The fixed income market is large and filled with complex instruments. In this course, we focus on plain vanilla bonds to build solid fundamentals you will need to tackle more complex fixed income instruments.  In this chapter, we demonstrate the mechanics of valuing bonds by focusing on an annual coupon, fixed rate, fixed maturity, and option-free bond.

Introduction

Price vs. value

Time value of money

Computing a bond's future value

Computing a bond's present value

Bond valuation

Laying out the bond's cash flows

Discounting bond cash flows with a known yield

Convert your code into a function

Convert your code into a bond valuation function

Introduction and Plain Vanilla Bond Valuation

Estimating Yield To Maturity - The YTM measures the expected return to bond investors if they hold the bond until maturity. This number summarizes the compensation investors demand for the risk they are bearing by investing in a particular bond. We will discuss how one can estimate YTM of a bond.

Price-yield relationship

Credit ratings

The yield on the Moody's Baa index

Value the 5% bond using the Baa yield you found

Plotting the price/yield relationship

Components of yield

Risk-free yield

Plotting US Treasury yields

Plotting the investment grade spread

Estimating the yield of a bond

Finding a bond's yield

Use uniroot function to find YTM

Yield to Maturity

Interest rate risk is the biggest risk that bond investors face. When interest rates rise, bond prices fall. Because of this, much attention is paid to how sensitive a particular bond's price is to changes in interest rates. In this chapter, we start the discussion with a simple measure of bond price volatility - the Price Value of a Basis Point. Then, we discuss duration and convexity, which  are two common measures that are used to manage interest rate risk.

Bond price volatility and the price value of a basis point

Price value of a basis point

Calculate PV01 of a 10% bond

Duration

Duration of a zero-coupon bond

Calculate approximate duration for a bond

Estimating effect on bond price using duration

Convexity

Calculate approximate convexity for a bond

Estimating effect of convexity on bond price

Estimating the bond price using duration and convexity

Duration and Convexity

We will put all of the techniques that the student has learned from Chapters One through Three into one comprehensive example. The student will be asked to value a bond by using the yield on a comparable bond and estimate the bond's duration and convexity.

Merangkum pelajaran utama

Cari imbal hasil obligasi AAA per 30 September 2016

Valuasi obligasi

Kode vektor arus kas alternatif

Durasi dan konveksitas

Arah perubahan harga

Hitung durasi

Hitung ukuran convexity

Estimasi perubahan harga menggunakan durasi dan konveksitas

Selamat!

Comprehensive Example

Setelah menyelesaikan kursus keuangan kuantitatif dengan R ini, Anda akan mampu menggunakan R untuk mengembangkan model penilaian obligasi berbunga tetap, mengestimasi dan menganalisis imbal hasil obligasi (YTM, yaitu ukuran biaya peluang bagi investor obligasi), serta memodelkan teknik untuk melindungi portofolio obligasi dari perubahan suku bunga. Mengapa menilai obligasi? Obligasi adalah surat berharga yang diterbitkan oleh pemerintah atau korporasi yang membayar bunga berdasarkan jadwal tetap dan merupakan jenis surat utang tetap yang paling dikenal. Pasar surat utang tetap AS berukuran 1,5x lebih besar daripada pasar saham AS, namun berbeda dengan saham, sebagian besar instrumen pendapatan tetap, termasuk obligasi, diperdagangkan sangat jarang. Akibatnya, harga obligasi bisa menjadi indikator nilai yang kurang andal dan teknik analitis diperlukan saat menganalisis dan menilai obligasi.

Importing and Managing Financial Data in R

Pelajari penggunaan R untuk mengembangkan model evaluasi obligasi dan melindunginya dari perubahan suku bunga.

Penilaian dan Analisis Obligasi di R

Pelajari cara menggunakan R untuk mengembangkan model guna mengevaluasi dan menganalisis obligasi serta melindungi mereka dari perubahan suku bunga.

Keuangan Terapan di R

Analis Kuantitatif  di R

Arah perubahan harga

Penilaian dan Analisis Obligasi di R

Latihan interaktif praktis