Case Studies and Practical Examples

1. Case Study: Curve stripping. Stripping the curve, using different instruments as appropriate, to discover discount factors.
2. Case Study: Curve fitting. Fitting the curve with Svensson 94.
3. Practical Example: Bond maths – duration, convexity, convexity + other terms. Duration, convexity for simple yield changes
4. Case Study: hedging a bond in a rising yield environment – why the starting point is important. Examples of the recent period of rising rates and falling bond values, with examples of successful hedging practices.
5. Practical Example: Examples of curve ‘predictions’ and results. ‘Feather’ chart illustrations
6. Case Study: PCA on the US and EU swap curves, looking at different periods
7. Case Study: PCA vs duration weighting for steepener and barbell trades.  Why PCA weighting is better.
8. Practical Example: Cross-currency trading; locking in profit with the EUR-USD xccy basis
9. Case Study: volatility cutout on carry trade. Carry trades in all currencies, different parts of curve.  How to improve carry trade performance with volatility cutouts and risk management.