Rates and Swaps

Zero rates, forward rates, bootstrapping, interest rate swaps, swap valuation and an introduction to XVA.

What this track covers

1. 01
   Bond pricing fundamentals
   Cashflows discounted, every time.
   10 min
2. 02
   Zero rates & the spot curve
   The riskless curve, anchored at every tenor.
   12 min
3. 03
   Forward rates
   Implied rates for tomorrow, derived from today.
   11 min
4. 04
   Interest rate swaps
   Fixed for floating, indexed to a reference rate.
   11 min
5. 05
   Swap valuation
   Two bonds in disguise, discounted, netted, priced.
   13 min
6. 06
   XVA, briefly
   Credit, funding and capital adjustments to the textbook price.
   10 min
7. Quiz
   Quiz · Rates check
   10 questions on bond pricing, zero/forward rates, swaps and XVA.
   8 min

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