The Term Structure and Interest Rate Dynamics
Free CFA Level II lesson in Fixed Income. 12 min read, ~1,836 words.
Swap rate curve preferred over government curve: supply-independent, institutionally liquid, key credit benchmark. Forward rate identity: (1 + z(long))^long = (1 + z(short))^short x (1 + f)^gap. Riding the yield curve captures rolldown return, only works if the curve stays stable. Key rate duration decomposes sensitivity by maturity point. Sum...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- term structure
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