Interest Rate Derivatives
Syllabus
Lecture Notes
Rate Conversion
LIBOR Bootstrapping
Midterm Exam on March 4 (review on 2/25 online and special OHs on 3/2)
Mini Homework (new mini, due on 4/8)
HW 1: barbell trading
Midterm Review Recording
Q&A for midterm: Sunday 3/2 @ 4:30 p.m.
Get Treasuries quotes on BB. Thanks to Karandeep who gives the following instruction: "The command SECF to find any securities. SECF>Category = Fixed Income >Govt tab> apply filters for maturities, mty type, etc."
Recording 3/11 FX Swap
HW 2: Vasicek model
Ho-Lee Model (4 years)
EOM timing option (JFI, 2009)
Timing option bounds (RQFA, 2012)
w. HL (JFI, 2023)
HW 3: Quality option with HL
bonus schedule
midterm exam with answers
homework status
swpation bootstrapping
credit risk
HW 4: Swaption
homework status
Final Exam Review
