Bootstrapping Spot Rates From the Par Curve
HTML-код
- Опубликовано: 30 июл 2024
- Ryan O'Connell, CFA, FRM discusses how to bootstrap spot rates from the par rate curve.
CORRECTION: @4:23 we should be using the 2 year spot rate of 4.04%, not the 2 year par rate of 4%.
🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
► Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
📚 CFA Exam Prep Discount - AnalystPrep:
► Get 20% off CFA Level 1, 2, and 3 complete courses with promo code "RYAN20". Explore here: analystprep.com/shop/all-3-levels-of-the-cfa-exam-complete-course-by-analystprep/?ref=mgmymmr
💾 Download Free Excel File:
► Grab the file from this video here: ryanoconnellfinance.com/produ...
Chapters
0:00 - Par Curve Definition
1:11 - Bootstrap Spot Rates From Par Rates
6:06 - Bootstrapping Example in Excel
Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.C
CORRECTION: @4:23 we should be using the 2 year spot rate of 4.04%, not the 2 year par rate of 4%.
🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
► Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
📚 CFA Exam Prep Discount - AnalystPrep:
► Get 20% off CFA Level 1, 2, and 3 complete courses with promo code "RYAN20". Explore here: analystprep.com/shop/all-3-levels-of-the-cfa-exam-complete-course-by-analystprep/?ref=mgmymmr
💾 Download Free Excel File:
► Grab the file from this video here: ryanoconnellfinance.com/product/financial-modeling-excel-spreadsheet-for-bootstrapping-spot-rates/
For when we were calculating the Spot rate at t=3: Why did you discount the 2nd coupon with 4% instead of 4.04%?
Because I made a mistake 😢 4.04% was the correct rate to use. I'll update the pinned comment to reflect this. Good catch!
спасибо большое за понятное объяснение👍👍👍
About to write a final, this refresher was amazing. Explained very well
Good luck Dylan!
This is amazing. An awesome refresher. @Ryan
Thank you bro!
Happy to help!
Hahaha I always have a look at this video when revising Level 2 Fixed Income, Great Stuff!
Much appreciated and good luck on the test!
Very interesting subject. Thanks so much for sharing
Thank you for watching William! Are you a CFA candidate by chance?
Hi Ryan. At this moment, no. Maybe in the future. I like so much the Finance subject.
@@williama.rivera9414 if you're watching my videos just out of curiosity then this field might be your true calling! I'd imagine most people watch because the content is on an upcoming test. But if you're watching just for fun that is a sign you have a serious interest in this line of work in my opinion
Great video, why Spot rate is slightly higher than the par rate?
At 4:23 you should be using 4.04 not 4
Very good catch Lovekesh
@@RyanOConnellCFA why 4.04?
@@miguelravelo4523because it is the spot rate for 2 years
When the zero curve is upward-sloping, the spot rate for a particular maturity is greater
than the par yield for that maturity. When the zero curve is downward-sloping, the reverse
is true.
Can u explain why it is so 😢
Make a video on binomial interest rate and backward induction process also.
I just put out a video on Binomial Interest Rate Trees. That video can be found here: ruclips.net/video/FMxqlZu1fww/видео.html
Explain , how to hedge portfolio?
Jaya, I will be making videos covering this topic in the future
how did he get 96.08
3.92 + 104 / (1.04^2) = 96.08