Brady
Valuation Tutorial Index
session 1. Introduction to Stripped Yield and Sovereign Spread
Brady Market versus Traditional Bond Market
Valuing a Simple Five-Period Bond with Principal Collateral
Calculating Stripped Yield and Sovereign Spread
Class Problems
session 2. Valuing the Rolling Interest
Guaratee (RIG)
What is a rolling interest guarantee (RIG)?
Demonstrating why a rolling guarantee has more value than a fixed
guarantee
Example: five-period bond with principal collateral
and a two-period RIG
Class Problems
session 3. Introduction to Spread Duration and
Interest Rate Duration
What are spread duration and interest rate duration?
Example: calculating spread and interest rate durations on
collateralize and uncollateralized fixed-rate assets
Calculating spread and interest rate durations for a
portfolio
Using spread and interest rate durations to
calculate hedge ratios
