Level 3: Interest rates and swaps
Compounding, discounting future payments, zero rates from bond prices, what an interest-rate or currency swap is worth, and why swaps can help both sides.
- Compounding
- Converting a rate between compounding frequencies
- Pricing a bond with zero rates
- Zero rates from bond prices
- Forward rates from zero rates
- The value of an FRA
- Swap payments
- The value of a swap
- Valuing swaps between payment dates
- Comparative advantage and the gain from a swap
- Mixed practice: all ten skills