bootstrap/spot/forward rates

[puneet_]

Hi

May I kindly check if exam questions related to finding spot rates/forward rates/boot strapping is using continues compounding or discrete/semi annual?

would appreciate your experience to get answer

regards
Puneet

 

[ShaktiRathore]

hi,
please visit:
https://forum.bionicturtle.com/threads/forward-rates.9404/#post-40837
https://forum.bionicturtle.com/thre...-pricing-with-binomial-methods.601/#post-2282
thanks

 

[Rohit]

Hi,

Is bootstrapping spot rates from T Bond Prices an AIM in level 1 ?

 

[David Harper CFA FRM]

Hi @Rohit Although the exact word "bootstrap" with respect to bond prices does not appear in the P1 LOs/AIMs, it my opinion, yes bootstrapping spot rates is clearly part of the conceptual syllabus, arguably in both Hull (Chapter 4) and Tuckman's Part one. Thanks,

 

[Rohit]

Thanks @David Harper CFA FRM