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Perbandingan Sensitivitas Harga Obligasi Berdasarkan Durasi Macaulay dan Durasi Eksponensial dengan Pengaruh Konveksitas (Studi Empiris pada Data Obligasi Korporasi Indonesia yang Terbit Tahun 2015)

*Di Asih I Maruddani scopus  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Abdul Hoyyi scopus  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright (c) 2017 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0/.

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Abstract

Macaulay duration has often been used as a measure of the bond prices sensitivity to changes in interest rates. For a small change in interest rates, the duration provides a good approximation of the actual change in price. As the change in interest rates gets larger, the duration approximation has larger errors. The convexity of bond prices change is often used as a way to improve the accuracy of the approximation. Several authors have pointed out that the natural logarithm of bond price is a better measure of percentage changes in bond prices as interest rates change. Based on this idea, this paper derives an accurate method of estimating percentage bond price changes in response to changes in interest rates, which is called exponential duration. This paper gives new estimation of bond prices using exponential duration with convexity approach. It will be shown that the new estimation bond prices is always more accurate than by Macaulay duration with convexity approach. For empirical study, it is used corporate bond data, which is published by Indonesian Bond Pricing Agency in 2015. The result support the theory that error value of Macaulay duration with convexity is more than the error value of exponential duration with convexity.

Keywords:

Bond Price, Convexity, Exponential Duration, Macaulay Duration, Modified Duration

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    Putri Devitasari, Di Asih I Maruddani, Puspita Kartikasari. Jurnal Gaussian, 11 (4), 2023. doi: 10.14710/j.gauss.11.4.532-541

Last update: 2024-11-21 17:02:10

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