Duration ve konveksite kullanılarak tahmini fiyat değişimi

Önceki egzersizlerde, getiriler %1 artarsa, duration kaynaklı dolar etkisinin -6.790577 ve konveksite kaynaklı dolar etkisinin 0.285045 olacağını tahmin etmiştin. Bu iki değer sırasıyla duration_dollar_change ve convexity_dollar_change nesnelerinde saklanıyor. Ayrıca tahvilin güncel fiyatının $97.17106 olduğunu biliyorsun; bu değer çalışma alanında px nesnesi olarak kayıtlı.

Üçüncü Bölümden hatırlayacağın üzere, doğru fiyat tahminleri hem duration'ı hem de konveksiteyi hesaba katmalıdır. Bu egzersizde, duration ve konveksiteye dayanarak fiyatın tahmini değişimini hesaplayacaksın. Ardından, getirilerde %1 artış varsayımıyla yeni tahmini fiyatı hesaplayacaksın.

Bu egzersiz

R ile Tahvil Değerleme ve Analizi

kursunun bir parçasıdır

Kursu Görüntüle

Egzersiz talimatları

duration_dollar_change ve convexity_dollar_change değerlerine dayanarak, getirilerde %1 artış için toplam fiyat değişimini tahmin et ve bu değeri price_change olarak kaydet.
Tahvilinin new_price değerini hesaplamak için price_change kullan!

Uygulamalı interaktif egzersiz

Bu örnek kodu tamamlayarak bu egzersizi bitirin.

# Estimate price_change
price_change <- ___ + ___
price_change

# Estimate new_price
new_price <- ___ + ___ + ___
new_price

Kodu Düzenle ve Çalıştır

Bu egzersiz

R ile Tahvil Değerleme ve Analizi

kursunun bir parçasıdır

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Kursa Ücretsiz Başlayın

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: 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: Ana derslerin özeti Exercise 2: 30 Eylül 2016 itibarıyla AAA tahvil getirilerini bul Exercise 3: Tahvil değerleme Exercise 4: Alternatif nakit akışı vektörü kodu Exercise 5: Süre ve konveksite Exercise 6: Fiyat değişiminin yönü Exercise 7: Süreyi (duration) hesapla Exercise 8: Konveksite ölçüsünü hesapla Exercise 9: Duration ve konveksite kullanılarak tahmini fiyat değişimi

Geçerli Egzersiz

Exercise 10: Tebrikler!