Dasar-Dasar Pendapatan Tetap

Matematika Obligasi, Durasi, dan Risiko Kurva Imbal Hasil

Penetapan harga obligasi, yield to maturity, durasi termodifikasi, konveksitas, dan cara memakainya untuk mengukur risiko suku bunga. Bagian praktis yang muncul setiap hari di meja rates.

Treasurers, fixed-income analysts, FRM Part I candidates.

Di akhir kamu akan…

Price any bond by discounting cash flows and back out yield to maturity.

Compute modified duration and convexity to size interest-rate risk.

Compare credit risk via spread-to-Treasury frameworks.

Slot fixed income into a strategic asset allocation that matches a risk profile.

0 dari 3 labs dijelajahi

TERSIMPAN DI PERANGKAT INI

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Perjalanan

Stop 1, 35 menit, Valuation

● Kamu ada di sini

Bond Pricing & YTM

DCF bond pricing, yield to maturity, duration, convexity. With live curves.

DCF bond pricing, YTM, modified duration, convexity: all in one.

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Contoh penerapan

10-year, 4% coupon, $1000 face, semi-annual: bond price vs YTM.

YTM	Price	Δ from par
3.0%	$1,085.30	+8.53%
4.0%	$1,000.00	0.00%
5.0%	$ 922.05	−7.80%
6.0%	$ 850.61	−14.94%

Stop 2, 20 menit, Risk & Return

Risk & Return Statistics

Compute E(r), σ², σ, Sharpe, skew, kurtosis from probabilistic or historical data.

Apply the same risk/return framework to a bond return series.

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Contoh penerapan

Annual returns: AGG (US Aggregate Bond) vs SPY (last 10y).

Series	Mean	σ	Sharpe	Max DD
AGG (bonds)	2.4%	5.8%	0.07	−16.3%
SPY (stocks)	12.5%	16.2%	0.53	−33.7%

Stop 3, 25 menit, Portfolio Construction

Asset Allocation Wizard

Example allocations for five risk levels, plus an indicative 10-year path.

Slot bonds into a strategic allocation matched to your risk profile.

Buka lab →

Contoh penerapan

Conservative profile: 70% bonds. Backtested 10y on AGG + GLD + SPY.

Profile	Bonds	Stocks	Alts	10y CAGR	Max DD
Conservative	70%	20%	10%	+5.1%	−9.2%
Moderate	35%	50%	15%	+8.4%	−18.5%
Aggressive	15%	70%	15%	+11.2%	−27.8%

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Studi Kasus

Should I buy a 10-year Treasury at 4% or a corporate at 6%?

The 'extra 2% yield' isn't free. It's the price of credit risk. A BBB-rated 10y corporate at 6% trades at a 200 bp spread to the 4% Treasury. Historical default rates on BBB over 10 years are ~3.5% cumulative; assume 40% recovery, so expected loss ≈ 2.1%. The 'real' risk-adjusted yield on the corporate is closer to 4%, basically matching the Treasury. Plus the corporate carries 8.1 years of modified duration vs the Treasury's 8.5y. A 100bp rate move costs you 8% either way. Run the numbers in Bond Pricing → toggle YTM and compare prices side by side. Lesson: spread compensates for default risk, not for free yield.

Coba Bond Pricing & YTM →Coba Risk & Return Statistics →

Studi Kasus

Indonesian SBN vs US T-Bond for an Indonesian retiree

10y Indonesian SBN (FR-series government bond) yields ~6.7%. 10y US Treasury yields ~4.0%. Local advantage: SBN pays in IDR with no FX risk to a domestic spender. But IDR has depreciated ~3% annualized against USD over 20 years, and Indonesian inflation runs ~3-4% vs US 2-2.5%. Real yield on SBN: ~3.0%. Real yield on UST (USD): ~1.7%, but for an Indonesian who needs to spend in IDR, USD-denominated bonds add 50-200 bps of FX volatility (σ ~10% on USD/IDR). The Bond Pricing Lab handles both curves; the Asset Allocation Wizard's Indonesia mode lets you mix them with a duration target.

Coba Bond Pricing & YTM →Coba Asset Allocation Wizard →