固定收益證券th詳解

1、第4講債券的定價 1 .到期收益率定價法 2 .債券價格和收益率的關系 3 .債券的時間價值 4.無套利定價方法 5.浮動利率債券和反向浮動利率債券的定價 6.收益率差異1.到期收益率貼現(xiàn)定價法到期收益率貼現(xiàn)定價法1.1債券定價的步驟債券定價的步驟 債券價格利息現(xiàn)金流的現(xiàn)值本金現(xiàn)金流的現(xiàn)值債券價格利息現(xiàn)金流的現(xiàn)值本金現(xiàn)金流的現(xiàn)值 式中：P債券價值 C半年支付利息 r貼現(xiàn)率 T剩余的付息次數(shù) F債券面值rFrCPTTtt111C= 40 (SA)F= 1000T= 20 periodsr= 3% (SA) Price: 10-yr, 8% Coupon, Face = $1,00077.148,

2、 1$)03. 1 (100003. 114020201PPtt1.2 預測債券現(xiàn)金流存在困難：1.3 貼現(xiàn)率的確定 債券價格和收益率(要求收益率)之間是反向變動的關系 當收益率很高時,債券價格會非常低 如果收益率趨近0,債券價格等于未來現(xiàn)金流的總和2.債券價格和收益率的關系債券價格和收益率的關系Figure 14.3 The Inverse Relationship Between Bond Prices and YieldsTable 14.2 Bond Prices at Different Interest Rates (8% Coupon Bond, Coupons Paid Sem

3、iannually)Figure 14.4 Bond Prices: Callable and Straight Debt3.債券的時間價值債券的時間價值 如果貼現(xiàn)率=息票率，債券是平價債券 如果貼現(xiàn)率息票率，債券是折價債券 如果貼現(xiàn)率 當基準收益率曲線下斜時， 基準收益率曲線越陡峭，二者差異越大 債券的本金支付越早，二者的差異越大 6.3 適用于含權債券 含贖回權的債券有更高的 和 含回售權的債權有更低的 和 OAS是債券如果不含權時的 ，不包含期權風險補償。 1. On May 30, 2006, Janice Kerr is considering one of the newly is

4、sued 10-year AAA corporate bonds shown in the following exhibit. Description Coupon Price Callable Call PriceSentinal, due May 30, 2016 6.00% 100 Noncallable NAColina, due May 30, 2016 6.20% 100 Currently callable 102a. Suppose that market interest rates decline by 100 basis points (i.e., 1%). Contrast the effect of this decline on the price of each bond.b. Should Kerr prefer the Colina over the Sentinal bond when rates are expected to rise or to fall?c. What would be the effect, if any, of an