Trajanje in konveksnost obveznic : delo diplomskega seminarja

Kapun, Vanja (author), Kokol Bukovšek, Damjana (mentor), Toman, Aleš (comentor)

V delu diplomskega seminarja najprej predstavimo brezkuponske in kuponske obveznice, nato pa opišemo, kako izračunamo njihovo ceno in kako donosnost do dospetja vpliva na ceno obveznic. Natančneje se spoznamo s slovenskimi državnimi obveznicami, pri katerih pregledamo tudi dinamiko donosnosti do dospetja dolgoročnih slovenskih obveznic v zadnjih nekaj letih. V delu predstavimo tudi Macaulayevo in modificirano trajanje ter konveksnost obveznic, ki nam pomagajo oceniti, kako se spremeni cena obveznice, če se spremeni donosnost do dospetja.

• Language: Slovenian
• Keywords: obveznica, trajanje obveznice, konveksnost obveznice
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2023
• PID: 20.500.12556/RUL-146497
• UDC: 519.8
• COBISS.SI-ID: 154822147
• Publication date in RUL: 03.06.2023

Secondary language

• Language: English
• Title: Duration and convexity of bonds

Abstract

In this work, we first introduce zero-coupon and coupon bonds, and then explain how to calculate their prices and how the yield to maturity affects bond prices. We learn more about Slovenian government bonds, for which we also examine the dynamics of yields to maturity of long-term Slovenian bonds in recent years. We also introduce Macaulay's duration, modified duration, and bond convexity, which help us estimate how the price of a bond changes when the yield to maturity changes.

• Keywords: bond, bond duration, bond convexity