Review2 - Things You Should Know for Exam II Professor Fan...

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Things You Should Know for Exam II Professor Fan Yu Michigan State University March 17, 2008 Fan Yu (MSU) Things You Should Know for Exam II March 17, 2008 1 / 7
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Fixed Income Analytics Discrete compounding vs. continuous compounding (Problem 4.1). Valuing coupon bonds given zero-coupon yields (Example 1 in Lecture Note 4). Calculation of yield to maturity will not be on the test because How to bootstrap the zero-coupon yield curve from observed coupon bond prices (Problem 4.3). Computing forward rates given the zero-coupon yield curve (Problem 4.5). The value of forward rate agreements (Problem 4.6). Fan Yu (MSU) Things You Should Know for Exam II March 17, 2008 2 / 7
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Interest Rate Swaps The comparative advantage argument (Problem 7.1). for a ±oating rate bond (Problem 7.3 ² 7.10). We exploit the fact that the ±oater is priced at par when the ±oating rate resets. Valuing interest rate swap as a portfolio of forward rate
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Review2 - Things You Should Know for Exam II Professor Fan...

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