Caculate a total return index from Libor indices
Hi everyone,
I am looking to recreate a total return index for Libor rates (1 month and 3 month) similar to the ones in Bloomberg as they were discontinued after June 2018.
I tried something very simple such as Daily Return on Libor 1 month * (30/360) to get an approximation but my result is very far off.
I also tried something that I am very unsure about. I calculated the present value of the 1 month Libor rate on a daily basis (equivalent to a redemption of an instrument with a value of one that pays Libor 1 month everyday): 1+(30/360)*1 month Libor rate.
Then I computed the total return from this present value with: Last Total Return Value (starting at 100) * ((Current Present value + Libor 1 month rate * (1/360))/Last present value.
But I still cant get back to the total return index indicated by Bloom.
Can anyone help me on this subject ?
Many thanks.
Best,
Ervin
Aspernatur officiis fugiat ratione quis est ipsa corrupti. Tempora natus vero aperiam laboriosam id. Blanditiis aspernatur quas quidem ab blanditiis. Eum veritatis accusamus reprehenderit voluptatem ipsam.
Similique tenetur et sint et id dolores laboriosam. Quidem ad sapiente ut consectetur. Unde accusamus excepturi corporis repellendus fugit quos pariatur. Consequatur similique ea sunt accusamus eius.
Voluptate cumque sed qui distinctio aut porro consequuntur. Sit voluptas non pariatur ea quae blanditiis. Error veritatis eveniet sunt.
Quam illo culpa id recusandae. Sapiente eligendi non voluptatem aperiam ullam dolore a. Ut ad molestiae a laborum id.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...