MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS

The article investigates the influence of one parameter of bond, i. e. due date on its interest risk. This problem for long-term bonds has not been fully studied in theory. Two ways of solving the problem of affecting the bond interest risk by the due date were compared. To do this the results were...

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Autor principal:	Natalia V. Popova
Formato:	article
Lenguaje:	RU
Publicado:	Plekhanov Russian University of Economics 2017
Materias:	due date macaulay duration market interest rate Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/e07fd72770fd4ea0a2191cc125da724e
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id	oai:doaj.org-article:e07fd72770fd4ea0a2191cc125da724e
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spelling	oai:doaj.org-article:e07fd72770fd4ea0a2191cc125da724e2021-11-15T05:20:43ZMATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS2413-28292587-925110.21686/2413-2829-2016-1-101-107https://doaj.org/article/e07fd72770fd4ea0a2191cc125da724e2017-09-01T00:00:00Zhttps://vest.rea.ru/jour/article/view/125https://doaj.org/toc/2413-2829https://doaj.org/toc/2587-9251The article investigates the influence of one parameter of bond, i. e. due date on its interest risk. This problem for long-term bonds has not been fully studied in theory. Two ways of solving the problem of affecting the bond interest risk by the due date were compared. To do this the results were used that had been obtained by the author through solving tasks about the dependence of Macaulay duration on the due date and relative changes in the bond price. In both cases the task was solved in conditions of certainty with horizontal nature of time structure of interest rates and parallel shifting. For these tasks theorems of digital rows and differentiated functions were applied. The comparison of two ways of solving the task shows similarity of results, which makes it possible to specify the dependence of the interest risk on the due date for long-term bonds.Natalia V. PopovaPlekhanov Russian University of Economicsarticledue datemacaulay durationmarket interest rateEconomics as a scienceHB71-74RUВестник Российского экономического университета имени Г. В. Плеханова, Vol 0, Iss 1, Pp 101-107 (2017)
institution	DOAJ
collection	DOAJ
language	RU
topic	due date macaulay duration market interest rate Economics as a science HB71-74
spellingShingle	due date macaulay duration market interest rate Economics as a science HB71-74 Natalia V. Popova MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
description	The article investigates the influence of one parameter of bond, i. e. due date on its interest risk. This problem for long-term bonds has not been fully studied in theory. Two ways of solving the problem of affecting the bond interest risk by the due date were compared. To do this the results were used that had been obtained by the author through solving tasks about the dependence of Macaulay duration on the due date and relative changes in the bond price. In both cases the task was solved in conditions of certainty with horizontal nature of time structure of interest rates and parallel shifting. For these tasks theorems of digital rows and differentiated functions were applied. The comparison of two ways of solving the task shows similarity of results, which makes it possible to specify the dependence of the interest risk on the due date for long-term bonds.
format	article
author	Natalia V. Popova
author_facet	Natalia V. Popova
author_sort	Natalia V. Popova
title	MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
title_short	MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
title_full	MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
title_fullStr	MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
title_full_unstemmed	MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS
title_sort	mathematic methods in studying interest risk of long-term bonds
publisher	Plekhanov Russian University of Economics
publishDate	2017
url	https://doaj.org/article/e07fd72770fd4ea0a2191cc125da724e
work_keys_str_mv	AT nataliavpopova mathematicmethodsinstudyinginterestriskoflongtermbonds
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MATHEMATIC METHODS IN STUDYING INTEREST RISK OF LONG-TERM BONDS

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