金融市场与金融机构Chapter3.pptVIP

制作人：王曼舒 * 3.4.1 Interest Rate Risk on Different Bonds Two bonds with same term to maturity can have different interest rate risk The following example. 制作人：王曼舒 * 3.4.1.1 Example (1) Bond 1: 10-year zero-coupon bond, interest rate rise from 10% to 20%, the effect on rate of capital gain (g)? year one: N=10, I/Y=10, PMT=0, FV=1000 PV=385.54 year two: N=9, I/Y=20, PMT=0, FV=1000 PV=193.81 g=(193.81-385.54)/385.54=-49.7% Rate of return=-49.7+0(coupen received）=-49.7% 制作人：王曼舒 * 3.4.1.2 Example (2) Bond 2: 10-year bond, initial current yield 10%, initial price $1000, interest rate rise from 10% to 20%, the effect on rate of capital gain (g)? year one: PV=1000(price first year) year two: N=9, I/Y=20, PMT=100, FV=1000 PV=596.90 (price second year) g=(596.90-1000)/1000=-40.3% Rate of return=-40.3+10%（coupen received） =-30.3% 制作人：王曼舒 * 3.4.2 Calculating Duration Frederick Macaulay invented the concept of duration, to calculate the duration or effective maturity on any debt security. Macaulay realized that he could measure the effective maturity of a coupon bond by recognizing that a coupon bond is equivalent to a set of zero-coupon dicount bonds 制作人：王曼舒 * 3.4.2.1 Calculating Duration i = 10%, 10-Year 10% Coupon Bond 制作人：王曼舒 * 3.4.2.2 Particulars on Calculation Column (3): the PV of each of the zero-coupon bonds when the interest rate is 10%; Column (4): divide each of these PV by $1000, the total PV of the set of zero-coupen bonds (also the real PV of this 10% interest rate coupon bond), to get the percentage of the total value of all the bonds that each bond represents, or so called the weight; Column (5): time each of these weights by the relative number of years ((1)*(4)) and we get the weighted maturities (the years for each of the effective payments) . Adding up allthe weighted maturities, we obtain the duration of the 10% 10-year coupon bond. Duration is a weighted average of the maturities of th