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  1. Nicole Seaman

    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.
  2. Nicole Seaman

    P1.T4.903. Spot, forward and par rates (Tuckman Ch. 2)

    Learning objectives: Interpret the forward rate, and compute forward rates given spot rates. Define par rate and describe the equation for the par rate of a bond. Interpret the relationship between spot, forward, and par rates. Questions: 903.1. Assume the following discount function (note...