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.

Pendahuluan

Harga vs. nilai

Nilai waktu dari uang

Menghitung nilai masa depan obligasi

Menghitung nilai sekarang obligasi

Penilaian obligasi

Menyusun arus kas obligasi

Mendiskontokan arus kas obligasi dengan yield yang diketahui

Ubah kode Anda menjadi sebuah fungsi

Ubah kode Anda menjadi fungsi valuasi obligasi

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.

Summarizing the main lessons

Find AAA bond yields as of September 30, 2016

Bond valuation

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

Harga vs. nilai

Penilaian dan Analisis Obligasi di R

Latihan interaktif praktis