### 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.

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.

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

I have posted the last assignment.

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.

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.

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.

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);

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