Friday, July 29, 2005

Fixed Income Securities

Bond math Posted by Picasa

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.


Blogger IE said...

Nice to see you get intersted in Bonds. I have just recently finished the first 4 chapters on the bonds and will start studying for the next 4 today. how is the studying going?? By tomorrow or saturda i would have finished all 18 study sessions but i have not been solving any problems. so i will start going back on them and reviewing them and also solving problems on these topics.

4:39 AM, August 18, 2005  
Blogger Quantjock said...

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.

10:13 AM, August 22, 2005  
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9:17 PM, October 11, 2005  

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