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Learning Outcome Statements PDF Download
|1. The Forward Rate Model|
a. describe relationships among spot rates, forward rates, yield to maturity, expected and realized returns on bonds, and the shape of the yield curve;
|2. Yield to Maturity|
b. describe the forward pricing and forward rate models and calculate forward and spot prices and rates using those models;
|3. Yield Curve Movement, Forward Curve and Rolling Down the Yield Curve|
c.describe how zero-coupon rates (spot rates) may be obtained from the par curve by bootstrapping;
d. describe the assumptions concerning the evolution of spot rates in relation to forward rates implicit in active bond portfolio management;
e. describe the strategy of riding the yield curve;
|4. The Swap Curve (LIBOR Curve)|
f. explain the swap rate curve and why and how market participants use it in valuation;
g. calculate and interpret the swap spread for a given maturity;
h. describe the Z-spread;
i. describe the TED and Libor-OIS spreads;
|5. Traditional Theories of the Term Structure of Interest Rates|
j. explain traditional theories of the term structure of interest rates and describe the implications of each theory for forward rates and the shape of the yield curve;
|6. Modern Term Structure Models|
k. describe modern term structure models and how they are used;
|7. Yield Curve Factor Models|
l. explain how a bond's exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks;
m. explain the maturity structure of yield volatilities and their effect on price volatility.