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Home › Lectures › Interest rates 3: Bootstrapping the interest-rate term structure
- Market quotes of deposit rates, IR futures, and swaps
- Need for a consistent interest-rate curve
- Instantaneous forward rate
- Interest-rate term structure built using multiple rates
- Bootstrapping quoted deposit, futures, and swap rates
- Foreign-exchange forward contract
- Sensitivities of interest-rate portfolios (DV01)
- Hedging portfolio interest-rate risk
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