fixed-income-securities

  1. Nicole Seaman

    P1.T4.24.13. Interest Rate Models, DV01 Calculation, and Hedging implications

    Learning Objectives: Describe a one-factor interest rate model and identify common examples of interest rate factors. Calculate the DV01, duration, and convexity of a portfolio of fixed-income securities. Describe an example of hedging based on effective duration and convexity. Questions...
  2. David Harper CFA FRM

    P2.T5.23.2. Multi-period interest rate trees

    Learning objectives: Explain how the principles of arbitrage pricing of derivatives on fixed-income securities can be extended over multiple periods. Define option-adjusted spread (OAS) and apply it to security pricing. Describe the rationale behind the use of recombining trees in option...
  3. Nicole Seaman

    P2.T5.22.9. VaR Mapping

    Learning objectives: Explain the principles underlying VaR mapping and describe the mapping process. Explain and demonstrate how the mapping process captures general and specific risks. Differentiate among the three methods of mapping portfolios of fixed income securities. Summarize how to map a...
  4. Nicole Seaman

    YouTube T5-07: Risk-neutral probabilities

    One of the harder ideas in fixed income is risk-neutral probabilities. In this video, I'd like to specifically illustrate, and define, what we mean by risk-neutral probabilities. I will do this in three steps. The first one is just a simple example of a coin toss, where my objective is to...
  5. Nicole Seaman

    P1.T4.908. Interest rate factors and the DV01-based hedge (Tuckman Ch.4)

    Learning objectives: Describe an interest rate factor and identify common examples of interest rate factors. Define and compute the DV01 of a fixed income security given a change in yield and the resulting change in price. Calculate the face amount of bonds required to hedge an option position...
  6. 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...
  7. Nicole Seaman

    P2.T5.715. Fixed-income portfolio mapping approaches (principal, duration, and cash-flow) (Jorion)

    Learning objective: Differentiate among the three methods of mapping portfolios of fixed income securities. Questions: 715.1. Consider a $200.00 million portfolio that is equally allocated between two bonds: the first bond pays a 5.0% annual coupon and matures in five years; the second bond...
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