discount-factors
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P1.T4.24.12. Compounding Frequencies, Spot Rates, and Par Rates
Learning Objectives: Calculate and interpret the impact of different compounding frequencies on a bond’s value. Define spot rate and compute discount factors given spot rates. Describe a swap transaction and explain how a swap market defines par rates. Questions: 24.12.1. Given an annual...- Nicole Seaman
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- Forum: FRM® Practice Questions
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YouTube T4-25: Fixed Income: Infer discount factors, spot, forwards and par rates from swap rate curve
Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 2, Spot, Forward and Par Rates). Given the swap rate curve, we can infer the discount function (i.e., set of discount factors), spot rate curve, forward rate curve and par yield curve.- Nicole Seaman
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- discount-factors fixed-income forward-rate-curve par-rates par-yield-curve par-yields spot-rate-curve swap-rates
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- Forum: P1.T4. Valuation & Risk Models
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P1.T4.902. Swap rates versus spot rates (Tuckman Ch. 2)
Learning objectives: Calculate and interpret the impact of different compounding frequencies on a bond’s value. Calculate discount factors given interest rate swap rates. Compute spot rates given discount factors. Questions: 902.1. Analyst Patricia is analyzing the following four bonds: Bond...- Nicole Seaman
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- Forum: FRM® Practice Questions