SYLLABUS Previous: 5.4 Computer quiz
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5.5 Exercises

5.01 Yield curve modeling.


5.02 Forecasting interest rates.


5.03 Price of a collar.


5.04 Equilibrium swap rate.


5.05 Model for a coupon paying bond.


5.06 Modeling a capped bond.


5.07 Forecasting volatility.


5.08 Hull and White model for a bond.
The color coding corresponds to the expected level of difficulty:

Easy.
 The problem is a direct application of the theory in a situation of
practical interest: solutions typically combine text without formulas,
ASCII plots and parameters of the VMARKET applet without any
programming.

Moderate.
generally be solved with a short analytical derivation, a discussion
of the result, a plot parametric dependencies.

Difficult.
The problem is an extension of the material discussed in the syllabus
and requires a good command of the mathematical language, which can
be expected for university graduates from quantitative fields.
SYLLABUS Previous: 5.4 Computer quiz
Up: 5 BONDS, SWAPS AND
Next: 5.6 Further reading and