Sumários

Market Yield Curve Estimation and Present Value Sensitivity

17 Setembro 2026, 08:00 • TIAGO MARQUES FARDILHA

Market Yield Curve Estimation by replicating a set of existing bonds for all points in time that interest us. Example using R. Yield curve estimation using "bootstrap".


Present Value Sensitivity: Definition of derivative of the PV with respect to a uniform shift in the entire yield curve, and of Duration and Sensitivity as consequences of that definition and the Taylor expansion.

Interest Rate Management: Bonds

10 Setembro 2026, 08:00 • TIAGO MARQUES FARDILHA

Yields of zero-coupon bonds. Forward rates. Annual compounding vs. continuous compounding. Bonds. Bond yields. R lab: computing bond yields.

Introduction to ALM

3 Setembro 2026, 08:00 • TIAGO MARQUES FARDILHA

Definition of ALM, its stakeholders, characteristics and motivation.

Introduction to basic interest rate theory: yield of a zero-coupon bond. Examples of yield curves plots for several countries using R.