Imbal hasil pada indeks Moody's Baa

Pada bab sebelumnya, Anda menilai sebuah obligasi dengan nilai pari $100, kupon 5%, dan jatuh tempo 5 tahun. Anda kemudian mengasumsikan yield to maturity sebesar 6% untuk obligasi tersebut. Ingat dari video bahwa imbal hasil suatu obligasi dapat diestimasi dengan melihat imbal hasil obligasi yang sebanding.

Dalam latihan ini, Anda akan mengasumsikan bahwa obligasi yang Anda nilai memiliki peringkat kredit Baa menurut Moody's dan obligasi tersebut akan diterbitkan pada 30 September 2016. Dengan informasi ini, Anda dapat menggunakan paket quantmod di R untuk memperoleh imbal hasil indeks Moody's Baa (gunakan ticker "DBAA" dari src = "FRED") pada 30 September 2016.

Latihan ini adalah bagian dari kursus

Penilaian dan Analisis Obligasi di R

Petunjuk latihan

Gunakan library() untuk memuat paket quantmod.
Gunakan getSymbols() untuk memperoleh data pada indeks Moody's Baa ("DBAA"). Simpan data ini ke baa.
Identifikasi imbal hasil untuk baa pada 30 September 2016 menggunakan tanda kurung siku. Simpan ke baa_yield.

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Load quantmod library


# Obtain Moody's Baa index data
baa <- getSymbols("___", src = "FRED", auto.assign = FALSE)

# Identify 9/30/16 yield
baa_yield <- baa["___"]

baa_yield

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: Hubungan harga–imbal hasil Exercise 2: Peringkat kredit Exercise 3: Imbal hasil pada indeks Moody's Baa

Latihan Saat Ini

Exercise 4: Nilai obligasi 5% menggunakan imbal hasil Baa yang Anda temukan Exercise 5: Memplot hubungan harga/hasil Exercise 6: Komponen imbal hasil Exercise 7: Hasil bebas risiko Exercise 8: Memplot imbal hasil US Treasury Exercise 9: Memplot sebaran investment grade Exercise 10: Mengestimasi imbal hasil obligasi Exercise 11: Menentukan imbal hasil (yield) obligasi Exercise 12: Gunakan fungsi uniroot untuk menemukan 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!