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Paper / 2023SMQ / 149162879214445
An effective interest rate cap: a clarification
Mikhail V. Sokolov
interest ratesResource overview

An effective interest rate cap: a clarification

Paper2023

by Mikhail V. Sokolov

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interest rates

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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