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  1. Nicole Seaman

    YouTube T1-6 What is bootstrap historical simulation?

    The key idea of Boostrap HS is "sampling with replacement:" we randomly retrieve ACTUAL daily returns and use them to simulate forward. Here is David's XLS: http://trtl.bz/2yzTYPM
  2. Nicole Seaman

    P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4)

    Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 710.1. Betty is trying to decide between basic historical simulation (HS) and bootstrap historic...
  3. Nicole Seaman

    P1.T3.722. Using the swap rate to bootstrap the forward rate and basic interest rate swap valuation

    Learning objectives: Explain the mechanics of a plain vanilla interest rate swap and compute its cash flows ... Calculate the value of a plain vanilla interest rate swap based on two simultaneous bond positions. Calculate the value of a plain vanilla interest rate swap from a sequence of forward...
  4. L

    Help [Bootstrapping]

    I am so sorry to bother you but I really need help. Note: I am new to bonds, interest rates, forward rates .. etc. In many examples ( for instance in Hull's book) I see something like this: TTM Coupon Price 0.25 0 97.5 0.50 0 94.9 1.00 0...