Tags » Term Structure

VIX Historical Term Structure

Trading volatility is particularly interesting these days: it is back and easy to buy using ETFs such as VXX or TVIX.
But these instruments are not following the VIX index directly. 98 more words


[FM] Term structure of interest rates

In a previous post we introduced the notion of the term structure of interest rates. Here we try and understand the shape of the term structure. 1,725 more words

Teaching: FM

[FM] Bonds - II: Yield to maturity and bootstrapping

Till we began our discussion on bond markets, we had been working with the following pricing equation with a constant rate of interest, :

But clearly, in the real world we just don’t have one interest rate, but as a  802 more words

Teaching: FM

Government spending news and the term structure of interest rates

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2014. The project is a required component of every master program. 192 more words

Master Projects