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Paper / 2003SMQ / 38112165151063
Macro factors and the Term Structure of Interest Rates
Dewachter, H.D.R. / Lyrio, M.
fixed income / interest ratesResource overview

Macro factors and the Term Structure of Interest Rates

Paper2003

by Dewachter, H.D.R., Lyrio, M.

Tags
fixed incomeinterest ratesterm structure models

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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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