Moody's Baa endeks getirisi

Önceki bölümde, 100 $ nominal değerli, %5 kupon oranlı ve vadesine 5 yıl kalan bir tahvili fiyatladın. Ardından bu tahvil için %6 vade sonuna kadar getiri (YTM) varsaydın. Videodan hatırlarsan, bir tahvilin getirisi, benzer tahvillerin getirilerine bakılarak tahmin edilebilir.

Bu egzersizde, değerlediğin tahvilin Moody's tarafından Baa kredi notuna sahip olduğunu ve 30 Eylül 2016'da ihraç edileceğini varsayacaksın. Bu bilgilerle, R'deki quantmod paketini kullanarak 30 Eylül 2016 tarihinde Moody's Baa endeksinin getirisini ("FRED" kaynağından "DBAA" sembolünü kullan) elde edebilirsin.

Bu egzersiz

R ile Tahvil Değerleme ve Analizi

kursunun bir parçasıdır

Kursu Görüntüle

Egzersiz talimatları

library() ile quantmod paketini yükle.
Moody's Baa endeksi ("DBAA") verilerini almak için getSymbols() kullan. Bu verileri baa değişkenine kaydet.
Köşeli parantezleri kullanarak 30 Eylül 2016 için baa getirisini belirle. Bunu baa_yield olarak kaydet.

Uygulamalı interaktif egzersiz

Bu örnek kodu tamamlayarak bu egzersizi bitirin.

# 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

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: Fiyat-getiri ilişkisi Exercise 2: Kredi notları Exercise 3: Moody's Baa endeks getirisi

Geçerli Egzersiz

Exercise 4: Bulduğun Baa getirisini kullanarak %5 kuponlu tahvili değerle Exercise 5: Fiyat/getiri ilişkisinin görselleştirilmesi Exercise 6: Getirinin bileşenleri Exercise 7: Risksiz getiri Exercise 8: ABD Hazine getirilerini görselleştirme Exercise 9: Yatırım dereceli spread'in görselleştirilmesi Exercise 10: Bir tahvilin getirisini tahmin etme Exercise 11: Bir tahvilin getirisini bulmak Exercise 12: YTM bulmak için uniroot fonksiyonunu kullan

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!