• Убераем из них премию за срочность - как историческую среднюю разницу между свопами на срок t и реализованную среднюю RUONIA. Если не убрать эту премию, то будем хронически завышать "риск-нейтральные" ожидания по ставке
• Получаем премию около 0.03 процентных пунктов за 1 мес срока свопа
• Оцениваем параметры формулы Нельсона-Зигеля для кривой доходности свопов и досчитываем из нее форвардую кривую - т.е. ожидаемую траекторию RUONIA
• Убераем из них премию за срочность - как историческую среднюю разницу между свопами на срок t и реализованную среднюю RUONIA. Если не убрать эту премию, то будем хронически завышать "риск-нейтральные" ожидания по ставке
• Получаем премию около 0.03 процентных пунктов за 1 мес срока свопа
• Оцениваем параметры формулы Нельсона-Зигеля для кривой доходности свопов и досчитываем из нее форвардую кривую - т.е. ожидаемую траекторию RUONIA
The S&P 500 fell 1.3% to 4,204.36, and the Dow Jones Industrial Average was down 0.7% to 32,943.33. The Dow posted a fifth straight weekly loss — its longest losing streak since 2019. The Nasdaq Composite tumbled 2.2% to 12,843.81. Though all three indexes opened in the green, stocks took a turn after a new report showed U.S. consumer sentiment deteriorated more than expected in early March as consumers' inflation expectations soared to the highest since 1981. The news also helped traders look past another report showing decades-high inflation and shake off some of the volatility from recent sessions. The Bureau of Labor Statistics' February Consumer Price Index (CPI) this week showed another surge in prices even before Russia escalated its attacks in Ukraine. The headline CPI — soaring 7.9% over last year — underscored the sticky inflationary pressures reverberating across the U.S. economy, with everything from groceries to rents and airline fares getting more expensive for everyday consumers. Telegram, which does little policing of its content, has also became a hub for Russian propaganda and misinformation. Many pro-Kremlin channels have become popular, alongside accounts of journalists and other independent observers. In addition, Telegram now supports the use of third-party streaming tools like OBS Studio and XSplit to broadcast live video, allowing users to add overlays and multi-screen layouts for a more professional look. In view of this, the regulator has cautioned investors not to rely on such investment tips / advice received through social media platforms. It has also said investors should exercise utmost caution while taking investment decisions while dealing in the securities market.
from ru
