Term Structure Of Interest Rates

Front 1

What is a Bond?

Back 1

6

Front 2

What is STRIPS?

Back 2

7

Front 3

What is TIPS?

Back 3

7

Front 4

Bonds with different maturities?

Back 4

7

Front 5

Def Money market

Back 5

8

Front 6

Repurchase agreemements?

Back 6

9

Front 7

Rapo rate

Back 7

9

Front 8

Discount factor

Back 8

10

Front 9

What Can you Day abort DF?

Back 9

10

Front 10

Price of a zero-coupon bond

Back 10

12

Front 11

Price of a coupon bearing Bond

Back 11

12

Front 12

Replicating portfolio

Back 12

21-22

Front 13

Relation between discount Factor and term structure

Back 13

23-25

Front 14

What is the rate from the discount Factor given continiously compounded rates?

How do we derive it?

Back 14

26

Front 15

Forward discount factors

Forward rates

And given

Back 15

27

Front 16

Par rates

Eq

Back 16

28

Front 17

Annuity factor

Back 17

28-29

Front 18

Yield to maturity

Back 18

30

Front 19

YTM eq

Back 19

30

Front 20

Coupon versus YTM

Back 20

31

Front 21

Can we Call YTM the return og the Bond og held to maturity?

Back 21

32

Front 22

Holding period return

Back 22

33

Front 23

Holding period return eq

Back 23

33

Front 24

Accured interests

Back 24

34

Front 25

Calculate AI

Back 25

35

Front 26

Flat versus full Price

Back 26

35

Front 27

Why quote flat NOT full?

Back 27

36

Front 28

Day-count conventions

Back 28

37

Front 29

Floating rate bonds

Back 29

38

Front 30

Value at reset days?

Back 30

38

Front 31

Pricing floating rate bonds

Back 31

39

Front 32

How does the average US termstructure looks like?

Back 32

40

Front 33

Eq of linear yield interpolation

Back 33

52

Front 34

When we use LYI Can we get the discount function?

Back 34

55

Front 35

What if we fix lampda?

Back 35

57

Front 36

What method do we use with Nelson-Siegel?

Back 36

59

Front 37

Can lampdabe negative?

Back 37

59

Front 38

Nelson-Siegel-Svensson model

Back 38

62