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Python for Finance. - Second Edition

You're reading from Python for Finance. - Second Edition

Product type Book

Published in Jun 2017

Publisher

ISBN-13 9781787125698

Pages 586 pages

Edition 2nd Edition

Languages

Concepts

Table of Contents (23) Chapters

Python for Finance Second Edition

Credits

About the Author

About the Reviewers

www.PacktPub.com

Customer Feedback

Preface

1. Python Basics

2. Introduction to Python Modules

3. Time Value of Money

4. Sources of Data

Diving into deeper concepts

5. Bond and Stock Valuation

6. Capital Asset Pricing Model

7. Multifactor Models and Performance Measures

8. Time-Series Analysis

9. Portfolio Theory

10. Options and Futures

11. Value at Risk

12. Monte Carlo Simulation

13. Credit Risk Analysis

14. Exotic Options

15. Volatility, Implied Volatility, ARCH, and GARCH

Index

Credit spread

Credit spreads (default risk premium) reflect their default risk. For example, to estimate the present value of a coupon payment in two years for an AA rated bond, the discount rate (yield) will be a risk-free rate plus the corresponding spread. For a given credit rating, its credit spread could be found by using historical data. Here is a typical table showing the relationship between credit risk premium (spread) and the credit rating, see the following table:

We thank Prof Adamodar for making the dataset available at his website, http://people.stern.nyu.edu/adamodar/pc/datasets/:

Credit Spread based on credit rating

Spreads, except the last row in the preceding table, have a unit of basic-point, which is the 100th of one percent. For example, or an A- (A minus) rated bond with a maturity of five years, its spared is 83.6 basis points. Since the risk-free is 1.582% (for a 5-year treasury rate), the YTM for this bond will be 2.418%, that is, 0.01582+83.6/100/100. Based on the...

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