Part I · Foundations and fixed income¶

The first block of the course: valuing portfolios and option payoffs, then the core of fixed income, from discount factors and duration to building a yield curve out of swap rates.

Topic	Exercise	Course no.
Portfolios	Portfolio value under scenarios and Monte Carlo VaR	31
	Expected return and variance of an equally weighted portfolio	32
Options	Payoffs of option strategies	39
Cash flows	Discount factors, present value and duration	44–45
	Value of a cash flow stream over time	46
	Net present value and duration of a set of bonds	47–48
	Present value of an annuity	49
	Loan amortization: French and Italian schedules	50–52
Yield curve	Present value on a parametric yield curve	53
	Yields of zero-coupon bonds	54
	Spot and forward rates from zero-coupon prices	55–56
	Internal rate of return	57
	Bootstrapping discount factors from swap rates	58–59
	Spot and forward curve from interest rate swaps	60