O.D. Lecturing Legacy
  • Essentials of bond pricing (.pptx, 0.44 MB)

    Straight bond. Diversities  in bond contracts. Underlying principles of pricing.  Discounting conventions. Clean and full price. Price-yield relationship. Price-maturity relationship. Yield to maturity. Other yield measures.

  • Analysis of yield curve (.pptx, 0.38 MB)

    Concept of yield curve. Zero yield curve. Bootstrapping. Synthesization. Forward rates. Implied zero forward rates. Synthetic forward rates. Properties of implied forward rates. Pricing of floaters. Inflation-linked bond. Par yield curve.

  • Measuring market and credit risk (.pptx, 0.32 MB)

    Investment risks from holding bonds (interest rate risk, credit risk, reinvestment risk, inflation risk,liquidity risk, call risk). Macaulay and modified duration. Properties of duration. Immunisation rule. Limitations of immunisation. Convexity. Credit rating and credit spread. Credit yield curves.   Risk neutral probabilities of default. Historical probabilities of default.

  • Mortgages (.pptx, 0.35 MB)

    Level-payment mortgage (annuity formula, decomposition of the regular instalment, payment calendar). Prepayments. Traditional mortgage and inflation (tilt effect, affordability problem). Graduated-payment mortgage. Foreign-currency mortgage. Securitization with mortgages (agency deals, private-label deals, sequential and subordination pay structures).

  • Money market instruments (.pptx, 0.37 MB)

    Money market vs. capital market instruments (day/year conventions, annual vs. periodic interest rates). Time deposit (effective and simple return, short-term yield curve, linear interpolation). Certificate of deposit (holding period yield). Treasury bill (discount, bond-equivalent yield). Sale and repurchase agreement (arrangement of repo, legal vs. economic treatment, haircut, funding purchase of bonds, leveraging bond portfolio, major tool of moneatry policy),

  • Interest rate swap (.pptx, 0.23 MB)

    Coupon swap. Speculative trades (risk taking and risk transforming strategies). Arbitrage trades (liability and asset arbitrage swap). New-issues arbitrage. Hedging trades. Warehousing coupon swap (warehousing with bonds and interest rate futures). Valuation of coupon swap (swap rates, swap curve). Basis swap. Esoteric interest rate swaps.

  • Forward rate agreement (.pptx, 0.40 MB)

    Main features of FRA contract. FRA formula. Applications of FRA contracts (speculative and hedging trades). FRA strip (construction, pricing). Price links with coupon swaps. Price links with interest rate futures. Futures-linked FRA. Interpolated FRA.

  • Currency and equity swap (.pptx, 0.25 MB)

    Exchange rate conventions. Discounts and premiums. Covered interest parity. Outright forward. Forward swap. Currency coupon swap (hedged borrowing, hedged investment, new-issues arbitrage, warehousing). Valuation of currency swaps. Equity swap (fixed and variable notional principal amount). Swaption.

  • Credit derivatives (.pptx, 0.33 MB)

    Basic properties and benefits. Credit default swap (description, applications, pricing, analogy with insurance). Total return swap (description, applications, analogy with leasing). Credit options (credit level and credit spread call and put options). Credit forward. Credit link notes (descriptions, examples). Collateralized debt obligations.

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