固定收益證券th詳解

1、第4講債券的定價(jià) 1 .到期收益率定價(jià)法 2 .債券價(jià)格和收益率的關(guān)系 3 .債券的時(shí)間價(jià)值 4.無(wú)套利定價(jià)方法 5.浮動(dòng)利率債券和反向浮動(dòng)利率債券的定價(jià) 6.收益率差異1.到期收益率貼現(xiàn)定價(jià)法到期收益率貼現(xiàn)定價(jià)法1.1債券定價(jià)的步驟債券定價(jià)的步驟 債券價(jià)格利息現(xiàn)金流的現(xiàn)值本金現(xiàn)金流的現(xiàn)值債券價(jià)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(jià)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(yù)測(cè)債券現(xiàn)金流存在困難：1.3 貼現(xiàn)率的確定 債券價(jià)格和收益率(要求收益率)之間是反向變動(dòng)的關(guān)系 當(dāng)收益率很高時(shí),債券價(jià)格會(huì)非常低 如果收益率趨近0,債券價(jià)格等于未來(lái)現(xiàn)金流的總和2.債券價(jià)格和收益率的關(guān)系債券價(jià)格和收益率的關(guān)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(shí)間價(jià)值債券的時(shí)間價(jià)值 如果貼現(xiàn)率=息票率，債券是平價(jià)債券 如果貼現(xiàn)率息票率，債券是折價(jià)債券 如果貼現(xiàn)率 當(dāng)基準(zhǔn)收益率曲線下斜時(shí)， 基準(zhǔn)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(quán)債券 含贖回權(quán)的債券有更高的 和 含回售權(quán)的債權(quán)有更低的 和 OAS是債券如果不含權(quán)時(shí)的 ，不包含期權(quán)風(fēng)險(xiǎn)補(bǔ)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