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April 8, 2009

solution to final assignment

I have posted an HTML version of my solution to the final assignment.

I hope to hand off your graded submissions next weekend when I am back in town so that Gary can turn them back on April 22.

Posted by John Dodson at 11:58 PM | | Comments (0)

April 1, 2009

typo in the assignment

Please re-load the assignment. I meant to write "forward swap rate" or "ATM swaption rate" for the first problem.

Posted by John Dodson at 6:52 PM | | Comments (0)

March 29, 2009

last assignment

I have posted the last assignment.

Posted by John Dodson at 8:03 PM | | Comments (0)

March 8, 2009

Assignment 1 solution

I have posted the solution that I presented. I will post the Mathematica code later this week and write up the derivation of the pure discount call valuation under the affine model.

Posted by John Dodson at 10:42 PM | | Comments (0)

March 1, 2009

continuous coupons

The assigment asks you to work with a bond with a continuous coupon. Formally, this means that 'tau = t'. Interest is paid in each moment 'dt' at a rate which you will determine. If you prefer to work instead with a discrete coupon payment schedule such as daily or quarterly or semi-annually, this is fine; but please be clear about your intention.

You should not assume that this is a zero-coupon bond.

Posted by John Dodson at 3:50 PM | | Comments (0)

February 20, 2009

exercises for first week of Spring module

If you are looking for an opportunity to test your understanding as we shift into fixed income derivatives, it is worth verifying two results from Wednesday's session: the swap valuation formula using the annuity factor on slide 12, and the cap/floor parity result on slide 15. We will review these briefly next week.

Posted by John Dodson at 9:57 AM | | Comments (0)

October 20, 2008

improved hint on Problem 1

If you are having MATLAB trouble with the Student-t quantile, this version will accept vectors in the first argument and converges a bit quicker by starting at the normal quantile.

Q=@(u,nu)arrayfun(@(u)fzero(@(x)u-...
    betainc((1+sign(x)./sqrt(1+nu./x.^2))/2,nu/2,nu/2),...
    sqrt(2)*erfinv(2*u-1)),u);

Posted by John Dodson at 7:53 PM | | Comments (0)

September 25, 2008

script for first Fall assignment

As requested, I have posted the Mathematica script I wrote for the solutions to the first assignment.

Posted by John Dodson at 6:07 PM | | Comments (0)