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Session live #3 - Fixed Income

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Présentation de la session live du 1/12

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  • DOWNLOAD THAT BOOKS INTO AVAILABLE FORMAT (2019 Update) ......................................................................................................................... ......................................................................................................................... Download Full PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... ......................................................................................................................... ................................................................................................................................... eBook is an electronic version of a traditional print book that can be read by using a personal computer or by using an eBook reader. (An eBook reader can be a software application for use on a computer such as Microsoft's free Reader application, or a book-sized computer that is used solely as a reading device such as Nuvomedia's Rocket eBook.) Users can purchase an eBook on diskette or CD, but the most popular method of getting an eBook is to purchase a downloadable file of the eBook (or other reading material) from a Web site (such as Barnes and Noble) to be read from the user's computer or reading device. Generally, an eBook can be downloaded in five minutes or less ......................................................................................................................... .............. Browse by Genre Available eBooks .............................................................................................................................. Art, Biography, Business, Chick Lit, Children's, Christian, Classics, Comics, Contemporary, Cookbooks, Manga, Memoir, Music, Mystery, Non Fiction, Paranormal, Philosophy, Poetry, Psychology, Religion, Romance, Science, Science Fiction, Self Help, Suspense, Spirituality, Sports, Thriller, Travel, Young Adult, Crime, Ebooks, Fantasy, Fiction, Graphic Novels, Historical Fiction, History, Horror, Humor And Comedy, ......................................................................................................................... ......................................................................................................................... .....BEST SELLER FOR EBOOK RECOMMEND............................................................. ......................................................................................................................... Blowout: Corrupted Democracy, Rogue State Russia, and the Richest, Most Destructive Industry on Earth,-- The Ride of a Lifetime: Lessons Learned from 15 Years as CEO of the Walt Disney Company,-- Call Sign Chaos: Learning to Lead,-- StrengthsFinder 2.0,-- Stillness Is the Key,-- She Said: Breaking the Sexual Harassment Story That Helped Ignite a Movement,-- Atomic Habits: An Easy & Proven Way to Build Good Habits & Break Bad Ones,-- Everything Is Figureoutable,-- What It Takes: Lessons in the Pursuit of Excellence,-- Rich Dad Poor Dad: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not!,-- The Total Money Makeover: Classic Edition: A Proven Plan for Financial Fitness,-- Shut Up and Listen!: Hard Business Truths that Will Help You Succeed, ......................................................................................................................... .........................................................................................................................
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  • DOWNLOAD THAT BOOKS INTO AVAILABLE FORMAT (2019 Update) ......................................................................................................................... ......................................................................................................................... Download Full PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... ......................................................................................................................... ................................................................................................................................... eBook is an electronic version of a traditional print book that can be read by using a personal computer or by using an eBook reader. (An eBook reader can be a software application for use on a computer such as Microsoft's free Reader application, or a book-sized computer that is used solely as a reading device such as Nuvomedia's Rocket eBook.) Users can purchase an eBook on diskette or CD, but the most popular method of getting an eBook is to purchase a downloadable file of the eBook (or other reading material) from a Web site (such as Barnes and Noble) to be read from the user's computer or reading device. Generally, an eBook can be downloaded in five minutes or less ......................................................................................................................... .............. Browse by Genre Available eBooks .............................................................................................................................. Art, Biography, Business, Chick Lit, Children's, Christian, Classics, Comics, Contemporary, Cookbooks, Manga, Memoir, Music, Mystery, Non Fiction, Paranormal, Philosophy, Poetry, Psychology, Religion, Romance, Science, Science Fiction, Self Help, Suspense, Spirituality, Sports, Thriller, Travel, Young Adult, Crime, Ebooks, Fantasy, Fiction, Graphic Novels, Historical Fiction, History, Horror, Humor And Comedy, ......................................................................................................................... ......................................................................................................................... .....BEST SELLER FOR EBOOK RECOMMEND............................................................. ......................................................................................................................... Blowout: Corrupted Democracy, Rogue State Russia, and the Richest, Most Destructive Industry on Earth,-- The Ride of a Lifetime: Lessons Learned from 15 Years as CEO of the Walt Disney Company,-- Call Sign Chaos: Learning to Lead,-- StrengthsFinder 2.0,-- Stillness Is the Key,-- She Said: Breaking the Sexual Harassment Story That Helped Ignite a Movement,-- Atomic Habits: An Easy & Proven Way to Build Good Habits & Break Bad Ones,-- Everything Is Figureoutable,-- What It Takes: Lessons in the Pursuit of Excellence,-- Rich Dad Poor Dad: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not!,-- The Total Money Makeover: Classic Edition: A Proven Plan for Financial Fitness,-- Shut Up and Listen!: Hard Business Truths that Will Help You Succeed, ......................................................................................................................... .........................................................................................................................
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  • DOWNLOAD THAT BOOKS INTO AVAILABLE FORMAT (2019 Update) ......................................................................................................................... ......................................................................................................................... Download Full PDF EBOOK here { https://urlzs.com/UABbn } ......................................................................................................................... Download Full EPUB Ebook here { https://urlzs.com/UABbn } ......................................................................................................................... Download Full doc Ebook here { https://urlzs.com/UABbn } ......................................................................................................................... Download PDF EBOOK here { https://urlzs.com/UABbn } ......................................................................................................................... Download EPUB Ebook here { https://urlzs.com/UABbn } ......................................................................................................................... Download doc Ebook here { https://urlzs.com/UABbn } ......................................................................................................................... ......................................................................................................................... ................................................................................................................................... eBook is an electronic version of a traditional print book that can be read by using a personal computer or by using an eBook reader. (An eBook reader can be a software application for use on a computer such as Microsoft's free Reader application, or a book-sized computer that is used solely as a reading device such as Nuvomedia's Rocket eBook.) Users can purchase an eBook on diskette or CD, but the most popular method of getting an eBook is to purchase a downloadable file of the eBook (or other reading material) from a Web site (such as Barnes and Noble) to be read from the user's computer or reading device. Generally, an eBook can be downloaded in five minutes or less ......................................................................................................................... .............. Browse by Genre Available eBooks .............................................................................................................................. Art, Biography, Business, Chick Lit, Children's, Christian, Classics, Comics, Contemporary, Cookbooks, Manga, Memoir, Music, Mystery, Non Fiction, Paranormal, Philosophy, Poetry, Psychology, Religion, Romance, Science, Science Fiction, Self Help, Suspense, Spirituality, Sports, Thriller, Travel, Young Adult, Crime, Ebooks, Fantasy, Fiction, Graphic Novels, Historical Fiction, History, Horror, Humor And Comedy, ......................................................................................................................... ......................................................................................................................... .....BEST SELLER FOR EBOOK RECOMMEND............................................................. ......................................................................................................................... Blowout: Corrupted Democracy, Rogue State Russia, and the Richest, Most Destructive Industry on Earth,-- The Ride of a Lifetime: Lessons Learned from 15 Years as CEO of the Walt Disney Company,-- Call Sign Chaos: Learning to Lead,-- StrengthsFinder 2.0,-- Stillness Is the Key,-- She Said: Breaking the Sexual Harassment Story That Helped Ignite a Movement,-- Atomic Habits: An Easy & Proven Way to Build Good Habits & Break Bad Ones,-- Everything Is Figureoutable,-- What It Takes: Lessons in the Pursuit of Excellence,-- Rich Dad Poor Dad: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not!,-- The Total Money Makeover: Classic Edition: A Proven Plan for Financial Fitness,-- Shut Up and Listen!: Hard Business Truths that Will Help You Succeed, ......................................................................................................................... .........................................................................................................................
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  • DOWNLOAD THAT BOOKS INTO AVAILABLE FORMAT (2019 Update) ......................................................................................................................... ......................................................................................................................... Download Full PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download Full doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download PDF EBOOK here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download EPUB Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... Download doc Ebook here { http://bit.ly/2m6jJ5M } ......................................................................................................................... ......................................................................................................................... ................................................................................................................................... eBook is an electronic version of a traditional print book that can be read by using a personal computer or by using an eBook reader. (An eBook reader can be a software application for use on a computer such as Microsoft's free Reader application, or a book-sized computer that is used solely as a reading device such as Nuvomedia's Rocket eBook.) Users can purchase an eBook on diskette or CD, but the most popular method of getting an eBook is to purchase a downloadable file of the eBook (or other reading material) from a Web site (such as Barnes and Noble) to be read from the user's computer or reading device. Generally, an eBook can be downloaded in five minutes or less ......................................................................................................................... .............. Browse by Genre Available eBooks .............................................................................................................................. Art, Biography, Business, Chick Lit, Children's, Christian, Classics, Comics, Contemporary, Cookbooks, Manga, Memoir, Music, Mystery, Non Fiction, Paranormal, Philosophy, Poetry, Psychology, Religion, Romance, Science, Science Fiction, Self Help, Suspense, Spirituality, Sports, Thriller, Travel, Young Adult, Crime, Ebooks, Fantasy, Fiction, Graphic Novels, Historical Fiction, History, Horror, Humor And Comedy, ......................................................................................................................... ......................................................................................................................... .....BEST SELLER FOR EBOOK RECOMMEND............................................................. ......................................................................................................................... Blowout: Corrupted Democracy, Rogue State Russia, and the Richest, Most Destructive Industry on Earth,-- The Ride of a Lifetime: Lessons Learned from 15 Years as CEO of the Walt Disney Company,-- Call Sign Chaos: Learning to Lead,-- StrengthsFinder 2.0,-- Stillness Is the Key,-- She Said: Breaking the Sexual Harassment Story That Helped Ignite a Movement,-- Atomic Habits: An Easy & Proven Way to Build Good Habits & Break Bad Ones,-- Everything Is Figureoutable,-- What It Takes: Lessons in the Pursuit of Excellence,-- Rich Dad Poor Dad: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not!,-- The Total Money Makeover: Classic Edition: A Proven Plan for Financial Fitness,-- Shut Up and Listen!: Hard Business Truths that Will Help You Succeed, ......................................................................................................................... .........................................................................................................................
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Session live #3 - Fixed Income

  1. 1. MOOC : Fixed Income1er décembre2015 11 Sessionlive #3 FixedIncome Thierry Charpentier &Thierry Belin
  2. 2. MOOC : Fixed Income1er décembre2015 22 Programmede la sessionlive • Programme semaine 3 • Semaine 3 : questions difficiles • Exemples destratégies obligataires • Calcul duprix d’une obligationsur Excel • Réponses aux questions duchat • Programme semaine 4
  3. 3. MOOC : Fixed Income1er décembre2015 33 Programmesemaine 3 • Actualisation • Prix d’uneobligation • Zéro-coupon • Risquedetaux • Duration • Sensibilités • Déformationdela courbedes taux • Gestionobligataire
  4. 4. MOOC : Fixed Income1er décembre2015 44 Semaine3 : Questions difficiles Quiz 3 – Question3 : Pour les obligations, quelles sont les limites de la méthodeactuarielle : 1. Les calculs sont compliqués et fastidieux 2. Ellenéglige le couponcouru 3. Ellene prendpas encomptela structurepar termedela courbedetaux 4. Ellene permet pas decalculer la duration
  5. 5. MOOC : Fixed Income1er décembre2015 55 Semaine3 : Questions difficiles Quiz 3 – Question15 : Letaux actuariel est de4%et la sensibilité de l'obligationest de 8,48. Quelleest la durationde l'obligation: 1. 8,154 2. 8,48 3. 8,819 4. Cela dépendde l’obligation
  6. 6. MOOC : Fixed Income1er décembre2015 66 Exemples de stratégies obligataires
  7. 7. MOOC : Fixed Income1er décembre2015 77 Duration=5.5 Avec Barbell 2020 & 2023
  8. 8. MOOC : Fixed Income1er décembre2015 88 Duration=5.4 Avec Barbell 2021 & 2023
  9. 9. MOOC : Fixed Income1er décembre2015 99 Duration=5.7 Avec ladder 2017 – 2024 +bullet 2022
  10. 10. MOOC : Fixed Income1er décembre2015 1010 Duration=4.9 Risquederéinvestissement proche de zéroen 2016 +ladder 2017 +2022 +Barbell 2019 & 2021
  11. 11. MOOC : Fixed Income1er décembre2015 1111 Duration=5.9 Ladder 2016 -2019 +structure cashflows ascendante2020 -2024 =>roll downdans la courbe
  12. 12. MOOC : Fixed Income1er décembre2015 1212 Duration=3.6 Risquederéinvestissement très important en 2016
  13. 13. MOOC : Fixed Income1er décembre2015 1313 Duration=5.6 Ladder 2016 -2022 +Structure ascendante2019- 2021 +Bullet 2023
  14. 14. MOOC : Fixed Income1er décembre2015 1414 Duration=11 Ladder 2016 -2034 +Bullet 2035
  15. 15. MOOC : Fixed Income1er décembre2015 1515 Duration=5.2 Risquederéinvestissement écarté entre 2016 et 2018, prochedezéroen2016 +Bullet 2020 avec Barbell / 2019 & 2021
  16. 16. MOOC : Fixed Income1er décembre2015 1616 Duration=5.9 Structureascendantede cashflows 2016 2023
  17. 17. MOOC : Fixed Income1er décembre2015 1717 Calcul duprix d’uneobligationsur Excel
  18. 18. MOOC : Fixed Income1er décembre2015 18 Taux derendement actuariel x =portiond’annéeécouléedepuis ledernier coupon (1-x) =portiond’annéejusqu’auprochaincoupon x.C =couponcouru x-n n 1i x-i r)(1 100 r)(1 1 Cx.CcoupondepiedPrix + + + ×=+ ∑=
  19. 19. MOOC : Fixed Income1er décembre2015 19 Sensibilités aux taux d’intérêt r1 Duration éSensibilit + =
  20. 20. MOOC : Fixed Income1er décembre2015 2020 Réponses aux questions duchat
  21. 21. MOOC : Fixed Income1er décembre2015 2121 Programmesemaine 4 • Futures sur obligation(2 vidéos) • Caractéristiques d'unswapdetaux • Bootstrapping • Pricingd'unswapdetaux • Asset swap • Calcul duspreaddecrédit

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