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Budget

Small project <800

Posted on

2012-10-16 08:38:41.0

Buyer:

Ame***

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Description

I'm looking for a MATLAB expert who can help me solve some Matlab problems: I need to calculate hedge ratios when hedging interest rate with interest futures.  Knowledge in Finance preferred.  1. bootstrapping using historical end-of-month US treasury yields from May 1990 through December 2011/ if might help if you have access to CRSP Fama-Bliss zero rate file.  2. Build hedging portfolio with US T-bond and T-note futures/ bond portfolio. 3. Obtain beta parameters from Nelson-Siegel model and Diebold/Li, Calculate the sensitivity of beta factors.  4. Solve hedging equations. I will provide you with additional equations.  Please make sure that you can finish the job within 2 weeks and don't bid unless you feel you are comfortable with the topic. Thank you!