- Joined
- 7/7/08
- Messages
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- 11
hello all,
i currently have an excel model for convertible bonds but it only takes in a single number for the risk-free rate. what is the best way to deduce this single number from the term-structure for a given bond-curve?
i'm using this to re-evaluate the bond price for various parallel shocks to the curve with the goal of obtaining VaR numbers hence my desire to not just use a ball-park figure for the risk-free rate.
i currently have an excel model for convertible bonds but it only takes in a single number for the risk-free rate. what is the best way to deduce this single number from the term-structure for a given bond-curve?
i'm using this to re-evaluate the bond price for various parallel shocks to the curve with the goal of obtaining VaR numbers hence my desire to not just use a ball-park figure for the risk-free rate.
