Plotting duration vs. the factor

Plotting a graph of duration against a factor such as maturity, coupons, or yields is a great way to see how the factor affects the duration of a bond.

In the video, we plotted a graph of duration against maturity. In this exercise, you are going to do the same thing for the coupon rate. You will use a 10 year bond with a yield of 5% 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.

Diese Übung ist Teil des Kurses

Bond Valuation and Analysis in Python

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Anleitung zur Übung

Create an array of coupons from 0 to 10 in increment sizes of 0.1, and convert to a pandas DataFrame.
Add four additional columns to the DataFrame; price, price_up, price_down, and duration for the bond.
Plot a graph with bond_coupon on the x-axis and duration on the y-axis.

Interaktive Übung

Vervollständige den Beispielcode, um diese Übung erfolgreich abzuschließen.

# Create array of coupon rates and assign to pandas DataFrame
bond_coupon = np.arange(____, ____, ____)
bond = pd.DataFrame(____, columns=['____'])

# Calculate bond price, price_up, price_down, and duration
bond['price'] = -npf.pv(rate=0.05, nper=10, pmt=bond['bond_coupon'], fv=100)
bond['price_up'] = ____
bond['price_down'] = ____
bond['duration'] = (bond['____'] - bond['____']) / (2 * bond['____'] * 0.01)

# Plot coupon vs. duration, add labels & title, show plot
plt.plot(____, ____)
plt.xlabel('Coupon (%)')
plt.ylabel('Duration (%)')
plt.show()

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