tailieunhanh - Financial Toolbox For Use with MATLAB Computation Visualization Programming phần 3

Các phương pháp thứ ba và thứ tư trở lại một sự khác biệt trong ngày như là một phần nhỏ của năm hoặc 360 - 365 ngày, tương ứng. Thực tế ngày (mặc định) 360 năm ngày (giả định tất cả các tháng là 30 ngày) thực tế dayCác cơ sở mặc định là ngày thực tế nếu không được quy định cụ thể. Các lựa chọn cơ sở hộp công cụ là: | 1 Tutorial Step 6 Calculate the true new portfolio price. new_prices zeros 1 3 for i 1 3 temp 1 temp 2 prbond Bonds i 1 Bonds i 2 . Bonds i 3 Bonds i 4 yields i dY . Bonds i 5 Bonds i 6 new_prices i temp 1 temp 2 end new_price sum portf_amnts . new_prices The analysis results are as follows If you run this example the answers will differ since the settlement date is today s date. The original portfolio price was 100 000. The yield curve shifted up by percentage point or 20 basis points. The first-order approximation based on modified duration predicts the new portfolio price will be 97 . The second-order approximation based on duration and convexity predicts the new portfolio price will be 97 . The true new portfolio price for this yield curve shift is 97 . The estimate using duration and convexity is quite good for this fairly small shift in the yield curve but only about better than the estimate using duration alone. The importance of convexity increases as the magnitude of the yield curve shift increases. Try a larger shift to see this effect. The approximation formulas in this example consider only parallel shifts in the term structure because both formulas are functions of dY the change in yield. The formulas are not well-defined unless each yield changes by the same amount. In actual financial markets changes in yield curve level typically explain a substantial portion of bond price movements. However other changes in the yield curve such as slope may also be important and are not captured here. Also both formulas give local approximations whose accuracy deteriorates as dY increases in size. You can demonstrate this by running the program with larger values of dY. 1-68 Solving Sample Problems with the Toolbox Example 2 Constructing a Bond Portfolio to Hedge Against Duration and Convexity This example constructs a bond portfolio to hedge the portfolio of Example 1. It assumes a long position in holding the portfolio of Example 1 and