- CFA Exams
- 2021 Level I
- Study Session 14. Fixed Income (1)
- Reading 44. Introduction to Fixed-Income Valuation
- Subject 4. Matrix Pricing
Why should I choose AnalystNotes?
Simply put: AnalystNotes offers the best value and the best product available to help you pass your exams.
Subject 4. Matrix Pricing PDF Download
Most bonds don't trade on a daily basis. Usually only the most recent large issues have the greatest liquidity and pricing ability. There is rarely a consensus on the exact value of an individual bond.
Matrix pricing is the practice of interpolating among values for similar instruments arranged in a matrix format.
- It attempts to categorize bonds with similar features (e.g., type of issuer, credit rating, coupon, maturity, etc.) and apply a general yield level to the entire category of bonds. Typically a required yield over the benchmark rate is estimated.
- It then calculates the approximate price of a specific bond within a category using the derived yield level.
- It represents an educated guess and not an actual offer or trade price.
Learning Outcome Statementse. describe matrix pricing;
CFA® 2021 Level I Curriculum, , Volume 5, Reading 44
User Contributed Comments 0
You need to log in first to add your comment.
I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
My Own Flashcard
No flashcard found. Add a private flashcard for the subject.