Plotting bond prices against yields
Being able to plot a graph of bond prices against yields can help to investigate what will happen to a bond or portfolio of bonds for different levels of interest rates in the market.
Now you are going to create a graph of bond prices against yields, but this time for two bonds of different maturities. You will do this by giving your pandas DataFrame extra columns for each additional bond. The bonds you will consider will both pay a 5% coupon, but now you will plot a 5 year and a 10 year bond.
numpy, numpy_financial, pandas, and matplotlib have already been imported for you as np, npf, pd, and plt, respectively.
Deze oefening maakt deel uit van de cursus
Bond Valuation and Analysis in Python
Oefeninstructies
- Create an array of bond yields from 0 to 20 (not inclusive) in increments of 0.1.
- Convert this array into a
pandasDataFrame and name the columnbond_yield. - Add two more columns, one for each bond (5-year and 10-year), and find the price for a given level of yield.
- Plot a graph of these bonds, setting the x-axis label to
Yield (%)and y-axis label toBond Price (USD).
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# Create an array of bond yields and convert to DataFrame
bond_yields = np.arange(____, ____, ____)
bond = pd.DataFrame(____, columns=['____'])
# Add columns for different bonds
bond['bond_price_5Y'] = -npf.pv(rate=bond['bond_yield'] / 100, nper=____, pmt=____, fv=____)
bond['bond_price_10Y'] = -npf.pv(rate=____, nper=____, pmt=____, fv=____)
# Plot graph of bonds
plt.plot(bond['bond_yield'], bond['bond_price_5Y'], label='5 Year Bond')
plt.plot(____, ____, label='10 Year Bond')
plt.xlabel(____)
plt.ylabel(____)
plt.legend()
plt.show()