MFE 230I: Interactive Applets for Fixed Income Markets

Richard Stanton | UC Berkeley Haas | Spring 2026

EAR vs APR vs Continuous Compounding

Compounding conventions and the continuous limit

Spot vs Forward: Average Speed vs Current Speed

Spot rates as running averages of forward rates

Nelson-Siegel Shape Explorer

Term-structure shapes from Nelson-Siegel and Svensson

Bond Duration vs Maturity Explorer

How Macaulay duration varies with maturity and coupon

Duration Approximation Lab

Duration-based first-order price approximation

Duration and Convexity Approximation Lab

Adding the convexity correction to the duration approximation

Bullet vs Barbell Portfolio Explorer

Matched-duration portfolios across yield shocks

Calibrating Ho/Lee from one- and two-year bond prices

Swap = Fixed-rate Bond − Floater

Decomposing an interest rate swap; snap to par

Black vs Bachelier Caplet Pricing

Lognormal vs normal caplet pricing, including negative forwards