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replicating-portfolio

  1. A

    Replicating Portfolio, Tuckman Table 1.5

    Hi David - I have a question about Tuckman, Chapter 1 - Prices, Discount Factors and Arbitrage, Table 1.5 Replicating Portfolio. This may sound stupid but I wanted to understand the logic behind the calculation of the face amount of the 3 bonds. I have access to your sample spreadsheet so I...
  2. Nicole Seaman

    P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1)

    Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...
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