Properties of Interest Rates (FRM Part 1 2023 – Book 3 – Chapter 16)
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2 سال پیش
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After completing this reading, you should be able to:
- Describe Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR) and repo rates and explain what is meant by the “risk-free” rate.
- Calculate the value of an investment using different compounding frequencies.
- Convert interest rates based on different compounding frequencies.
- Calculate the theoretical price of a bond using spot rates.
- Calculate the Macaulay duration, modified duration and dollar duration of a bond.
- Evaluate the limitations of duration and explain how convexity addresses some of them.
- Calculate the change in a bond’s price given its duration, its convexity and a change in interest rates.
- Derive forward interest rates from a set of spot rates.
- Derive the value of the cash flows from a forward rate agreement (FRA).
- Calculate zero-coupon rates using the bootstrap method.
- Compare and contrast the major theories of the term structure of interest rates.
AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams
After completing this reading, you should be able to:
- Describe Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR) and repo rates and explain what is meant by the “risk-free” rate.
- Calculate the value of an investment using different compounding frequencies.
- Convert interest rates based on different compounding frequencies.
- Calculate the theoretical price of a bond using spot rates.
- Calculate the Macaulay duration, modified duration and dollar duration of a bond.
- Evaluate the limitations of duration and explain how convexity addresses some of them.
- Calculate the change in a bond’s price given its duration, its convexity and a change in interest rates.
- Derive forward interest rates from a set of spot rates.
- Derive the value of the cash flows from a forward rate agreement (FRA).
- Calculate zero-coupon rates using the bootstrap method.
- Compare and contrast the major theories of the term structure of interest rates.
2 سال پیش
در تاریخ 1401/06/16 منتشر شده
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