对外经济贸易大学投资学课件9课程.pptVIP

Bond Pricing Relationships Inverse relationship between price and yield An increase in a bond’s yield to maturity results in a smaller price decline than the gain associated with a decrease in yield Long-term bonds tend to be more price sensitive than short-term bonds Bond Pricing Relationships (cont’d) As maturity increases, price sensitivity increases at a decreasing rate Price sensitivity is inversely related to a bond’s coupon rate Price sensitivity is inversely related to the yield to maturity at which the bond is selling Duration A measure of the effective maturity of a bond The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment Duration is the slope of the price-yield curve expressed as a fraction of the bond price Duration can be used to measure the sensitivity of bond price changes to yield changes Duration: Calculation Duration calculation example Two year bond, coupon rate 6%, yield to maturity 8%, par value $1,000, compute the duration Compute the bond price first 60/(1+8%)+1060/(1+8)2=964.33 Compute the duration [1*60/(1+8%)+2*1060/(1+8)2]/964.33=1.94 Rules for Duration Rule 1 The duration of a zero-coupon bond equals its time to maturity Rule 2 Holding maturity constant, a bond’s duration is higher when the coupon rate is lower Rule 3 Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity Rule 4 Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower Duration/Price Relationship Price change is proportional to duration ?P/P = -D x [?(1+y) / (1+y) D* = modified duration D* = D / (1+y) ?P/P = - D* x ?y Duration/price relationship-example 30 year bond, coupon rate 8%, yield to maturity 9%, current price $897.26, modified duration is 11.37 years, if yield to maturity increases to 9.1%, what is the price changes? ?P = -D *x ?(y)*P =-11.37*897.26*(9.1%-9%) =-9.36 Pric