固定收益证 券Measuring Yield.pptVIP

* * * * * * * Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 4-* EXHIBIT 4-15 Calculation of Convexity Measure and Dollar Convexity Measure for Five-Year 6% Bond Selling to Yield 9% Coupon rate: 6.00% Term (years): 5 Initial yield: 9.00% Price: 88.1309 Period, t Cash Flow 1/(1.045)t+2 t(t + 1)CF t(t + 1)CF (1.045) t+2 1 3.00 0.876296 6 5.257 2 3.00 0.838561 18 15.094 3 3.00 0.802451 36 28.888 4 3.00 0.767895 60 46.073 5 3.00 0.734828 90 66.134 6 3.00 0.703185 126 88.601 7 3.00 0.672904 168 113.047 8 3.00 0.643927 216 139.088 9 3.00 0.616198 270 166.373 10 103.00 0.589663 11,330 6,680.891 12,320 7,349.446 Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 4-* Convexity (continued) Using duration and convexity measures together gives a better approximation of the actual price change for a large movement in the required yield. Some Notes on Convexity ?Three points to know for a bond’s convexity and convexity measure. Convexity refers to the general shape of the price-yield relationship, while the convexity measure relates to the quantification of how the price of the bond will change when interest rates change. The approximation percentage change in price due to convexity is the product of three numbers: ? , convexity measure, and square of the change in yield. In practice different vendors compute the convexity measure differently by scaling the measure in dissimilar ways. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 4-* Convexity (continued) Value of Convexity? Up to this point, we have focused on how taking convexity into account can improve the approximation of a bond’s price change for a given yield change. The convexity of a bond, however, has another important investment implication, which is illustrated in Exhibit 4-16 (see Overhead 4-43). Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 4-* Exhibit 4-16Comparison of Convexity of Two Bonds Price Yield Bond A Bond