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YouTube T4-25: Fixed Income: Infer discount factors, spot, forwards and par rates from swap rate curve
Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 2, Spot, Forward and Par Rates). Given the swap rate curve, we can infer the discount function (i.e., set of discount factors), spot rate curve, forward rate curve and par yield curve.- Nicole Seaman
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- discount-factors fixed-income forward-rate-curve par-rates par-yield-curve par-yields spot-rate-curve swap-rates
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- Forum: P1.T4. Valuation & Risk Models