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首页 Bond Features债券的特点

Bond Features债券的特点.doc

Bond Features债券的特点

张文菱
2017-11-27 0人阅读 举报 0 0 暂无简介

简介:本文档为《Bond Features债券的特点doc》,可适用于高等教育领域

BondFeatures债券的特点BondFeatures,BondevidenceofdebtissuedbyacorporationoragovernmentalbodyAbondrepresentsaloanmadebyinvestorstotheissuerInreturnforhishermoney,theinvestorreceivesalegaIclaimonfuturecashflowsoftheborrowerTheissuerpromisesto:Makeregularcouponpaymentseveryperioduntilthebondmatures,andpaythefacevalue(orparvalue)ofthebondwhenitmaturesCoupon:theinterestpaymentmadeonabondFacevalue:theprincipalamountofabondthatisrepaidattheendofthetermMaturity:specifieddateonwhichtheprincipalamountofabondispaid,BondpricingBondprice=Coupon(PVIFAr,t)Facevalue(PVIFr,t),Ifabondhasfiveyearstomaturity,an$annualcoupon,anda$facevalue,itscashflowswouldlooklikethis:Time$Coupons$$$$FaceValue$HowmuchisthisbondworthItdependsonthelevelofcurrentmarketinterestratesIfthemarketrateonbondslikethisoneis,thenthisbondisworthB=(PVIFA,)(PVIF,)=**==$,,WhatifmarketinterestratechangesafterissueSupposemarketrateincreasestotwoyearsfromissueB=(PVIFA,)(PVIF,)=()()==,WhatifmarketinterestratedecreasestotwoyearsfromissueB=(PVIFA,)(PVIF,)=**==$,YTM>coupon(Discountbonds),Thecouponpaymentsalonewillnotprovideinvestorsashighareturnastheycouldearnelsewhereinthemarket,Toreceiveafairreturnonsuchaninvestment,investorsalsoneedtoearnpriceappreciationontheirbondsThus,thebondswouldhavetosellbelowparvaluetoprovidea“builtin”capitalgainontheinvestmentYTM<coupon(Premiumbonds),Ifthecouponrateexceedsthemarketinterestrate,theinterestincomebyitselfisgreaterthanthatavailableelsewhereinthemarket,Investorswillbidupthepriceofthesebondsabovetheirparvalues,TheresultingcapitallossesoffsetthelargecouponpaymentssothatthebondholderreceivesonlyafairrateofreturnYTM=coupon:BondswithapriceequaltoparvalueParbondsYields,Couponrateorcouponyield:abond’sannualcoupondividedbyitsparvalue,Currentyield:abond’sannualcoupondividedbythebondprice,YieldtomaturityThemarketinterestrateforbondswithsimilarfeaturesThisisthediscountratethatequatesabond’spricewiththepresentvalueofisfuturecashflows,Theyieldtomaturity(or“YTM”)istheinterestraterequiredinthemarketonabondInotherwords,YTMistheratethatmakesthepriceofthebondjustequaltothepresentvalueofitsfuturecashflows,Supposethecurrentbondpriceis$Annualcouponrateis,maturityisyearsfromnow,andfacevalueis$FindYTM,$=$(PVIFAr,)$(PVIFr,)Givenabondvalue,coupon,timetomaturity,andfacevalue,itispossibletofindtheimplicitdiscountrate,oryieldtomaturity,bytrialanderroronlyTodothis,trydifferentdiscountratesuntilthecalculatedbondvalueequalsthegivenbondvalueRememberthatincreasingtheratedecreasesthebondvalue,TheonlywaytofindtheYTMistrialanderror:But,weknowthatthisbondisdiscountedSo,rshouldbehigherthancouponrateThecouponrateis=andB=aTry:$(PVIFA,)$(PVIF,)=$bTry:$(PVIFA,)$(PVIF,)=$cTry:$(PVIFA,)$(PVIF,)=$Therefore,YTMisbetweenandInterestRateRiskandTimetoMaturity,Issuedyearbondsoneyearago,t=yearsCouponrate=YTM=(not)SemiannualpaymentsAssumefacevalue=$,Convertannualunitsintosemiannualunits,t=Couponratemonths==permonthsYTM==B=(PVIFA,)(PVIF,)=**==$,Callablebonds•Bondsthatmayberepurchasedbytheissuerataspecifiedcallpriceduringthecallperiod•Acallusuallyoccursafterafallinmarketinterestratesthatallowsissuerstorefinanceoutstandingdebtwithnewbonds•Generally,thecallpriceisabovethebond’sfacevalueThedifferencebetweenthecallpriceandthefacevalueisthecallpremium•Bondsarenotusuallycallableduringthefirstfewyearsofabond’slifeDuringthisperiodthebondissaidtobecallprotected•Decreasingyieldscausebondpricestorise,butlongtermbondsincreasemorethanshorttermSimilarly,increasingyieldscauselongtermbondstodecreaseinpricemorethanshorttermbondsMalkiel’sTheoremsSummarizestherelationshipbetweenbondprices,yields,coupons,andmaturity:alltheoremsareceterisparibus:)Bondpricesmoveinverselywithinterestrates)Thelongerthematurityofabond,themoresensitiveisit’spricetoachangeininterestrates)Thepricesensitivityofanybondincreaseswithit’smaturity,buttheincreaseoccursatadecreasingrateAyearbondismuchmoresensitivetochangesinyieldthanayearbondHowever,ayearbondisonlyslightlymoresensitivethanayearbond)Thelowerthecouponrateonabond,themoresensitiveisit’spricetoachangeininterestrates•Iftwobondswithdifferentcouponrateshavethesamematurity,thenthevalueoftheonewiththelowercouponisproportionatelymoredependentonthefaceamounttobereceivedatmaturity•Asaresult,allotherthingsbeingequal,thevalueoflowercouponbondswillfluctuatemoreasinterestrateschange•Putanotherway,thebondwiththehighercouponhasalargercashflowearlyinitslife,soitsvalueislesssensitivetochangesinthediscountrate)Foragivenabsolutechangeinabond’syieldtomaturity,themagnitudeofthepriceincreasecausedbyadecreaseinyieldisgreaterthanthepricedecreasecausedbyanincreaseinyieldMalkiel’sTheorems(#)BondPricesandYields(bond)Malkiel’sTheorems(#)YearBondPricesandYieldsMalkiel’sTheorems(#)coupon,yearbondDuration•Pricesensitivitytendstoincreasewithtimetomaturity•Needtodealwiththeambiguityofthe“maturity”ofabondmakingmanypayments•Durationmeasuresabond’ssensitivitytointerestratechanges•Morespecifically,durationisaweightedaverageofindividualmaturitiesofallthebond’sseparatecashflows•Theweightisthepresentvalueofthepaymentdividedbythebondprice•CalculateadurationforabondwiththreeyearsuntilmaturityofCouponrateandyieldCalculatingParValueBondDurationTocalculatingMacaulay’sDurationforanyotherbond:C=annualcouponrateM=maturity(years)Assumeyouhaveabondwithcoupon,YTM,andyearstomaturityCalculateMacaulay’sDurationPriceChangeDurationCalculatingPriceChangePriceChangeDuration•Zerocouponbond:duration=maturity•DurationProperties•Longermaturity,longerduration•Durationincreasesatadecreasingrateasmaturitylengthens•Lowercoupon,longerduration•Higheryield,shorterdurationYTM=NowcalculatetheMacaulay’sdurationSolution:

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