CFA Level 2 | Fixed Income: Bootstrapping Spot Rates from Par Rates & No-Arbitrage Valuation

CFA Level 2 Topic: Fixed Income Learning Module: The Term Structure and Interest Rate Dynamics Par rates are the yield to maturities of government bonds that are newly issued (on the run), where the YTM is equals to the coupon rate (i.e. price is equals to par). Through the bootstrapping process, we can extract the spot rates from the par rates. The spot rates (or zero-coupon yields) can then be used to calculate the forward rates, or we can use it to calculate the no-arbitrage value of a risk-free bond. Visit www.noesis.edu.sg/programme/cfa for more information on CFA Program prep courses offered by Noesis.