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Bond Math and Pricing
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Module 3
Yield Curve Construction: Bootstrapping
1
Bootstrapping the Spot Rate Curve
Explain the bootstrapping methodology for extracting a spot rate curve from a set of coupon-bearing bonds.
2
Deriving Spot Rates from the Par Curve
Perform a step-by-step derivation of spot rates from a par-yield curve.
3
Bootstrapping Spot Rates in Python
Implement the bootstrapping algorithm in Python to build a discrete spot rate curve from market bond data.
4
Bootstrapping Bonds with Variable Coupon Frequencies
Adjust the bootstrapping logic to correctly handle bonds with varying coupon payment frequencies.
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The Term Structure: Spot and Forward Rates
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Advanced Curve Construction: Interpolation Techniques