term-structure

Learning Objectives: Describe the principal components analysis and explain its use in understanding term structure movements. Calculate the KR01s of a portfolio given a set of key rates. Apply key rate analysis and principal components analysis to estimating portfolio volatility. Questions...

Hello David, I have a question under Topic Term Structure Science under that LOS- Arbitrage pricing of derivatives over multiple periods. Page 23 i am unable to follow the attached eq, how do we calculate bond value of P(1,1) and P (1,0) for given risk neutral probabilities. In exam will we be...

Learning objectives: Derive forward interest rates from a set of spot rates. Derive the value of the cash flows from a forward rate agreement (FRA). Calculate zero-coupon rates using the bootstrap method. Compare and contrast the major theories of the term structure of interest rates...

Hi all, I would like to understand the relationship between price return and the term structure of futures conteact. I understand that contango is associated with negative roll return while positive roll return with backwardation. How is the price return related to contango and backwardation ...

Learning objectives: Distinguish between deterministic and stochastic cash flows and provide examples of each. Describe and provide examples of liquidity options and explain the impact of liquidity options on a bank’s liquidity position and its liquidity management process. Define liquidity...

In this video, I'm going to try to illustrate all of the important ideas that are in Tuckman's Chapter 8: The Evolution of Short Rates and the Shape of the Term Structure. This chapter discusses the shape of the term structure and the key influences on the shape of the spot rate term structure...

Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The three basic term structure scenarios are: 1. Realized Forwards; 2. Unchanged Term Structure, and 3. Unchanged Yields. Realized Forwards implicitly assumes...

Learning objectives: Distinguish between gross and net realized returns, and calculate the realized return for a bond over a holding period including reinvestments. Define and interpret the spread of a bond, and explain how a spread is derived from a bond price and a term structure of rates...

hi, Why the shape of term structure is downward sloping for model 1 though middle node is recombining in rate tree?

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...