Fixed Income & Bond Analytics

What you'll build

What you will be able to do

Each lab ends with a concrete result that you build yourself and the checker confirms, cell by cell.

• Lay out every cash flow of a 5-year bond, discount each one at the market yield, add them up to the price and cross-check it with PV.
• Find the yield of a premium bond three ways: current yield, yield to maturity with RATE and the effective annual yield.
• Count the days since the last coupon with the 30/360 rule, calculate the accrued interest and turn a clean quote into the price the buyer really pays.
• Discount each cash flow of a coupon bond with its own spot rate, find the arbitrage-free price and compare the bond's single yield with the curve.
• Derive the 1-year forward rates implied by today's zero curve, a 2-year forward rate starting in 3 years, and show that discounting with forwards gives the same value as the spot rate.
• Build the duration table for a 5-year bond, calculate Macaulay and modified duration and estimate how much the price falls when yields rise by 0.50%.
• Calculate the convexity of an 8-year bond and estimate the price change for a 1.50% yield rise with duration alone and with duration plus convexity.
• Measure a pension fund's portfolio duration and DV01, then split money between a short and a long bond so it is immunised against a payment due in 6 years.