This video is amazing suddenly I undestood a lot of books about this
@alliwant83833 жыл бұрын
Superb explanation. Simple and clear. Thank you!
@FabianMoa3 жыл бұрын
Glad it was helpful!
@秋様的成长日记4 жыл бұрын
this video is amazing, it suddenly came to my mind what is "no arbitrage", thanks
@mauro60153 жыл бұрын
Thanks, it best. Come on CFA 2
@MrJassu24 жыл бұрын
Thanks for the explanation in 1 single simple vdo...
@FabianMoa4 жыл бұрын
You're most welcome, Jasdeep
@ayoolaoladotun32464 жыл бұрын
Great Video Fabian. Please can you describe how to work out the spot rate from par rate. I see the description but I need to see the work out. Looking forward to your response
@FabianMoa4 жыл бұрын
Hi Ayoola, from minute 03:00 onwards, I showed the workings. Might I ask what work out you're asking about?
@ayoolaoladotun32464 жыл бұрын
Fabian Moa Thanks Fabian.... I eventually got the logic. I was looking for a smarter way to derive the spot rate using TVM on my calculator and avoid solving quadratic equations
@MURILAOBONITAO3 жыл бұрын
Great content Fabian, thanks for sharing and all the best on your business!
@FabianMoa3 жыл бұрын
My pleasure!
@alikhalifa1988 Жыл бұрын
Superb explanation.
@paulinechiu74623 жыл бұрын
best explanation ever! thank you so much
@FabianMoa3 жыл бұрын
You're welcome!
@EduardoGallizzi11 ай бұрын
Hi, Fabian. Do you have a fully online CFA L3 program? I'm not in Malaysia/Singapore.
@johnnywong9652 Жыл бұрын
very concise
@Anna-mj6hp3 жыл бұрын
Really well explained! Thanks :)
@kartikshetty31352 жыл бұрын
What is the conceptual interpretation of par rates? Also, why is the spot rate higher than par rate? Refer 3.01 m - here why is the first year coupon rate discounted at 4%, shouldn't it be at the 2year spot rate?
@grantkasser95993 жыл бұрын
for spot rate for (S2) I am getting 4.97% can someone please help. Thank you!
@FabianMoa3 жыл бұрын
Continuing from the workings in the video: 1.052/(1 + S(2))^2 = 1 - 0.052/1.04 1.052/(1 + S(2))^2 = 0.95 S(2) = [1.052/0.95]^(1/2) - 1 = 5.2316%
@grantkasser95993 жыл бұрын
thank you so much!!
@Bobstaaar3 жыл бұрын
@@FabianMoa This was very helpful!
@sajadahmad3333 жыл бұрын
Hi, Might be a dumb question but the bootstrapping looked like you are deriving par rates from spot rates not otherwise.
@FabianMoa3 жыл бұрын
Really? It is actually deriving the spot rates from the par rates
@Jean-JacquesSimonis7 ай бұрын
How can I bootstrap in excel, while doing it efficiently as a have a large data set where I have to calculate about 120 periods of spot rates?
@FabianMoa7 ай бұрын
VBA would be a more efficient way of doing it.
@FRESHENDEAVOUR3 жыл бұрын
Thanks for this video - where did you get the par value from?
@FabianMoa3 жыл бұрын
It's arbitrary. You can use any value you want, such as $100 or 1000 or 500
@FRESHENDEAVOUR3 жыл бұрын
@@FabianMoa thank you!
@FRESHENDEAVOUR3 жыл бұрын
@@FabianMoa please could I also ask how you would / should compute this in Excel? e.g. how to set it out re bootstrapping?
@FabianMoa3 жыл бұрын
kzbin.info/www/bejne/j3KXfqqBZ7yCqrc Watch from 04:20
@谭婉芳2 жыл бұрын
hi! Is the spot rate the same as zero-coupon rate?
@FabianMoa2 жыл бұрын
Yes, the spot rate is also called the zero coupon bond yield
@clem22483 жыл бұрын
Thanks :) It helped me a lot
@FabianMoa3 жыл бұрын
Glad to hear that!
@ericgregorious70472 жыл бұрын
Is there a quick way to solve the Spot rate? Cos it seems to me like trial and error?
@ericgregorious70472 жыл бұрын
Never mind I am being an idiot
@ricardoromeroescobar46312 жыл бұрын
Thanks a lot for the simple explanation. Question, how can i compute the two-year forward rate starting from 1 and 2 year from now? if i have the spot rate today s2= 5.2316% the procedure is the same as in f1?
@FabianMoa2 жыл бұрын
To get the 2-yr forward rate starting 1 year from now, you would need the * 1 year spot rate, S1 * 3 year spot rate, S3 f(1,2) = ((1+S3)^3)/(1+S1))^(1/2) - 1 To get the 2-yr forward rate starting 2 year from now, you would need the * 2 year spot rate, S2 * 4 year spot rate, S4 f(2,2) = ((1+S4)^4)/(1+S2)^2)^(1/2) - 1
@ricardoromeroescobar46312 жыл бұрын
@@FabianMoa Thx a lot
@makiolo2 жыл бұрын
Is same forward rate and par rate ? Both start in future date ...
@FabianMoa2 жыл бұрын
Nope. Forward rate starts at a future date. Par rate starts today, just like spot rate
@Ale.A933 жыл бұрын
Hey Fabian, do you know how to calculate the last exercise (using spot rates) in HP12c? My problem is with inserting different rates to find the pv
@FabianMoa3 жыл бұрын
Hi Alexandre, I'm not proficient with HP12c, can't help there. Sorry
@johnlin85883 жыл бұрын
why dont we need to discount the forward rate to today since it's in the future? eg. at 5:56, the forward rate is 6.4778% - does this not need to be discounted by 4% to get the forward rate in today's/pV terms when buying/selling the bond future?
@FabianMoa3 жыл бұрын
No need to do that. If you are going to buy the bond forward at T = 1, so you just need to know the 1yr fwd rate in 1 year, which is 6.4878%. That means a $1 in Year 2 discounted back by 1 year at 6.4778%, or $1/1.064778 = $0.9392 (in Year 1). That is the price you will lock in today (T = 0) to pay in Year 1, if you enter into a 1 year forward contract
@johnlin85883 жыл бұрын
@@FabianMoa thanks for the explanation. Does this mean that the current 2Y spot rate will also be 6.4778% in 1 year's time (roll down the curve) if the curve does not change (i.e. interest rates remain the same?)
@yyman91003 жыл бұрын
Hey Fabian, thanks for sharing such a nice video! Like the idea of timeline - i was like die die memorizing it previously 😂
@FabianMoa3 жыл бұрын
Ya. It's easier with the timeline
@Жанна-л7р Жыл бұрын
спасибо большое за объяснение👍👍👍
@s.m.hassan38873 жыл бұрын
i m confused with when we should compound rates ??
@FabianMoa3 жыл бұрын
If they use general terms like yield or effective rates, use compounding. If they use LIBOR for eg, use simple interest
@riteshbhagat4176 Жыл бұрын
It was a feeble explanation and I didn't understand the how the 0.052/1.04 came in there and how did you do it and also the further explanation