Using the steepness of the price/yield line
In the previous video, you saw that you can plot a graph of bond prices against yields and check its steepness visually to determine where it has the highest duration.
In this exercise, you are going to replicate this plot yourself to see how bond yields affect bond duration. You will consider a 20 year bond with a 5% coupon and face value of USD 100.
numpy, numpy_financial, pandas, and matplotlib have already been imported for you as np, npf, pd, and plt, respectively.
This exercise is part of the course
Bond Valuation and Analysis in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Create an array of bond yields
bond_yields = np.arange(____, ____, ____)
# Convert this array into a pandas DataFrame and add column title
bond = pd.DataFrame(____, ____)