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:

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

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

• 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