Task: Yield Curve Bootstrapping, Key Rate Durations, and Portfolio Immunization
Task: Yield Curve Bootstrapping, Key Rate Durations, and Portfolio Immunization: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Bootstrap a zero-coupon discount curve from US Treasury par yields, compute full bond analytics (price, YTM, duration, convexity, key…
The task
Bootstrap a zero-coupon discount curve from US Treasury par yields, compute full bond analytics (price, YTM, duration, convexity, key rate durations), immunize a liability cash-flow schedule against interest rate moves, and stress-test the immunized portfolio under three yield curve scenarios.
Part of codeslord/skilltrainbench-public.