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Bond Math and Pricing
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Module 7
Pricing Inverse Floating Rate Notes
1
Understanding Inverse Floater Mechanics and Interest Rate Leverage
Describe the cash flow structure of an inverse floater and its leveraged exposure to interest rates.
2
Replicating Inverse Floaters
Formulate the replication strategy: Inverse Floater = Fixed-Rate Bond - Floater.
3
Inverse Floater Valuation
Derive the price of an inverse floater by pricing its constituent fixed and floating-rate components.
4
Pricing Inverse Floaters with Replication in Python
Implement the replication-based pricing for an inverse floater in Python.
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Pricing Floating Rate Notes
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Interest Rate Risk: Macaulay and Modified Duration