• Spreadsheet showing bootstrapping the yield curve; also spot and forward rates.
• In class working through of bootstrapping and arbitrage.
  Study Materials:

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

  Problem Set II.

  • Key to Problem Set II.

  Data for Class on September 11, 2023.

  Data for Class on September 18, 2023.

• International Capital Market Association page on Repo This is very useful.
• 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
  ``The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates,'' by David Bowman, Joshua Louria, Matthew McCormick, and Mary-Frances Styczynski.
  • 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.
  • Latest SIFMA Repo Market Fact Sheet.
  • 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.

• Class Spreadsheet for 2020 Class 3.

• Problem Set III. Responsible for on September 25.
  • Key to Problem Set III.

• Part I. Background:
  • Introduction to floating rates notes.
  • 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.
• Shell spreadsheet for introductory lecture on forward rates, floating rate notes, and swaps.
• Complete spreadsheet for introductory lecture on forward rates, floating rate notes, and swaps.

• In class mini-case shell (bonus class on swap vs Treasury trade).

• Worked out Mini Case (as in class notes).

• Outline for our class on duration.
• Example of Duration-neutral, convexity-driven portfolios.

• 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.

• In Class Spreadsheet.

• Barbell / butterfly trade from class.

• 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.

• Class spreadsheet from November 2, 2020.

• Basics:
  • CME Group: Understanding Treasury Futures
  • CME Group: Algorithm to compute conversion factors.
  • My notes on the 10-year Treasury Note futures market.
  • Accompanying spreadsheet with the September 2020 contract on July 15, 2020.
  • Court documents with allegations against PIMCO.
  • Basis Trades and Treasury Market Liquidity, by Daniel Barth and Jay Kahn. July 16, 2020, Office of Financial Reasearch.

• Black's Model for future interest rates, caps and floors:
  • The probabilistic framework behind Black's Normal model.
  • Black's Normal Model and Bloomberg -- Macros.
  • Black's Lognormal Model

• Black Derman, and Toy Model calibrated to caplet (i.e., forward) vols.
• Black, Derman, and Toy Model.--Calibrated to Bond vols.
• A recent interview with Professor Derman: In a combined format.
• Problems and a study guide.
• Options, Caplets, Caps, Floorlets, Floors, & Collars in BDT Spreadsheet.
• Slides with Bloomberg screens on Option Valuation.
• Spreadsheet with BDT solutions and examples of a caps / floors problem.

• 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.

1-factor Vasicek model to simulate yield curve paths and evaluate the dynamic hedge.
• 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.

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