Investment Theory_Week 5_Contextual

Index-Linked Issuance Price (Indonesia)

library(readxl)
IHK_DATA <- read_excel("IHK.xlsx")
head(IHK_DATA)

## # A tibble: 6 × 2
##   TIME                  IHK
##   <dttm>              <dbl>
## 1 2022-07-01 00:00:00  112.
## 2 2022-08-01 00:00:00  112.
## 3 2022-09-01 00:00:00  113.
## 4 2022-10-01 00:00:00  113.
## 5 2022-11-01 00:00:00  113.
## 6 2022-12-01 00:00:00  114.

Calculating Inflation Rate

library(dplyr)

## 
## Attaching package: 'dplyr'

## The following objects are masked from 'package:stats':
## 
##     filter, lag

## The following objects are masked from 'package:base':
## 
##     intersect, setdiff, setequal, union

data_ihk <- IHK_DATA %>%
  mutate(Tingkat_Inflasi = ((IHK_DATA$IHK - lag(IHK_DATA$IHK))/lag(IHK_DATA$IHK)))
data_ihk

## # A tibble: 14 × 3
##    TIME                  IHK Tingkat_Inflasi
##    <dttm>              <dbl>           <dbl>
##  1 2022-07-01 00:00:00  112.       NA       
##  2 2022-08-01 00:00:00  112.       -0.00206 
##  3 2022-09-01 00:00:00  113.        0.0117  
##  4 2022-10-01 00:00:00  113.       -0.00106 
##  5 2022-11-01 00:00:00  113.        0.000887
##  6 2022-12-01 00:00:00  114.        0.00656 
##  7 2023-01-01 00:00:00  114.        0.00343 
##  8 2023-02-01 00:00:00  114.        0.00158 
##  9 2023-03-01 00:00:00  114.        0.00175 
## 10 2023-04-01 00:00:00  115.        0.00332 
## 11 2023-05-01 00:00:00  115.        0.000872
## 12 2023-06-01 00:00:00  115         0.00139 
## 13 2023-07-01 00:00:00  115.        0.00209 
## 14 2023-08-01 00:00:00  115.       -0.000174

f.12 = mean(data_ihk$Tingkat_Inflasi[2:nrow(data_ihk)])
f.12

## [1] 0.002326256

inf = (1 + f.12)^(12) - 1
inf

## [1] 0.02827502

Calculating Real Return Rate

i.2 = 0.063831
effective=function(nominal,convertible){
  effective=(1+(nominal/convertible))^(convertible)-1
  return(effective)
}
effective(i.2, 2)

## [1] 0.0648496

real = function(f, i){
  real = (1 + i)/(1 + f) - 1
  return(real)
}
r.return = real(inf, effective(0.063831,2))
r.return

## [1] 0.03556887

real.r = function(r, convert){
  real.r = ((1+r)^(1/convert)-1)*convert
  return(real.r)

}
r.return2 = real.r(r.return, 2)
r.return2

## [1] 0.03525809

Issuance Bond Price

d = 0.063750    
n = 4.90*2
Issue=function(I_t1,I_t0,f,D,i2,n){
  index=(I_t1/I_t0)/((1+f)^0.5)
  coupon=((D*100)/2)*(1-(1+i2/2)^(-n))/(i2/2)
  redemption=100*(1+i2/2)^(-n)
  payment=coupon+redemption
  Issue=index*payment
  return(Issue)
}
Issue(IHK_DATA$IHK[9], IHK_DATA$IHK[3], inf, d, r.return2, n)

## [1] 112.626