Plotting duration vs. the factor

Plotting a graph of duration against a factor such as maturity, coupons, or yields is a great way to see how the factor affects the duration of a bond.

In the video, we plotted a graph of duration against maturity. In this exercise, you are going to do the same thing for the coupon rate. You will use a 10 year bond with a yield of 5% and face value of USD 100.

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

Cursus bekijken

Oefeninstructies

Create an array of coupons from 0 to 10 in increment sizes of 0.1, and convert to a pandas DataFrame.
Add four additional columns to the DataFrame; price, price_up, price_down, and duration for the bond.
Plot a graph with bond_coupon on the x-axis and duration on the y-axis.

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# Create array of coupon rates and assign to pandas DataFrame
bond_coupon = np.arange(____, ____, ____)
bond = pd.DataFrame(____, columns=['____'])

# Calculate bond price, price_up, price_down, and duration
bond['price'] = -npf.pv(rate=0.05, nper=10, pmt=bond['bond_coupon'], fv=100)
bond['price_up'] = ____
bond['price_down'] = ____
bond['duration'] = (bond['____'] - bond['____']) / (2 * bond['____'] * 0.01)

# Plot coupon vs. duration, add labels & title, show plot
plt.plot(____, ____)
plt.xlabel('Coupon (%)')
plt.ylabel('Duration (%)')
plt.show()

Code bewerken en uitvoeren