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Tag: Fixed Income
The interest rate term structure models are discussed in the CFA curriculum, Fixed Income, Module 2, Section 8. This section focuses on understanding how interest rates evolve over time, with models used to explain and predict the term structure of interest rates. Modeling the future path of interest rates is critical for a wide range … Continue reading Coding towards CFA (22) – Simulating Future Interest Rates Path
The Z-spread is an important metric for analysing the yield premium on a bond. It measures the constant spread over the benchmark yield curve, typically a risk-free curve, representing the additional credit or liquidity risks associated with the bond. Key features of Z-spread Risk-free benchmark - the Z-spread is measured with a risk-free curve as … Continue reading Coding towards CFA (21) – Calculate Z-Spread with QuantLib
"Riding the Yield Curve" is the topic covered in the CFA Fixed Income, Module 1, Section 3, "Active Bond Portfolio Management". In this blog post, I will simulate the approach discussed in the CFA curriculum with the support of the QuantLib library. "Riding the Yield Curve", also known as "Rolling Down the Yield Curve", is … Continue reading Coding towards CFA (20) – Riding the Yield Curve with QuantLib
The spot curve forms the foundation for pricing fixed income securities and interest rate-related instruments. It represents the yields on zero-coupon bonds across various maturities under current market conditions. By using the spot curve to discount the cash flows generated by these securities, we can derive their prices. The other rate, such as forward rates, … Continue reading Coding towards CFA (18) – Bootstrapping Spot Rate Curves
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