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Time Value of Money and Cash Products

Discounting, compounding, yield-curve bootstrapping, duration and PVBP — the foundations every rates desk builds on.
Time Value of Money
Understood literally this means the value of a dollar erodes because of inflation and with passage of time.
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1: Time Value of Money & Power of Compounding
Understood literally this means the value of a dollar erodes because of inflation and with passage of time.
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2: Bootstrapping of Yield Curves – Par, Zero, Forward
Par curve is the spot interest rate curve for coupon bearing instruments as traded in the market,…
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3: Duration & Convexity
Duration quite literally is the average time taken to receive the promised cash flows on a financial instrument.
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4: Duration and PVBP for a Floating Rate Bond
It’s important to cover this base too, as for floating rate bonds if we apply the ‘time taken to receive the promised cash flow’…
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5: Money Market and Cash Bonds
let’s begin with the most basic building block of the fixed income cash market that would become the foundation of derivative instruments ahead.
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6: Foreign Exchange & Interest Rate Parity
Spot denotes the price of currency A in terms of currency B settled typically T+2. Any contract with non-standard settlement…
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