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Welcome to the Fixed-Income-Analysis wiki!
• My R script: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/blob/main/Bond%20Calculators/Simple%20Bond%20Calculator.R
• My R script: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/blob/main/Bond%20Calculators/Exponential%20Bond%20Calculator.R
The measure identifying the period of bond's payback.
• My R script: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/blob/main/Bond%20Calculators/Duration%20Calculator.R
The drawback of the modified duration is the assumption that bond's relationship between yield and price is linear what is possible when yield change is small. The method is not relevant and reliable when yield changes are huge.
• My R script: added in duration script above.
More advanced and accurate method to evaluate bond's sensibility to price change. It assumes that a relationship between yield and price is inverse proportional.
• My R script: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/blob/main/Bond%20Calculators/Duration%20Calculator.R
Value-at-Risk is mostly calculated using returns of the asset. However, bonds have two parameters that might constantly change like price and rate. Classic VaR is applied for calculation using price value, whereas VaR for rate is calculated differently.
• My R script: https://github.com/vladislavpyatnitskiy/Fixed-Income-Analysis/blob/main/Bond%20Calculators/VaR%20via%20Duration.R
Hull, J.C. (2012) Risk Management and Financial Institutions. 3rd edn. John Wiley &Sons.
Hull, J.C. (2015). Options, futures, and other derivatives. Boston :Prentice Hall,