fixed-income

A comprehensive quantitative analysis of the fixed-income market transition from bear to bull territory. Master macroeconomic stall speed indicators, yield curve dynamics, term premium decomposition, the neutral rate (r*) framework, credit spread analysis via OAS, and technical quantitative metrics to identify structural market turning points. 📊 Deep Research 🎥 Watch Video: https://youtu.be/kTu…

A practical, worked-example guide to constructing a zero-coupon yield curve by bootstrapping - from deposits and futures to swaps, with a Python implementation.

A rigorous guide to duration and convexity - Macaulay duration, modified duration, dollar duration, DV01, and convexity - with derivations, worked examples and Python code.

Monetary policymakers closely monitor the term structure of sovereign bond yields to uncover market participants’ beliefs about the future monetary policy stance, inflation, and activity. A particular object of interest is the natural real rate of return, or “r-star,” which acts as a guide for monetary policy decisions. Numerous papers have questioned how much information investors possess, and h…