FixedIncome2025
Contents:
1. Yield Curve and Its 6 Representations
2. Overview of Rates
3. U.S. Treasuries
4. Duration and Convexity
5. Curve Interpolation
6. Delta Ladder
7. Midterm Exam
8. PCA
10. Interest Rate Futures
11. Interest Rate Swaps (IRS)
12. SOFR Yield Curve Construction
14. Volatility and IR Options
Semester Project:
PCA Hedge
Appendices:
A. Treasury Yield Curve Construction
B. Approximating PDEs by System of ODEs
C. Tips on Interview Preparation
D. Python Environment Setup
E. Finite Difference Method
F. MPCA Vega Hedge
G. Trapping Rain Water: Recursive Decomposition
H. Rates Volatility Modeling: An Overview
FixedIncome2025
Index
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Index