Tag Info

New answers tagged

1

You are right that if we exactly want to know the price of a bond after a change in the yield curve, we have to calculate it - and we can. What we can say about duration: it is a linear approximation of the price change if yield change, this works rather fine with plain vanilla bonds but things get more difficult e.g. with callable bonds. keeping the eye ...


2

I think what you wrote is correct. I'll rephrase everything according to my way to give you another point of view. The price of a coupon bond at time $t = 0$ is the sum of the discounted cashflows given by the coupons and the face value: $$ P_0 = F \cdot D(0, T_n) + \sum_{i=1}^{n} 11.04\% \cdot 0.5 \cdot F \cdot D(0, T_i) $$ where $F$ is the face value, ...


1

First, the exact computation of conversion factor is actually quite tricky. The "6% yield" rule is really an approximation (although a very good one). CME provides a spreadsheet that you can use to compute the exact conversion factor for each bond and each contract ...



Top 50 recent answers are included