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Paper / 2024SMQ / 244867285025587
Term structure shapes and their consistent dynamics in the Svensson family
Felix Sachse / Martin Keller-Ressel
fixed income / interest ratesResource overview

Term structure shapes and their consistent dynamics in the Svensson family

Paper2024

by Felix Sachse, Martin Keller-Ressel

Tags
fixed incomeinterest ratesterm structure models

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

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  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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