Bond Price and Risk Dyamics

50 Pages Posted: 7 Jun 2012 Last revised: 20 Jul 2012

Golaka C. Nath

Clearing Corporation of India

Date Written: May 15, 2012

Abstract

Bond Theory is an integral part of financial market. Understanding the same is essential for students entering the market for career options. There are various types of bonds and pricing logic is different for different type of bonds. The differential approach presented in this write up tries to make students understand bond pricing dynamics more intuitively. The concept of duration and convexity has been explained with graphical presentations. The write-up is an application based approach to bring clarity to the Bond theory topic. Indian bond market conventions (30/360E, Semi-annual payment of coupon, FV=100, quotation on Clean price, etc.) have been used for explanation.

Keywords: Bond price, Bond Yield, Yield to Maturity, Indian Bond Market, Market Conventions, Duration, Convexity

JEL Classification: G11

Suggested Citation

Nath, Golaka C., Bond Price and Risk Dyamics (May 15, 2012). Available at SSRN: https://ssrn.com/abstract=2079678 or http://dx.doi.org/10.2139/ssrn.2079678

Golaka C. Nath (Contact Author)

Clearing Corporation of India ( email )

FP No. 822 Collegel Lane
Off S K Bole Road. Agar Bazar Dadar (W)
Mumbai, MAHARASTRA 400028
India

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