BASICS

Description My Submission(s) All Submissions Teammate Evaluation

PEER EVALUATIONS

Criteria and Rubrics Submitted Peer Evaluations Received Peer Evaluations

Evaluation Criteria and Rubrics

The first assignment given to you for peer-review evaluation will be a model solution of the project made by the teaching team. Please use it as a reference for how the project solution should look like. Note that some of the actual numbers provided by

Steps 1 and 2
(calculating "dirty" prices and spot rate curve) 1 point for attempting the problem. If resulting "dirty" prices in Step 1 are correct, add 2 points, otherwise add none. If some are correct, while some are not, allow for partial credit and add 1 point. For correct system of linear equations (for zero-coupon prices) in Step 2, add 2 points. For correct formula and values of spot rates, add 4 points. If the formula and/or rates are only partially correct, give partial credit (1 to 3 points). A total score should fall between 1 and 9 points, including bounds.

Step 3
(estimating polynomial rate model) 1 point for attempting the problem. Add 3 points for having a correct bond prices formula written out. If the formula is not correct, but close enough, give partial score (1 or 2 points). Add 2 points for correctly defining the objective function (sum of squares). Add 3 points for having meaningful resulting coefficients ai-s. Note that those may vary depending on your optimization implementation, but must still make sense (not be too big, satisfy all restrictions imposed, etc). Allow for partial credit. The total score should be in between 1 and 9 points.

Step 4
(comparing steps 2 and 3) 1 point for attempting the problem.

Add 1.5 extra points for each correctly identified advantage or drawback. Subtract one point if the mistake mentioned in "Notice" is made. Total score should fall between 1 and 9. Round up to 1 if the resulting score obtained is zero. Round down to 9 if the score is greater. Round up to the nearest integer if the score is between 1 and 9 but fractional.

Step 5
(cash matching) 1 for attempting the problem. Add 3 points for giving the correct mathematical formulation of the problem in part A. Give partial credit if you think the formulation is not perfectly correct, but very close. Add 1 point for correctly solving it. Add 3 points for giving the correct mathematical formulation of the problem in part B. Give partial credit if you think the formulation is not perfectly correct, but very close. Add 1 point for correctly solving it. Total number of points should be between 1 and 9.

Step 6
(immunization) 1 point for attempting the problem. Add 3 points for correctly finding the derivatives. Add 3 points for correctly writing down the constraints. Add 2 point for meaningful numerical results (the actual numerical values may vary dependent on optimization routine). Allow for partial credit. Total score should fall between 1 and 9.

Steps 7 and 8
(comparison of steps 5A, 5B and 6; writeup) Give 2 points for addressing each of the following criteria when comparing methods: risk, cost, implementation in practice. Give from 1 to 3 points for the overall report style: concise explanations, lack of logic mistakes or numeric inconsistencies. Total score for this part should fall between 1 and 9 points.