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