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  1. 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...
  2. David Harper CFA FRM

    Fresh quiz of Tuckman's (Chapter 7) Term Structure Case

    In the discussion associated with our T5-40 question at old https://www.bionicturtle.com/forum/threads/l2-t5-40-replicating-callable-bond-tuckman.3551/post-78646 @Sixcarbs asked for a fresh situation (same mechanics but simply with different but coherent numbers). Here is what I've come up with...
  3. 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...
  4. Nicole Seaman

    P1.T4.912. Key rate exposure technique in multi-factor hedging applications (Tuckman Ch.5)

    Learning objectives: Define, calculate, and interpret key rate ’01 and key rate duration. Describe the key rate exposure technique in multi-factor hedging applications; summarize its advantages and disadvantages. Calculate the key rate exposures for a given security, and compute the appropriate...
  5. A

    DRIFT MODEL: Underlying Logic of Formula for Random Simulated Process

    Hi David, I am currently studying Tuckman, Art of TSM : Drift chapter in the Part 2 Syllabus. While taking a look at the spreadsheet you have prepared, I happened to come across the formula for dw in your random simulated process for MODEL 1. The formula for the same was...
  6. R

    Tuckman Chapter 9 : Term Structure of Volatility

    In "The Art of Term Structure Models : Drift" Tuckman mentions regarding term structure of volatility that: "The term structure of volatility in Model 1 is constant at 113 basis points." He also mentions that the Model 2 and the Ho-Lee, both do not change the term structure of volatility...
  7. C

    Tuckman, Chapter 6: Empirical Approaches to Risk Metrics and Hedging

    Hi, What is intuition behind the negative sign before the notional amounts? In calculations we seem to disregard the negative? Thank you
  8. U

    Barbell and Bullet Strategy- Chapter 4 Tuckman

    Hi @David Harper CFA FRM , May I ask why when manager believes that rates will be especially volatile, barbell portfolio would be preferred over bullet portfolio? As I know that barbell portfolio has greater convexity? then it means that price changes will be larger. But if thats the case, the...
  9. Nicole Seaman

    P2.T5.705. Tuckman's term structure models

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  10. N

    Example Tuckman 2011, page 156, Compute Key-Rate 01...

    Hello everyone I watched David Harper's videos on Key Rate 01, but he uses spot rates, not par rates like in the example of Tuckman. I have problems understanding that example, maybe someone is kind enough to enlighten me a little? 1. Why are par rates used as key rates and not spot rates? Is...
  11. Rohit

    Tuckman - Mortgages and MBS

    Is there a video tutorial available for this topic? also its exam relevance ?
  12. T

    Carry-roll-down, realized forwards and unchanged term structure -Not able to understand the timeline

    Hi David Can you please explain the realized forward concept by a timeline diagram. I am unable to understand the solution given in Tuckman Practise Question 317.1 and 317.2. I am unable to deduce the timeline correctly. I have already looked at the posts related to this topic in the forum and...
  13. Nicole Seaman

    P1.T3.511. Prepayment modeling and Monte Carlo simulation (Tuckman)

    Learning outcomes: Explain prepayment modeling and its four components: refinancing, turnover, defaults, and curtailments. Describe the steps in valuing an MBS using Monte Carlo Simulation. Define Option Adjusted Spread (OAS), and explain its challenges and its uses. Questions: 511.1...
  14. Nicole Seaman

    P1.T3.510. Dollar roll (Tuckman)

    Learning outcome: Describe a dollar roll transaction and how to value a dollar roll. Questions: 510.1. Consider an investor who wants to finance the purchase of a mortgage pool over a one month period. One alternative is to sell an MBS repo, in which case the investor could sell the pool...
  15. Nicole Seaman

    P1.T3.501. Mortgage-backed Securities (Tuckman)

    Learning outcomes: Describe the mortgage prepayment option and the factors that influence prepayments. Summarize the securitization process of mortgage backed securities (MBS), particularly formation of mortgage pools including specific pools and TBAs. Calculate weighted average coupon, weighted...
  16. Nicole Seaman

    P2.T7.513. Repurchase agreements (repos, Tuckman)

    Learning outcomes: Describe the mechanics of repurchase agreements (repos)and calculate the settlement for a repo transaction. Explain common motivations for entering into repos, including their use in cash management and liquidity management. Questions: 513.1. At initiation of a repurchase...
  17. Fran

    P1.T4.316. Tuckman's yield to maturity (YTM)

    AIMs: Define, interpret, and apply a bond’s yield-to-maturity (YTM) to bond pricing. Compute a bond's YTM given a bond structure and price. Explain the relationship between spot rates and YTM. Calculate the price of an annuity and a perpetuity. Questions: 316.1. Assume the following 2-year...
  18. P

    How to derive forward interest rates from spot rates (Hull vs Tuckman)

    Hi! I'm confused about forward interest rate calculation, Hull (ch 4) uses RF=(R2T2-R1T1)/(T2-T1), Tuckman (ch 2) instead computes from formula (1+r(0,2)/2)^4=(1+r(0,1.5)/2)^3+(1+f(1.5,2.0)/2)^1. I'm sure the answer is just here but I can't see... Is it about compounding? Should I memorize both...