swap-rates
-
YouTube T4-25: Fixed Income: Infer discount factors, spot, forwards and par rates from swap rate curve
Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 2, Spot, Forward and Par Rates). Given the swap rate curve, we can infer the discount function (i.e., set of discount factors), spot rate curve, forward rate curve and par yield curve.- Nicole Seaman
- Thread
- discount-factors fixed-income forward-rate-curve par-rates par-yield-curve par-yields spot-rate-curve swap-rates
- Replies: 2
- Forum: P1.T4. Valuation & Risk Models
-
YouTube T3-13: Par yields are swap rates
The par yield is the coupon rate that prices a bond to par. It is also effectively the swap rate. David's XLS is here: https://www.dropbox.com/scl/fi/2rkhb429xiqdyadel6x7c/050218-par-yield.xlsx- Nicole Seaman
- Thread
- par-yields swap-rates
- Replies: 5
- Forum: P1.T3 Financial Markets & Products
-
P1.T4.902. Swap rates versus spot rates (Tuckman Ch. 2)
Learning objectives: Calculate and interpret the impact of different compounding frequencies on a bond’s value. Calculate discount factors given interest rate swap rates. Compute spot rates given discount factors. Questions: 902.1. Analyst Patricia is analyzing the following four bonds: Bond...- Nicole Seaman
- Thread
- compounding-frequencies discount-factors spot-rates swap-rates
- Replies: 0
- Forum: FRM® Practice Questions