第七课 投资组合管理.pdfVIP

Fixed Income Portfolio Management Interest rate sensitivity, duration, and convexity Passive bond portfolio management Active bond portfolio management Interest rate swaps 1 Interest rate sensitivity, duration, and convexity
T C F   bond price: ∑t 1 1 y  t  1 y  T , where y  YTM
when yields change, bond prices will change; the percentage price differences will be larger when: – C is lower (given same T ) – T is larger (given same C)
example (text Tables 13.1-13.2): YTM T  1 year T  10 years T  20 years 8% Coupon Bond 8% 1,000.00 1,000.00 1,000.00 9% 990.64 934.96 907.99 % change in price 0.94% 6.50% 9.20% Zero Coupon Bond 8% 924.56 456.39 203.29 9% 915.73 414.64 171.93 % change in price 0.96% 9.15% 17.46% 2
duration measures how long, on average, a bondholder must wait to receive cash payments
a zero maturing in T periods has a duration of T ; a coupon bond maturing in T periods has duration T since some payments are received before T
duration is a weighted average where the weights are the proportion of total bond PV due to the payments, i.e. T D  t W ∑ t