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.

Volatilitas harga obligasi dan nilai harga dari satu basis poin

Nilai harga dari satu basis poin

Hitung PV01 dari obligasi 10%

Durasi

Durasi obligasi zero coupon

Hitung durasi aproksimasi untuk sebuah obligasi

Mengestimasi dampak pada harga obligasi menggunakan durasi

Kecekungan

Hitung convexity aproksimasi untuk suatu obligasi

Mengestimasi efek convexity pada harga obligasi

Mengestimasi harga obligasi menggunakan durasi dan konveksitas

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.

Summarizing the main lessons

Find AAA bond yields as of September 30, 2016

Alternative cash flow vector code

Duration and convexity

Direction of price change

Calculate duration

Calculate convexity measure

The estimated price change using duration and convexity

Congratulations!

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

Nilai harga dari satu basis poin

Penilaian dan Analisis Obligasi di R

Latihan interaktif praktis