Bonds and interest rates
Yields, discount curves, duration, convexity and credit spreads.
16 planned
No page in this subject is open yet. The planned list below shows what is coming, in learning order.
Planned
In learning order. These are not pages yet.
- Why bond prices fall when yields riseIntro
- How accrued interest connects clean and dirty pricesIntro
- How to bootstrap a discount curveIntro
- What duration measures when yields moveIntro
- Why a repo rate affects the cost of holding a bondAdvanced undergrad
- How forward rates connect different maturitiesAdvanced undergrad
- Why convexity improves a duration estimateAdvanced undergrad
- What key rate duration reveals about curve riskAdvanced undergrad
- What a credit spread adds to a bond's yieldAdvanced undergrad
- How bond immunization balances price and reinvestment riskAdvanced undergrad
- How a floating-rate note resets its interest paymentsAdvanced undergrad
- Why callable bonds can have negative convexityAdvanced undergrad
- Level, slope, curvature: principal components of the yield curveAdvanced undergrad
- How prepayments change mortgage bond cash flowsGraduate
- Why discounting and projection can use different curvesGraduate
- Inflation-indexed swaps: real rates, nominal rates, breakevenGraduate
How it connects
Builds on Calculus Derivatives Corporate finance Linear algebra Numerical methods Probability Computational statistics Arbitrage and risk-neutral pricing
Leads to Derivatives Interest-rate models Arbitrage and risk-neutral pricing Credit risk
Subjects marked “connection” are linked by a related idea, not by a prerequisite.