Hitung convexity aproksimasi untuk suatu obligasi

Ingat dari video bahwa kita dapat memperbaiki estimasi harga obligasi dengan menambahkan suku convexity pada efek durasi. Suku convexity memperhitungkan seberapa melengkung kurva harga/YTM untuk obligasi.

Dalam latihan ini, Anda akan menghitung convexity aproksimasi untuk obligasi dengan nilai pari $100, kupon 10%, jatuh tempo 20 tahun, dan imbal hasil hingga jatuh tempo 10% ketika Anda memperkirakan perubahan imbal hasil sebesar 1%, lalu menambahkannya pada efek durasi. Ingat bahwa rumus convexity aproksimasi adalah

$$(P(up) + P(down) - 2 * P) / (P * \Delta y ^ 2)$$

di mana \(P\) adalah harga obligasi, \(P(up)\) adalah harga obligasi ketika imbal hasil naik, \(P(down)\) adalah harga obligasi ketika imbal hasil turun, dan \(\Delta y\) adalah perubahan imbal hasil yang diharapkan.

Objek px, px_up, dan px_down dari latihan sebelumnya telah dimuat di ruang kerja Anda.

Latihan ini adalah bagian dari kursus

Penilaian dan Analisis Obligasi di R

Petunjuk latihan

Hitung convexity aproksimasi dengan memasukkan objek px, px_up, dan px_down ke dalam rumus di atas. Anda juga perlu memasukkan nilai yang sesuai untuk dy.

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Calculate approximate convexity
convexity <- (___ + ___ - 2 * ___) / (___ * (___)^2)
convexity

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: Volatilitas harga obligasi dan nilai harga dari satu basis poin Exercise 2: Nilai harga dari satu basis poin Exercise 3: Hitung PV01 dari obligasi 10%Exercise 4: Durasi Exercise 5: Durasi obligasi zero coupon Exercise 6: Hitung durasi aproksimasi untuk sebuah obligasi Exercise 7: Mengestimasi dampak pada harga obligasi menggunakan durasi Exercise 8: Kecekungan Exercise 9: Hitung convexity aproksimasi untuk suatu obligasi

Latihan Saat Ini

Exercise 10: Mengestimasi efek convexity pada harga obligasi Exercise 11: Mengestimasi harga obligasi menggunakan durasi dan konveksitas

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: Summarizing the main lessons Exercise 2: Find AAA bond yields as of September 30, 2016 Exercise 3: Bond valuation Exercise 4: Alternative cash flow vector code Exercise 5: Duration and convexity Exercise 6: Direction of price change Exercise 7: Calculate duration Exercise 8: Calculate convexity measure Exercise 9: The estimated price change using duration and convexity Exercise 10: Congratulations!