Duration di un titolo zero coupon

La duration può essere pensata come il tempo medio ponderato alla scadenza del titolo. A causa dei flussi di cassa intermedi, la duration di un titolo con cedola è inferiore al suo tempo alla scadenza. Con questo ragionamento, qual è la duration di un titolo zero coupon con tre anni alla scadenza?

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Valutazione e analisi delle obbligazioni in R

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Valutazione e analisi delle obbligazioni in R

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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: Volatilità del prezzo delle obbligazioni e valore in prezzo di un basis point Exercise 2: Valore in prezzo di un punto base Exercise 3: Calcola il PV01 di un'obbligazione al 10%Exercise 4: Duration Exercise 5: Duration di un titolo zero coupon

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Exercise 6: Calcola la duration approssimata di un'obbligazione Exercise 7: Stimare l’effetto sul prezzo dell’obbligazione usando la duration Exercise 8: Convessità Exercise 9: Calcola la convessità approssimata di un'obbligazione Exercise 10: Stimare l’effetto della convessità sul prezzo dell’obbligazione Exercise 11: Stima del prezzo dell'obbligazione usando duration e convessità

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!