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Paper / 2005SMQ / 41361427392658
Modeling Bond Yields in Finance and Macroeconomics
Francis X. Diebold / Glenn D. Rudebusch / Monika Piazzesi
fixed income / interest ratesResource overview

Modeling Bond Yields in Finance and Macroeconomics

Paper2005

by Francis X. Diebold, Glenn D. Rudebusch, Monika Piazzesi

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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