Simpler and More Convenient Linear Interpolation in Excel

This post presents a simpler and more convenient Excel formula for the linear interpolation without VBA Macro. This is particularly necessary in such a curve fitting as zero curve pricing, where zero rates are required at any points in maturity.

Carry and Roll-Down on a Yield Curve using R code

This post shows how to calculate a carry and roll-down on a yield curve using R. In the fixed income, the carry is a current YTM like a dividend yield in stock. But unlike stocks, even though market conditions remain constant over time, the remaining maturity (life) is bound to decrease due to its maturity date. This makes so called the roll-down.

Numerical Calculation of FRN Duration in R

The duration of a floating rate note (FRN) is the remaining time until the first next payment date. Using this fact, a duration of FRN has not been calculated explicitly but has been understood conceptually. Instead of this reasoning, this post tries to calculate it directly based on the numerical differentiation using R code.

Price and Duration of Floating Rate Note using R

The price of a floating rate bond is always equal to the face value at the payment dates and the duration is the remaining time until the first next reset date. This post explains these arguments by using some heuristic derivations and R code.

Percent Change of Bond Price using Duration and Convexity in R

A percentage (%) change in a bond price with respect to a change in interest rate is approximated by using duration and convexity, which is based on the Taylor approximation with the first and second order terms.

Bond Convexity in Excel and R

A convexity is needed to describe a non-linearity of a bond price, which is absent in a duration. This post explains the meaning and calculation process of the convexity by using Excel and R.

Bond Modified Duration in Excel and R

Bond duration is a basic building block for bond portfolio management and asset-liability management (ALM). This post explains the meaning of duration and calculation of this risk measure by using Excel and R.

Yield to Maturity and Reinvestment Risk using R code

This post shows how the reinvestment risk affect the holding period return of coupon bond using R code

Coupon Bearing Bond Pricing using R code

This post explains how to calculate the price of some complicated coupon bearing bond using R code.