Bond Valuation Price Sensitity and Hedging
Bond Markets ? T bill price
? T note and T bond price Invoice Price = Flat Price + Accrued Interest
? Repo interest Interest = loan amount ? repo rate ? 1/360
? Repo gain/loss capital gain/loss on entire bond + carry
Bond Valuation ? Annual effective rate
AER = (1 + APR/m)m ? 1 ? Continuous compounding
m AER eAPR ? 1 ? General bond pricing formula
? General bond pricing formula with ann. APR
? Zero coupon bond price and yield
? Perpetuity price and yield
? Annuity price
? Coupon bond price
Term Structure of Interest Rates ? Brandt's preferred yield model
? Brandt's preferred discount function model Forward rates implied by spot rates
? Spot rates implied by forward rates
Price Sensitity and Hedging ? Dollar value of a basis point ? Duration ? Macaulay duration of zero coupon bond ? Macaulay duration of coupon bond ? 1st-order approximation of bond price change ? 1st-order approximation of DV01 ? Convexity ? Convexity of zero-coupon bond ? Convexity of coupon bond ? 1st-order approximation of duration change ? 2nd-order approximation of bond price change ? Duration of portfolio
? Duration neutral portfolio ? Volatility weighted duration neutral portfolio ? Regression-based duration neutral portfolio
................
................
In order to avoid copyright disputes, this page is only a partial summary.
To fulfill the demand for quickly locating and searching documents.
It is intelligent file search solution for home and business.
Related download
- compounding quarterly monthly and daily
- annuities and sinking funds utep mathematics
- spot and forward rates under continuous compounding
- chapter 1 return calculations university of washington
- chapter 11 duration convexity and immunization
- determination of forward and futures prices
- derivation of compound interest formulas
- bond valuation price sensitity and hedging