Fixed Income & Options Math · Pricing
Fixed Income Math
Price any bond as a sum of discounted cash flows, solve for yield to maturity, and measure interest-rate risk with Macaulay and modified duration plus convexity, built and checked step by step in a spreadsheet-style example.
Step 1 of 6 · Overview40 min read ·
Key idea
Prereqs: Time value of money; Bond prices & yields; Duration & DV01 (Markets). Next: Options payoffs & binomial trees. Follows Fabozzi's *Bond Markets, Analysis and Strategies*, CFA Level I Fixed Income and MIT 15.401.Next: 1. Pricing