Interest rate
depends... you could use the midpt price or bid/offer depending on which side you are on. i'll defer to the r-sig-finance pricing dept on the merits of b/a/m for modelling though.. -c
On 07/19/2010 09:04 AM, Megh Dal wrote:
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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