tuckman

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...

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...

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...

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...

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...

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

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...

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...

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...

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

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...

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...

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...

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...

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...

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...

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...