Chapter 16. Properties of Interest Rates Study Notes contain 30 pages covering the following learning objectives:
* Describe Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR), and repo rates and explain what is meant by the “risk-free” rate.
* Calculate the value of an investment using different compounding frequencies.
* Convert interest rates based on different compounding frequencies.
* Calculate the theoretical price of a bond using spot rates.
* Calculate the Macaulay duration, modified duration, and dollar duration of a bond.
* Evaluate the limitations of duration and explain how convexity addresses some of them.
* Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates.
* Derive forward interest rates from a set of spot rates.
* Derive the value of the cash flows from a forward rate agreement (FRA).
* Calculate zero-coupon rates using the bootstrap method.
* Compare and contrast the major theories of the term structure of interest rates.
After reviewing the notes, you will be able to apply what you learned with practice questions.Shop Courses