interest-rates

  1. Nicole Seaman

    P1.T3.22.30. More Interest Rate Properties

    Learning objectives: Calculate the Macaulay duration, modified duration, and dollar duration of a bond. Evaluate the limitations of duration and explain how convexity addresses some of them. Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates...
  2. Nicole Seaman

    P1.T3.22.29. Properties of Interest Rates

    Learning objectives: Describe Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR), and repo rates, and explain what is meant by the risk-free rate. Calculate the value of an investment using different compounding frequencies. Convert interest rates based on different compounding...
  3. I

    Evolution of short term interest rates (Construction of Tree in case of upward sloping curve)

    I have a question related to the evolution of short term interest rates, in case of upward sloping curve i.e. r0,1 is 10% and E(r1,2) is 12% and E(r2,3) is 14% and volatility around the expectation of interest rates is 200bps. How would you construct the tree, what would be the values at t=1 for...
  4. Nicole Seaman

    YouTube T3-08: Interest rates: compound frequencies

    The full specification of a rate is something like "discount at 8.0% per annum with annual compounding" or "compound at 8.0% per annum with continuous compounding). David's XLS is here: https://www.dropbox.com/s/dcxd8qp8xrp7big/0328-irate-compound-freq.xlsx?st=rtruoiqf&dl=0
  5. Nicole Seaman

    P1.T3.715. Par yield, convexity and term structure theories (Hull Chapter 4)

    Learning objectives: Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates. Compare and contrast the major theories of the term structure of interest rates Questions: 715.1. Consider the following continuously compounded zero (spot) rate curve...
  6. Nicole Seaman

    P1.T3.712. Interest rate fundamentals (Hull Chapter 4)

    Learning objectives: Describe Treasury rates, LIBOR, and repo rates, and explain what is meant by the “risk-free” rate. Calculate the value of an investment using different compounding frequencies. Convert interest rates based on different compounding frequencies. Questions: 712.1. Interest...
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