08 — Bond Cash Flows, Price and Yield¶
Free learning pack¶
- PIMCO Fixed Income Education Center
https://www.pimco.com/ca/en/resources/education-center/fixed-income - PIMCO Understanding Duration
https://www.pimco.com/us/en/resources/education/understanding-duration - MIT Finance Theory I fixed-income materials
https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/ resources/fixed_income.md
Vocabulary¶
par, coupon, maturity, clean price, dirty price, accrued interest, YTM, premium, discount
HAND CALCULATION¶
Price a 2-year annual-pay 5% coupon, $100 face bond at a 4% yield.
P = 5/1.04 + 105/(1.04)^2
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# MANUAL FIRST
def my_bond_price(ytm, face=100, coupon_rate=.05, years=2, frequency=1):
# type discounted cash-flow logic yourself
raise NotImplementedError
# MANUAL FIRST
def my_bond_price(ytm, face=100, coupon_rate=.05, years=2, frequency=1):
# type discounted cash-flow logic yourself
raise NotImplementedError