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Short Rate Dynamics: A Fed Funds and SOFR perspective
Erik Schlögl / Karol Gellert
fixed income / interest ratesResource overview

Short Rate Dynamics: A Fed Funds and SOFR perspective

Paper2021

by Erik Schlögl, Karol Gellert

Tags
fixed incomeinterest ratesmodel calibrationterm structure models

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Suggested foundations for rates and fixed income and optimisation and numerical methods. 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.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

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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.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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Explore Fixed Income and Interest-Rate Models Explore Linear Algebra, Optimisation and Numerical Methods

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