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  1. Nicole Seaman

    P1.T4.902. Swap rates versus spot rates (Tuckman Ch. 2)

    Learning objectives: Calculate and interpret the impact of different compounding frequencies on a bond’s value. Calculate discount factors given interest rate swap rates. Compute spot rates given discount factors. Questions: 902.1. Analyst Patricia is analyzing the following four bonds: Bond...
  2. S

    Relation between compounding frequency and day count conventions??

    Hi David, Generally when we use different compounding frequencies what day counting convention is used there? ( I.e. when we just say talk about compounding and not day count conventions)..... And in T- bills , Eurodollar etc... Where different day count convention are used... We say for...
  3. Nicole Seaman

    P1.T3.712. Interest rate fundamentals (Hull Chapter 4)

    Learning objectives: Describe Treasury rates, LIBOR, and repo rates, and explain what is meant by the “risk-free” rate. Calculate the value of an investment using different compounding frequencies. Convert interest rates based on different compounding frequencies. Questions: 712.1. Interest...
  4. P

    How to derive forward interest rates from spot rates (Hull vs Tuckman)

    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...
  5. W

    LIBOR, day count convention and compunding frequency

    Hi David, In your notes, you say that LIBOR is quoted on an actual/360 basis. But when using the LIBOR rate as a proxy for the spot rate it is continuously compounding. Doesn't actual/360 imply simple interest (no compunding)? I just do not see how these two methodologies are compatible...