Menyusun arus kas obligasi

Pada rangkaian latihan berikutnya, Anda akan membangun data frame arus kas sebagaimana ditunjukkan pada video sebelumnya.

Misalkan Anda sedang mempertimbangkan untuk berinvestasi pada obligasi dengan nilai pari $100, tingkat kupon 5%, dan jatuh tempo 5 tahun. Tingkat kupon adalah bunga yang Anda peroleh dari memegang obligasi, sehingga sebelum jatuh tempo obligasi Anda akan menerima pembayaran kupon $5 setiap tahun. Pada saat jatuh tempo, Anda juga akan menerima kembali nilai pari $100.

Dalam latihan ini, Anda akan membuat vektor cf yang menyusun arus kas obligasi tersebut. Kemudian Anda akan mengonversi vektor ini menjadi sebuah data frame, sehingga Anda dapat menambahkan kolom data tambahan yang diperlukan dalam analisis selanjutnya.

Latihan ini adalah bagian dari kursus

Penilaian dan Analisis Obligasi di R

Petunjuk latihan

Buat vektor cf yang memuat arus kas obligasi. Ingat bahwa arus kas adalah $5 untuk 4 tahun pertama dan $105 pada tahun ke-5.
Gunakan data.frame() untuk mengonversi cf menjadi sebuah data frame.

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Create vector of cash flows
cf <- 

# Convert to data frame
cf <- 
cf

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: Pendahuluan Exercise 2: Harga vs. nilai Exercise 3: Nilai waktu dari uang Exercise 4: Menghitung nilai masa depan obligasi Exercise 5: Menghitung nilai sekarang obligasi Exercise 6: Penilaian obligasi Exercise 7: Menyusun arus kas obligasi

Latihan Saat Ini

Exercise 8: Mendiskontokan arus kas obligasi dengan yield yang diketahui Exercise 9: Ubah kode Anda menjadi sebuah fungsi Exercise 10: Ubah kode Anda menjadi fungsi valuasi obligasi

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: 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!