ESTIMASI HARGA OBLIGASI MENGGUNAKAN PENDEKATAN DURASI DAN KONVEKSITAS HEATH JARROW MORTON DARI UKURAN SENSITIVITAS HARGA OBLIGASI TERHADAP YIELD (Studi Kasus : Obligasi Pemerintah Indonesia)
Bonds as invesment instrument are classified in fixed income securities have risks from changes in yields. In this case, investors require bonds for risk management to minimize the risks resulting from change in yields amd obtain the desired return. Duration and convexity are used in a suitable comb...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| Summary: | Bonds as invesment instrument are classified in fixed income securities have risks
from changes in yields. In this case, investors require bonds for risk management
to minimize the risks resulting from change in yields amd obtain the desired
return. Duration and convexity are used in a suitable combination of risk
management. Approach duration and convexity Heath Jarrow Morton for coupon
bonds are one way to sensitivity measure of bond price introduced by Manfred
Fruhwirth (2001) with two popular examples of HJM models with deterministic
volatility structure. They are constant volatility model (Ho/Lee, 1986) and
exponential volatility model (Hull/White, 1990). In this graduation paper will be
discussed how to calculate the duration and convexity Heath Jarrow Morton with
constant volatility model to estimate bond price changes more accurate from
change in yields by comparing the estimated price of the bond using traditional
approach and exponential approach in yield contionuous time. Furthermore,
constructing the weight/proportion of optimal bonds to form bond portfolio with
moment method. |
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