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    Concept about price return of futures contract

    Hi all, I would like to understand the relationship between price return and the term structure of futures conteact. I understand that contango is associated with negative roll return while positive roll return with backwardation. How is the price return related to contango and backwardation ...
  2. Nicole Seaman

    P2.T8.20.9. Monitoring liquidity (Castagna Ch.6)

    Learning objectives: Distinguish between deterministic and stochastic cash flows and provide examples of each. Describe and provide examples of liquidity options and explain the impact of liquidity options on a bank’s liquidity position and its liquidity management process. Define liquidity...
  3. Nicole Seaman

    YouTube T5-08: Convexity and risk premium impacts on shape of term structure

    In this video, I'm going to try to illustrate all of the important ideas that are in Tuckman's Chapter 8: The Evolution of Short Rates and the Shape of the Term Structure. This chapter discusses the shape of the term structure and the key influences on the shape of the spot rate term structure...
  4. Nicole Seaman

    YouTube T4-30: Fixed Income: Term Structure Scenarios

    Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The three basic term structure scenarios are: 1. Realized Forwards; 2. Unchanged Term Structure, and 3. Unchanged Yields. Realized Forwards implicitly assumes...
  5. Nicole Seaman

    P1.T4.905. Gross versus net bond returns, bond spread and bond yield (Tuckman Ch. 3)

    Learning objectives: Distinguish between gross and net realized returns, and calculate the realized return for a bond over a holding period including reinvestments. Define and interpret the spread of a bond, and explain how a spread is derived from a bond price and a term structure of rates...
  6. S

    Tuckman Ch9 -Shape of Term structure

    hi, Why the shape of term structure is downward sloping for model 1 though middle node is recombining in rate tree?
  7. Nicole Seaman

    P1.T3.715. Par yield, convexity and term structure theories (Hull Chapter 4)

    Learning objectives: Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates. Compare and contrast the major theories of the term structure of interest rates Questions: 715.1. Consider the following continuously compounded zero (spot) rate curve...