Exploring the future of financial data architecture: AI-native financial data foundation, large-scale financial data processing, and financial AI safety & governance
Tag: Interest Rates
Before getting into the CDM stuff, I want to take full credit for the suspiciously nice diagram in this post. It was hand-crafted by me (not AI)! In fact, not only for this article, I plan to create diagrams to visualise example products, ISDA CDM details, and eventually the knowledge graph around the semantic layer. … Continue reading AI-Native Financial Data Foundation (5) – One IRS Example: From Product Nature to ISDA CDM Structure
As discussed in the previous blog post, under the Uncovered Interest Rate Parity condition, the expected change in the exchange rate between two currencies should theoretically offset the interest rate differential between them. This would eliminate any opportunity for investors to profit from interest rate differentials. Fortunately, in the real world, uncovered Interest Rate Parity … Continue reading FX Carry Trade
This is the first code-less blog post in my Coding Towards CFA series. I’ve included this topic because of the importance of International Parity Conditions, which form the theoretical foundation of forex trading. These conditions are essential for gaining a deep understanding of equilibrium pricing, enabling investors to navigate the FX market more effectively. One of the main … Continue reading International Parity Conditions
The concept of "capped and floored floating-rate bonds" is covered in Section 9, Module 3 of the CFA Fixed Income curriculum. Compared to fixed-rate bonds, floating-rate bonds have distinct features that make their valuation and pricing more complex. In this blog post, I will begin by discussing the key features of floating-rate bonds and then … Continue reading Pricing Capped and Floored Floating-Rate Bonds with QuantLib
In CFA Fixed Income curriculum, module 3, section 3, "Effect of Interest Rate Volatility", the impact of interest rate volatility on the value of callable and putable bonds is explored. In this blog post, I will replicate the examples from the CFA curriculum using Python code, leveraging the QuantLib library for bond valuations, including: Effect … Continue reading Effect of Interest Rate and Volatility
The concept of Key Rate Duration is discussed in the CFA, Fixed Income, module 1, section 8, "The Maturity Structure of Yield Curve Volatilities" and module 3, section 7, "One-Sided and Key Duration". In the real world, the yield curve does not always shift in parallel. Instead, different maturities may experience varying changes in interest … Continue reading Calculate Key Rate Duration
"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 Riding the Yield Curve with QuantLib
In the previous blog post, I implemented the bootstrapping spot curve in both Python and DolphinDB. However, to boost productivity and improve reusability, it's more efficient to leverage an established quantitative library. QuantLib is a widely-used open-source library for fixed income and derivatives pricing, offering a variety of curve fitting methods and built-in bootstrapping functionality. … Continue reading Curve Fitting 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 Bootstrapping Spot Rate Curves
A swaption is an option on an interest rate swap. As previously discussed, an interest rate swap involves two parties: the fixed-rate payer (who receives the floating rate) and the fixed-rate receiver (who pays the floating rate). A swaption grants the holder the right, but not the obligation, to enter into a swap contract as … Continue reading Swaption Valuation
Data Ninjago (Financial Data Architecture) 
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