: :
90010006%
Promised yield-to-maturity
(underpriced) (overpriced)
yield spread
---- Ct --- ---
:19843020146.875%1995207.5%
I=$1000*6.875%=$68.75 2014M=$1000 7.5% 7.5%
V C , Mn i
VCttinM
P17912%20100015%
:12%20100015% 812.18 811.08
12----- 0.15/2=0.075,
n=0.5
n=2
r
p18010002515%
696696200661411.83%2000615141.6i=3% ,
i=3% n=60.8375V=143.53=IRR=3.92%
(YTM)(HPR)
:100,10%,101, :(100x10%)/101 x100%=9.90%
=/x100%
YTM Yield to Maturity---YTM P0 IRR P0 V
IRR
=x+X
=
100251000== P182
=
iACMP0N
I call t P callNP185
HPR)
HPR 100()
p186
308010008%10508%8%
()E(HPR) EHPR
1 M=1000C=80 n=5
P=1000i=8% P=1100i=5.65% P=900 i=10.68%
2 P190
3510151051510
41 : An=5M=1000i=9%P=1082y=7% Bn=5M=1000i=7%P=1000 y=7% y=8% A P= 1039.93 42.07 3.888% B P=960.03 39.97 3.997%P190
5 Bn=5M=1000i=7% P=1000y=7% 1%y=6% P=1042.1242.12, 4.212% 1%y=8% P=960.03 39.97 , 3.997% _P190
Convexity
1 2192 3)(purchasing power risk) 4)liquidity risk5)risk of call 6)default risk 7)
--8%301150101100
6.64%6.82%
Yield to call
Yield to maturity
Coupon payment
40
40
Number of semiannual periods
20
60
Final payment
1100
1000
price
1150
1150
1100p185
123
(expected yield-to-maturity)(promised yield)
---- Duration -- AB1010% --A1001000B --6% AB
DurationMacaulay1938DurationMacaulay
P
Bond : coupon 80, par value 1000, maturity 3 years, price 950.25, yield to maturity 10%P195
Duration
DurationDuration P197
What determines duration?Duration
Zero coupon bond15% coupon YTM=6%3% coupon YTM=15%15% coupon YTM=15%Maturity
Convexity
Convexity 15
Duration
123
(spot rate) (forward rate)
22
ABA934.58B857.34A
B
1 PC M PM C
A934.58B5%946.93 S1=1000/934.58-1=7% S2=8%
S1=7%S2=8% f12=9.01% 9.01%
7%8%11
PV
N0N
=7.66%
()S1=7% S2=8% 11.16641.08*1.08 10%11.1771.07*1.106%11.13421.07*1.06)
:
bond management Passive methods(security selection)(market timing) Active methods
Passive methods :Immunization shield the overall financial status of the institution from exposure to interest rate fluctuations. P220 P221
2. Active bond management -contingent immunization - - - - - -
1.2.3.4. 5. 6. 7. 1996100010%519983%
157%769.401000,710 A8 B8 10000ABA8950B410507
123
1 V D r
2 DGM
2
gg
g
2
3
PER,price-to-earnings ratioP/EPEEPS(earnings per share)P=PER0*EPSPER0EPSPER0
Adobe Systems
23.2
Autodesk
20.4
Broderbund
32.8
Computer Associates
18.0
Lotus Development
24.1
Microsoft
27.4
Oracle
37.8
Software Publishing
10.6
System Software
15.7
24.0
P/E=V/E=1/r239gP/E=V/E=(1+g)/(r-g)
:210%15% 12.5%
30.433100%10%50%50%
4Elix 1.15 415% g1=15%; 10%g2=10% 15%
179
3%6(IRR)ExcelIRR696
p251p100p211-213p100-104wzq
p111230
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