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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