Fixed Income Securities
Bond math
Tried to crack open the books again this week. Went to study session 15-16 on fixed income securities. Found the subject really fascinating.. it was very intuitive yet had some very good concepts that I had never thought of - convexity, duration, price-yield curve, Yield to maturity, etc.
Anyways, I couldn't understand some of the concepts by just reading, so decided to use my FE skills (hey I need to do this more often now, isnt it?) to write a small function on bond valuation in MATLAB (see figure). Looks like this may be my first program in Financial engineering. A simple 5 line code, but it did give me a lot of insight into a powerful concept.
posted by Quantjock at 10:37 AM
2 Comments:
wow.. you are right on target. I am only done halfway. Tried to study derivatives this week and found it hard. But I have been very lax, will pick up steam from Sept.
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