1. K

    GARP T3 Chapter 16 Question 16.16

    Question 16.16: The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5% (all measured with semi-annual compounding) respectively. What is the two-year par yield for a bond paying coupons every six months? For the par yield, I keep getting 6.41%, and A= 3.7465...
  2. R

    Key rates defined in terms of par yields infer the hedge position

    Hi David On page 170 of VRM, GARP says that when key rates are defined in terms of par yields, one can immediately calculate the position necessary to hedge a portfolio once the exposure of the portfolio to the key rates are calculated. I think I am struggling to see why all the changes in...
  3. E

    Par Yield theory

    So I searched the forum and couldn't find an answer to this, which obviously does not mean I didn't miss it. I found one of your videos in a link that describes it as a Par Yield Coupon, which makes a whole lot more sense to me. You usually use discount factors of .5, 1, 1.5, and 2. I am...
  4. 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...