Fixed Income

Question 1

PV of a bond

Answer 1

Question 2

Semi annual bond

Answer 2

Question 3

No arbitrage price (pricing with spot rates)

Answer 3

Question 4

Pricing with forward rates

Answer 4

Question 5

Current yield

Answer 5

Question 6

Effective annual yield

Answer 6

Question 7

Money market yield

Answer 7

Question 8

Bond equivalent yield (BEY)

Answer 8

Question 9

What’s the z spread

Answer 9

Question 10

Macaulay duration

Answer 10

Question 11

Modified duration

Answer 11

Question 12

Duration gap

Answer 12

Question 13

Expected loss

Answer 13

Question 14

Loss given default

Answer 14

Question 16

How to work out full price

Answer 16

Question 17

How to work out accrued interest?

Answer 17

Question 18

What does a spot rate also equal

Answer 18

Holding period return

Question 19

How to calculate one year forward rate 2 years from now when we have a two year spot rate and three year spot rate?

Answer 19

Question 20

What is maculays duration? What does it show

Answer 20

Measure of weighted average time until a bonds cash flows are received. Helps investors understand a bonds sensitivity to interest rate changes

Question 21

Formula for effective convexity

Answer 21

Question 22

What is duration gap?

Answer 22

Difference between a bonds Macaulay duration and a bond holders investment horizon

Question 23

What is price value of a basis point?

Answer 23

Question 25

Duration gap

Answer 25

Question 26

How to work out approximate effective convexity?

Answer 26

Question 27

What is the formula for effective convexity?

Answer 27

Question 28

Price change estimate for bond

Answer 28

Question 29

Money duration

Answer 29

Question 30

Macaulay duration but not full formula

Answer 30

Sum of (Time x weight) of PVs