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
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© Copyright 2025, Prof. Scott Chiu, Rutgers Business School.

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