Fixed income: Law of One Price (FRM T4-21)
[xls is here https://trtl.bz/2TZicOd] The Law of One Price says that only one discount factor exists at each maturity, absent confounding factors. On the first sheet, I demonstrate why "spot rate of 4.0%" is imprecise, yet "discount factors do not lie." On the second sheet, given observed bond prices, depending on the Law of One Price, I show how we can bootstrap the discount function (i.e., set of discount factors). Discuss this video here in our FRM forum: https://trtl.bz/2JVWMfG
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