tuckman

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...

Hi David - I have a question about Tuckman, Chapter 1 - Prices, Discount Factors and Arbitrage, Table 1.5 Replicating Portfolio. This may sound stupid but I wanted to understand the logic behind the calculation of the face amount of the 3 bonds. I have access to your sample spreadsheet so I...

Hi David, I am currently studying Tuckman, Art of TSM : Drift chapter in the Part 2 Syllabus. While taking a look at the spreadsheet you have prepared, I happened to come across the formula for dw in your random simulated process for MODEL 1. The formula for the same was...

In "The Art of Term Structure Models : Drift" Tuckman mentions regarding term structure of volatility that: "The term structure of volatility in Model 1 is constant at 113 basis points." He also mentions that the Model 2 and the Ho-Lee, both do not change the term structure of volatility...

Hi, What is intuition behind the negative sign before the notional amounts? In calculations we seem to disregard the negative? Thank you

Hi @David Harper CFA FRM , May I ask why when manager believes that rates will be especially volatile, barbell portfolio would be preferred over bullet portfolio? As I know that barbell portfolio has greater convexity? then it means that price changes will be larger. But if thats the case, the...

Hello everyone I watched David Harper's videos on Key Rate 01, but he uses spot rates, not par rates like in the example of Tuckman. I have problems understanding that example, maybe someone is kind enough to enlighten me a little? 1. Why are par rates used as key rates and not spot rates? Is...

Is there a video tutorial available for this topic? also its exam relevance ?

Hi David Can you please explain the realized forward concept by a timeline diagram. I am unable to understand the solution given in Tuckman Practise Question 317.1 and 317.2. I am unable to deduce the timeline correctly. I have already looked at the posts related to this topic in the forum and...

Hi! I'm confused about forward interest rate calculation, Hull (ch 4) uses RF=(R2T2-R1T1)/(T2-T1), Tuckman (ch 2) instead computes from formula (1+r(0,2)/2)^4=(1+r(0,1.5)/2)^3+(1+f(1.5,2.0)/2)^1. I'm sure the answer is just here but I can't see... Is it about compounding? Should I memorize both...