Bond markets analysis and strategies Pricing of Bonds参考.ppt

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Bond markets analysis and strategies Pricing of Bonds参考.ppt

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Bond markets analysis and strategies Pricing of Bonds参考

Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Exhibit 2-4Creation of an Inverse Floater Floating-rate Bond (“Floater”) Inverse-floating-rate bond (“Inverse floater”) Collateral (Fixed-rate bond) Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest Price Quotes A bond selling at par is quoted as 100, meaning 100% of its par value. A bond selling at a discount will be selling for less than 100. A bond selling at a premium will be selling for more than 100. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest(continued) When quoting bond prices, traders quote the price as a percentage of par value. Exhibit 2-5 illustrate how a price quote is converted into a dollar price. (See truncated version of Exhibit 2-5 in Overhead 2-35.) When an investor purchases a bond between coupon payments, the investor must compensate the seller of the bond for the coupon interest earned from the time of the last coupon payment to the settlement date of the bond. This amount is called accrued interest. For corporate and municipal bonds, accrued interest is based on a 360-day year, with each month having 30 days. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Exhibit 2-5 Price Quotes Converted into a Dollar Price (1) Price Quote (2) Converted to a Decimal [= 1)/100] (3) Par Value (4) Dollar Price [= (2) × (3)] 80 1/8 0.8012500 10,000 8,012.50 76 5/32 0.7615625 1,000,000 761,562.50 86 11/64 0.8617188 100,000 86,171.88 100 1.0000000 50,000 50,000.00 109 1.0900000 1,000 1,090.00 103 3/4 1.0375000 100,000 103,750.00 105 3/8 1.0537500 25,000 26,343.75 Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest(continued) The amount that the buyer pays the seller is the agreed-upon price plus accrued interest. This is often referred to as the full price or dirty price. The price of a b