we should charge more to compensate for this increased...
Top