Estimasi perubahan harga menggunakan durasi dan konveksitas

Pada latihan sebelumnya, Anda mengestimasi bahwa jika yield naik 1%, dampak dalam dolar akibat durasi adalah -6.790577 dan dampak dalam dolar akibat konveksitas adalah 0.285045. Kedua nilai ini masing-masing disimpan dalam objek duration_dollar_change dan convexity_dollar_change. Anda juga mengetahui bahwa obligasi memiliki harga saat ini sebesar $97.17106, yang disimpan di ruang kerja sebagai objek px.

Ingat dari Bab Tiga bahwa estimasi harga yang akurat harus mempertimbangkan durasi dan konveksitas. Pada latihan ini, Anda diminta menghitung estimasi perubahan harga berdasarkan durasi dan konveksitas. Kemudian, Anda akan menghitung estimasi harga baru dengan asumsi kenaikan yield sebesar 1%.

Latihan ini adalah bagian dari kursus

Penilaian dan Analisis Obligasi di R

Petunjuk latihan

Estimasikan total perubahan harga dengan kenaikan yield 1% berdasarkan duration_dollar_change dan convexity_dollar_change. Simpan nilai ini ke price_change.
Gunakan price_change untuk menghitung new_price dari obligasi Anda!

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Estimate price_change
price_change <- ___ + ___
price_change

# Estimate new_price
new_price <- ___ + ___ + ___
new_price

Edit dan Jalankan Kode

Latihan ini adalah bagian dari kursus

Penilaian dan Analisis Obligasi di R

SkillTag.level.intermediateSkillTag.label

4.9+

Mulai Kursus Gratis

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.

Exercise 1: Introduction Exercise 2: Price vs. value Exercise 3: Time value of money Exercise 4: Computing a bond's future value Exercise 5: Computing a bond's present value Exercise 6: Bond valuation Exercise 7: Laying out the bond's cash flows Exercise 8: Discounting bond cash flows with a known yield Exercise 9: Convert your code into a function Exercise 10: Convert your code into a bond valuation function

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.

Exercise 1: Price-yield relationship Exercise 2: Credit ratings Exercise 3: The yield on the Moody's Baa index Exercise 4: Value the 5% bond using the Baa yield you found Exercise 5: Plotting the price/yield relationship Exercise 6: Components of yield Exercise 7: Risk-free yield Exercise 8: Plotting US Treasury yields Exercise 9: Plotting the investment grade spread Exercise 10: Estimating the yield of a bond Exercise 11: Finding a bond's yield Exercise 12: Use uniroot function to find YTM

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.

Exercise 1: Bond price volatility and the price value of a basis point Exercise 2: Price value of a basis point Exercise 3: Calculate PV01 of a 10% bond Exercise 4: Duration Exercise 5: Duration of a zero-coupon bond Exercise 6: Calculate approximate duration for a bond Exercise 7: Estimating effect on bond price using duration Exercise 8: Convexity Exercise 9: Calculate approximate convexity for a bond Exercise 10: Estimating effect of convexity on bond price Exercise 11: Estimating the bond price using 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.

Exercise 1: Merangkum pelajaran utama Exercise 2: Cari imbal hasil obligasi AAA per 30 September 2016 Exercise 3: Valuasi obligasi Exercise 4: Kode vektor arus kas alternatif Exercise 5: Durasi dan konveksitas Exercise 6: Arah perubahan harga Exercise 7: Hitung durasi Exercise 8: Hitung ukuran convexity Exercise 9: Estimasi perubahan harga menggunakan durasi dan konveksitas

Latihan Saat Ini

Exercise 10: Selamat!