Lecture Slides: Focuses on applications with Brazilian fixed income instruments

CDS Pricing: Excel worksheet that explains the pricing of a CDS contract, both with a simple numerical example and with the ISDA Model

fixinc: GitHub repository with python code that accompanies the course

Datasets:

• Zero Curves:

  • DI Curve Monthly Maturities: DI futures curve interpolated with monthly maturities

• Return Indexes:

  • DI1 Returns: Excess return indexes for constant-duration Brazilian DI Futures portfolios

  • NTN-B Returns: Total return indexes for constant-duration Brazilian inflation indexed bonds

  • DDI Returns: Excess return indexes for constant-duration Brazilian "Cupom Cambial" portfolios

  • FRC Returns: Excess return indexes for constant-duration Brazilian "FRA de Cupom" portfolios