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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

    YouTube T3-13: Par yields are swap rates

    The par yield is the coupon rate that prices a bond to par. It is also effectively the swap rate. David's XLS is here: https://trtl.bz/2HPIDMX