TVM
Time value, rates and linear products
Discounting, bonds, forwards and swaps — the no-arbitrage groundwork options are built on.
- 1
Forwards and futures
Cost of carry, contango and backwardation, basis, and where futures genuinely differ from forwards.
- 2
Discounting
Compounding conventions, present and future value, annuities, NPV and IRR.
- 3
Bonds and rate risk
Price–yield, duration, DV01, convexity and bootstrapping a zero curve.
- 3.1Bonds: yield, duration and convexity13 min
- 4
Swaps and FX
Interest rate swaps as bond portfolios, FRAs, and covered interest parity.
- 4.1Swaps, FRAs and interest parity12 min