July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Bond Portfolio Statistics in Practice
The equations above suggest that calculating the summary statistics for a fixed-income portfolio is a straightforward matter. But it is not easy to do so, starting with YieldPORT, which is an input in the other equations. I assumed for convenience a nice, evenly spaced, semiannual pattern to the timing of cash flows. In reality, a typical portfolio of hundreds of bonds has coupon and principal payments occurring on many business days throughout the year, so N has to be measured in days, not semiannual periods. In reality, it's a really big internal rate of return calculation.
Imagine solving for YieldPORT back in the olden days before computers. Picture a back-office analyst working all day to get the solution ...
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