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Bond Math and Pricing
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Module 10
Practical Risk Management and Hedging Metrics
1
PVBP/DVBP: From Modified Duration to Value
Define and derive Price Value of a Basis Point (PVBP) / Dollar Value of a Basis Point (DVBP) from Modified Duration.
PVBP and DVBP: Quantifying Interest Rate Risk in Python
Calculate PVBP and DVBP in Python and use them to quantify interest rate risk in dollar terms.
3
Building a Python Bond Analytics Toolkit
Consolidate all key bond analytics (Price, YTM, Duration, Convexity, PVBP) into a reusable Python class or function.
4
Generating a Comprehensive Bond Risk Report
Develop a report function that outputs the complete risk profile for any given bond in a structured format.
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