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Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction
Jherek Healy
fixed incomeResource overview

Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction

Paper2020

by Jherek Healy

Tags
fixed income

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

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  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

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