• Spreadsheet showing bootstrapping the yield curve; also spot and forward rates.

• Problem Set.
• Key to this Problem Set.
• Quiz from 2017 on this material.
• Key to this Quiz.

• Class spreadsheet with the use of repo to finance and short STRIPS.
• Problem set on the use of repo to finance and short STRIPS.
  • Key to problem set on the use of repo to finance and short STRIPS.

• Overview of US Treasury Auctions
  • Notes on the on-the-run premium and repo specialness
  • Spreadsheet with the May 2019 auction for the May 2029 Note.
• Treasury Site Containing Auction and buy-back results.
• On-the-run premium
• Repo and securities lending
  Reference Guide to U.S. Repo and Securities Lending Markets,'' by Viktoria Baklanova, Adam Copeland, and Rebecca McGaughrin. Federal Reserve Bank of New York Staff Report No. 740, December 2015.
  • SIFMA Repo Market Fact Sheet: 2018.
  • Spreadsheet with demonstration of repo financing and short-selling (securities lending).
  • Problem Set.
    • Key to Problem Set.
  • Notes demonstrating repo financing of STRIPS (since in-class quizzes will generally feature STRIPS).
  • Old Quiz on repos, specials -- #5 is an example question with STRIPS.
    • Key to that old quiz.
  • Spreadsheet example of the ``Long Term Capital Trade'' to capture the On-the-Run Premium.
  • Problem Set.
    • Key to Problem Set.

• Part I. Background:
  • Spreadsheet on forward discount factors, forward rates, and Swaps.
  • Problem set on forwards and swaps.
    • Key to problem set
• Part II. Convergence Trade:
  • PiVe case Spreadsheet.
    • PIMCO Viewpoint on the effect of Basel III Supplemental Leverage Ratio regulation on Repo activity.
      • sifma Primer for the world of Fixed Income, July 2018.
      • sifma bond chart
  • Problem Set.
    • Key to Problem Set.

• The mathematics of duration.
• Examples
• Additional Concepts:
  • DV01
    • DV01 of a plain vanilla interest rate swap
  • Dollar duration
  • Convexity (second derivative elasticity of price wrt yield).
• Problem set on duration
  • Key to problem set.
• Old quiz on this material.
  • Old quiz key.

• Floating Rate Notes (Floaters)
• Valuation and duration of Inverse Floaters
• Problem set on inverse floaters.
  • Key to problem set on inverse floaters.
• Problem Set 2 on inverse floaters.
  • Key to Problem Set 2 on inverse floaters.

• Base Case: parallel shifts in flat yield curve
  • Monte Carlo
  • VBA
  • Spreadsheet with relevant VBA Code
• Problem set on dynamic duration hedging of an annuity.
  • Key to Problem set on dynamic duration hedging of an annuity.
• Problem set on basic VBA coding.
• Discussion of the base model and its shortcomings.
• Problem set for second quiz on this material.
  • Partial key to this problem set.

• Factor Duration
• Introduction to the Vasicek model.
• Problem set for Quiz 11 -- introduction to the Vasicek model.
  • Key to Question 9 from this problem set.
• Discussion of the Vasicek model with risk, and factor duration, plus Quiz prep questions.
• Dynamic hedging with the Vasicek model.
• Quiz 12, 2019.
• Problem set for Quiz 13 -- Use of the 1-factor Vasicek model to dynamically hedge the annuity.
• 2019 Quiz 13.
  • Key to Question 2 from this quiz.

• Factor Duration
• Dynamic hedging with the Vasicek model.
• Notes and Problem set for Quiz 14 -- Use of the 2-factor Vasicek model to dynamically hedge the annuity.

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