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Title :Valuation of fixed rate bonds and floating rate notes : a step by step approach in MATLAB
Alternative Title :Αποτίμηση ομολόγων σταθερού επιτοκίου και τίτλων κυμαινόμενου επιτοκίου : αναλυτική παρουσίαση με MATLAB
Creator :Agrios, Vasileios
Contributor :Γιαννακόπουλος, Αθανάσιος (Επιβλέπων καθηγητής)
Publisher :Οικονομικό Πανεπιστήμιο Αθηνών
Type :Text
Extent :viii, 57σ.
Language :en
Abstract :In this thesis, a study of the valuation of Fixed Rate Bonds and Floating Rate Notes is performed. The focus is on the modeling and determination of the future cashflows, as well as, the computation of the discount factor curves required to calculate the present value of the securities. Where cashflows are uncertain, an approximation using forward rates is worked out. Moreover we introduce the concepts of duration, convexity, pvbp, key rate durations which are factor sensitivities that describe exposure to parallel and non-parallel shifts to the term structure of interest rates. These metrics can be applied to portfolios of fixed income securities to assess their interest rate risk sensitivity.
Subject :Bond market
Date Issued :2014

File: Agrios_2014.pdf

Type: application/pdf