Overview

One of the key elements of fixed income analysis is to take a portolio of fixed income instruments and to calculate the cash flows from those instruments. When the cash flows are uncertain, such as when pre-payment is available, or default is allowed, it is useful to use Monte Carlo Simuations to generate a series of possible scenarios in order to understand the likelihood of difference payouts.

Topics

• Simulating Credit Risk
• Simulating Interest Rates
• Simulating Pre-Payments
• Calculating Cash Flows