Hull, Chapter 4, Interest Rates is a 57 minute instructional video analyzing the following concepts:
- Describe Treasury Rates, LIBOR, Repo Rates, and 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.
- Derive forward interest rates from a set of spot rates.
- Derive the value of the cash flows from a forward rate agreement (FRA).
- Calculate the 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 duration, convexity, and a change in interest rates.
- Compare and contrast the major theories of the term structure of interest rates.