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Estimating and Interpreting Zero Coupon and Forward Rates

Estimating and Interpreting Zero Coupon and Forward Rates
Author: Petko S. Kalev
Publisher:
Total Pages: 59
Release: 2008
Genre:
ISBN:

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This paper presents estimates of zero coupon yield curve of Australian treasuries. Pure discount bonds and implied forward rates, although not available for the entire yield curve, are extremely useful for pricing, modelling and analyzing financial securities, hence, the need to extract the theoretical yield curve from noisy prices observed in the market place. Two popular models for curve fitting: the Nelson-Siegel and Svensson model, together with two specifications are adopted for estimating zero coupon and forward yield rates. The six parameter Svensson's model outperforms the more parsimonious Nelson-Siegel four parameter functional form. A structural break is detected in the zero coupon time series in the test period.


Estimating and Interpreting Forward Interest Rates

Estimating and Interpreting Forward Interest Rates
Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
Total Pages: 76
Release: 1994-09-01
Genre: Business & Economics
ISBN: 1451853750

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The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.


Estimating and Interpreting the Yield Curve

Estimating and Interpreting the Yield Curve
Author: Nicola Anderson
Publisher:
Total Pages: 248
Release: 1996-06-04
Genre: Business & Economics
ISBN:

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A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.


Analysing and Interpreting the Yield Curve

Analysing and Interpreting the Yield Curve
Author: Moorad Choudhry
Publisher: John Wiley & Sons
Total Pages: 384
Release: 2019-04-15
Genre: Business & Economics
ISBN: 1119141060

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Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.


Interpreting Currency Movements During the Crisis

Interpreting Currency Movements During the Crisis
Author: Mr.Thomas Dowling
Publisher: International Monetary Fund
Total Pages: 46
Release: 2011-01-01
Genre: Business & Economics
ISBN: 1455212520

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Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade.


Estimation of the Zero Coupon Swap Yield Curve

Estimation of the Zero Coupon Swap Yield Curve
Author: Srichander Ramaswamy
Publisher:
Total Pages: 0
Release: 2005
Genre:
ISBN:

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The term structure of interest rates plays a central role in the valuation, pricing and management of interest rate dependent securities. In this paper I focus on the application of the B-Spline methodology to construct zero coupon and forward rate curves for the swap market. By allowing the placements of the knot points for the B-splines to be part of the optimisation process it is possible to construct smooth zero coupon curves that do not violate the bid-ask constraints of the market rates/prices observed.


On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States
Author: International Monetary Fund
Publisher: International Monetary Fund
Total Pages: 64
Release: 2010-11-01
Genre: Business & Economics
ISBN: 1455209589

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This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.


Fixed Income Markets

Fixed Income Markets
Author: Moorad Choudhry
Publisher: John Wiley & Sons
Total Pages: 716
Release: 2011-12-14
Genre: Business & Economics
ISBN: 1118179587

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This book is a comprehensive and in-depth account of the global debt capital markets. It covers a wide range of instruments and their applications, including derivative instruments. Highlights of the book include: Detailed description of the main products in use in the fixed income markets today, including analysis and valuation Summary of market conventions and trading practices Extensive coverage of associated derivatives including futures, swaps, options and credit derivatives Writing style aimed at a worldwide target audience An overview of trading and investment strategy. The contents will be invaluable reading for anyone with an interest in debt capital markets, especially investors, traders, bond salespersons, risk managers and banking consultants.


CFA Program Curriculum 2017 Level II, Volumes 1 - 6

CFA Program Curriculum 2017 Level II, Volumes 1 - 6
Author: CFA Institute
Publisher: John Wiley & Sons
Total Pages: 3163
Release: 2016-08-01
Genre: Business & Economics
ISBN: 1119315743

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Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2017 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.


CFA 2012 Notes Level 1 Part 2

CFA 2012 Notes Level 1 Part 2
Author: T Smith
Publisher: T.SMITH
Total Pages: 200
Release:
Genre:
ISBN:

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The author successfully passed the CFA (Chartered Financial Analyst), CPA (Certified Public Accountant), and FRM (Financial Risk Manager) exams "WITHOUT ANY RETAKES". Based on a true experience, the author also wrote how to pass the CFA exams after studying for two weeks.