P1.T3. Financial Markets And Products Chapter 16 .

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P1.T3. Financial Markets and ProductsChapter 16. Properties of Interest RatesBionic Turtle FRM Practice QuestionsBy David Harper, CFA FRM CIPMwww.bionicturtle.com

Key Ideas According to DavidINTEREST RATES . 3FUTURES/FORWARDS (COMMODITIES) . 4INTEREST RATE FUTURES . 5SWAPS . 5OPTIONS AND OPTION TRADING STRATEGIES. 6Chapter 16. Properties of Interest RatesP1.T3.712. INTEREST RATE FUNDAMENTALS . 8P1.T3.713. SPOT AND FORWARD RATES IN BOND PRICING.11P1.T3.714. DURATION, MODIFIED DURATION AND DOLLAR DURATION .15P1.T3.715. PAR YIELD, CONVEXITY AND TERM STRUCTURE THEORIES.19P1.T3.157. RATE COMPOUNDING FREQUENCY .22P1.T3.158. BOND PRICE USING SPOT RATES .24P1.T3.159. FORWARD RATES FROM SPOT (ZERO) RATES .26P1.T3.160. VALUATION OF FORWARD RATE AGREEMENT (FRA) .28P1.T3.161. BOND DURATION & CONVEXITY .30P1.T3.162. INTEREST RATE TERM STRUCTURE THEORIES .33P1.T3.163. HULL’S INTEREST RATE DEFINITIONS .36Hull: Options, Futures & Other Derivatives– Ch.4 - EOC Q&AHULL 4.1 .38HULL 4.2 .39HULL 4.3 .39HULL 4.4 .39HULL 4.5 .40HULL 4.6 .41HULL 4.7 .42HULL 4.8 .42HULL 4.9 .42HULL 4.10 .43HULL 4.11 .43HULL 4.12 .43HULL 4.13 .44HULL 4.14 .

In collecting the three-year sample of exam-type questions, I was surprised at the high prevalence of put-call parity in the FRM. Historically, put-call parity questions are very common. (Please note this is a T3 summary and does not include discus

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