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Showing posts with label Bond. Show all posts
Showing posts with label Bond. Show all posts

Simpler and More Convenient Linear Interpolation in Excel

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This post presents a simpler and more convenient Excel formula for the linear interpolation without VBA Macro. This is particular...

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

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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 YT...

Numerical Calculation of FRN Duration in R

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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 ...

Price and Duration of Floating Rate Note using R

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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 t...

Percent Change of Bond Price using Duration and Convexity in R

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A percentage (%) change in a bond price with respect to a change in interest rate is approximated by using duration and convexity, whic...

Bond Convexity in Excel and R

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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 ca...

Bond Modified Duration in Excel and R

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Bond duration is a basic building block for bond portfolio management and asset-liability management (ALM). This post explains the mean...

Yield to Maturity and Reinvestment Risk using R code

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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

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