About the Book
Power through the mathematics of interest and term structure the actuarial way-without fluff. This dense, 33-chapter, problem-driven textbook turns theory into practice and practice into mastery, chapter by chapter. Every topic moves from rigorous derivation to exam-style multiple choice questions to fully worked Python code demonstrations you can run today.
What you'll be able to do
Value any deterministic cash flow-level, deferred, graduated, or continuous-with exact timing and compounding.
Build and stress-test amortization schedules; compute IRR, horizon yields, and realized returns under reinvestment assumptions.
Compute duration, convexity, key-rate exposures, and construct hedges or cash-flow matches that actually immunize.
Bootstrap and fit yield curves (OIS vs. forwarding), handle negative rates, and reconcile quotes across instruments.
Price and analyze bonds, FRNs, FRAs, futures, swaps, and options on rates; find CTD and hedge with duration-based ratios.
Model inflation-linked and defaultable cash flows; connect CDS spreads, hazards, and recovery to risky PVs.
Work with short-rate (Vasicek/CIR/Hull-White), HJM, and market models; compute PV random variables and sensitivities under stochastic interest.
Apply valuation bases for insurance liabilities, use commutation functions efficiently, and implement robust numerical methods.
Who this is for
Actuarial students and professionals who want a tight, exam-ready and practice-ready reference.
Fixed-income and treasury practitioners seeking a principled, code-backed approach to rates and curve construction.
Quant-minded learners who prefer proofs, problem sets, and reproducible Python implementations over hand-waving.
Inside each chapter
Concise theory with worked examples
Multiple choice questions with full explanations
Complete Python code demonstrations: valuation routines, curve bootstraps, hedging calculators, rate tree builders, Monte Carlo engines, and more
Topics you'll cover end-to-end
Accumulation/discount, annuities, gradients, and continuous cash flows
Amortization, sinking funds, refinancing, and capital budgeting
Bond pricing, yield conventions, price-yield dynamics, and realized returns
Duration/convexity, immunization, key-rate hedging, and dispersion control
Term structure: discount factors, spot/forward rates, bootstrapping, and parametric/spline fits
Short-term instruments and day-count conventions
Inflation, credit risk, CDS-bond relations, expected loss and spreads
Forwards, futures, swaps, CTD, and basis risk
Embedded options, OAS, mortgages, prepayments, and negative convexity
Stochastic discounting, short-rate and forward-rate models, LIBOR Market Model
Liability valuation bases, commutation functions, and numerical implementation
Ready to turn mastery into momentum?
Start now. Work the theory. Prove it on questions. Lock it in with code.
Build career-making fluency in interest theory and financial mathematics today.
