ep11: Yield curves - par curves, spot curves, bootstrapping...simple explanation

[@DubbieLuv]

Possibly the best explanation I've come across. The clarification about curves having to be constructed from the same credit quality cleared up a lot of my confusion. Thank you!

[@puneettyagi1122]

R p there shifts eye idtgr rtfduerg Greg 8

[@SiddharthKumar-zu8ln]

Thanks Matt, i would say that this is possibly the best explanation of yield curves available online

[@neelsavla6373]

i love you! first time i've ever said this to anyone! helps so much!

[@e-antan7162]

Hi Matt, I don't ever comment on videos but this was extremely insightful and useful. Would love to see the follow up on US treasury spot curve and implied forward curves

[@enlin5201]

Man you save my butt, gonna have exam next week I have searched through all the tutorials and none of them help

[@syl0614]

Very clear explanation on how the par curve constructs and its application...very helpful. Thanks!

[@sauravmishra2010]

A very intuitive explanation- excellent very lucid 👏

[@MichaelHolder24]

So what is the name of the first curve you plotted? It isn't the spot curve. It isn't the par curve. So what is it?

[@alternatywnetestyinsidera8868]

Great video. I cannot find however the follow up concerning forward rates

[@eijo19]

This is a great video, thanks! Just want to know if you have ever published the video regarding the topic of the US Treasury spot curve construction which you mentioned at the end of this video? Thanks again.

[@ivankakaufman4094]

Thank you, Matt, great explanation!

[@etenat8772]

awesome explanation of bootstrapping

[@sgiuly16]

I have 2 questions: Which is the best method to calculate the spot curve between using the analytical bonds starting with a ZCB and then find the other spot rates actualizing the cash flows of a cupon bond and than make it equal to the market price; and usign the method based on the Yield Curve? And if you calculate the Yield Curve with a regression and you want to find the spot curve, which cash flows do you use? I'm thinking about real life with a lot of bonds without a precise residual duration like 0,5 or 1 or 2, but for example 0,471 and 1,987 and so on. Thank you.

[@ruthT0329]

Would you consider continuing this series? In the last episode you were going to talk about more details of the yield curve. It’s totally ok if you have other plans. Just want to say the videos are really easy to follow and helped me a lot!!

[@MattThomasLondon]

Hi - that's good to hear. Is there anything specific you think would be worth covering? Still planning out what to do to be honest - any inputs very welcome!

[@Hawkeeye747]

​@@MattThomasLondon would like to learn more about yield curves especially the nelson siegel svensson model.

[@swapnildeshmukh5016]

@@MattThomasLondon can you help to cover how MBS/CMO instruments are priced? Is there Clean and dirty price concept applicable for CMO/MBS instruments ?

[@jinnzhu768]

Thanks for the great lecture! The video list seems reverse, could please make it sort by eps, thanks

[@РоманГайдаенко-г3в]

Please, make next episode for forwards rates and how they connected and the practical usage. Material is Great. Thanks a lot

[@ImranAhmad-lx5cf]

Did you create episode 12?

[@davidharun8232]

You first said that you need the spot rates to calcualte the YTM. Then you go on and say "where do we get the spot rate curve from? From the yield to maturity!". It like the chicken-egg dilemma. Which one gives which one? And then you dont really specify which variable (out of PV, spot rate and YTM )is the one we are trying to calculate.

[@volatilityclustering5706]

When you derive yield from market price, you have so many bonds with different coupons for the same maturity. So what is the yield that we see on yield curve ? Is it based on a singe bond or a groupof bonds ?

[@vp922]

U can run a regression with the different bonds’ YTMs and maturities and get a line of best fit (your yield curve)

[@SzTz100]

Nice job explaining this

[@leo91maniac]

really good explaination..Thank you

[@paveljavornik7020]

Many thanks for this video Matt!! It is very helpful. At the end of your video you are mentioning the implied forward curve. Is any of your videos explaining its construction and usage? I could not find it among the videos. Many thanks!

[@gracege3836]

how is it the same as you deposit money in the bank? your deposit earns compounded interest over a period of time, which means u actually investing the interest paid to u into the same accout as u will be earning interest on interst.but for bond coupons, u can not reinvest it back.

[@MattThomasLondon]

Grace Ge which part of the video are you referring to exactly? You are right to say that in reality you can't assume anything about what rate you have reinvest coupon payments and as you say, they are not simply added to the bond principal. But the yield to maturity makes an assumption (which is why many people have reservations about it) let me know the time of the clip that you are confused about and I will elaborate

[@mswoonc]

thanks for the upload man

[@MattThomasLondon]

You're welcome - you don't seem to have enjoyed it much based on your following comments :) - let me check to see if there's some confusion in there that needs clearing up

[@thenormallifeoflibin2585]

who else here during COVID and got worried when he said sore throat?

[@syl0614]

wish I​ can give the thump up multiple times... finally get the bootstrapping process.

[@ingirkatrin90]

Thanks!

[@keithgee2345]

horrible