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1/ 🆕 at Quant's Perspective @ScalableCapDACH @ScalableCapital

Impacts of Yield Curve Changes on Fixed-Income Security Prices (by @ChrisAndData)

uk.scalable.capital/quants-perspec…

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2/ This is the third article in our fixed-income series on Quant's Perspective.

uk.scalable.capital/quants-perspec…
3/ Changes in yields result in price changes for fixed-income securities, i.e., securities that can be described via a series of future cash-flows. We demonstrate the relation between yield curves and bond prices using hypothetical and true yield curve developments.
4/ Scenario A.1: Constant yield curves over time.

The graphic 📈📊 shows (left to right) the development of the discount factor, yield curves and the price evolution of a zero-coupon bond. Image
5/ Scenario A.2: Constant yield curves over time with coupon-paying bond.

📈📊 Yield curve development together with price evolution for bonds w/ and w/o coupons. Image
6/ Scenario B: A single yield curve shift.

📈📊 Yield curve development together with price evolution for bonds w/ and w/o coupons. Image
7/ Scenario C: The true historic yield curve evolution of US Treasury yields.

📈📊 Yield curve development together with price evolution for bonds w/ and w/o coupons. Image
8/ Scenario D: A single yield curve shift together with re-investment of coupons (total return).

📈📊 Yield curve development together with price and total return evolution of a coupon-paying bond. Image
9/ Scenario E: The true historic yield curve evolution of US Treasury yields together with re-investment of coupons (total return).

📈📊 Yield curve development together with price and total return evolution of a coupon-paying bond. Image
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