Chap016 Managing Bond Portfolios 博迪投资学教材.pptVIP

CHAPTER 16;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;Figure 16.1 Change in Bond Price as a Function of Change in Yield to Maturity;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;Table 16.1 Prices of 8% Coupon Bond (Coupons Paid Semiannually);Duration: Calculation;Spreadsheet 16.1 Calculating the Duration of Two Bonds;Price change is proportional to duration and not to maturity D* = modified duration ;Rules for Duration;Figure 16.2 Bond Duration versus Bond Maturity;Table 16.3 Bond Durations (Yield to Maturity = 8% APR; Semiannual Coupons);Convexity;Figure 16.3 Bond Price Convexity: 30-Year Maturity, 8% Coupon; Initial Yield to Maturity = 8%;Correction for Convexity;Figure 16.4 Convexity of Two Bonds;Callable Bonds;Figure 16.5 Price –Yield Curve for a Callable Bond;Mortgage-Backed Securities;Figure 16.6 Price -Yield Curve for a Mortgage-Backed Security;Mortgage-Backed Securities Continued;Figure 16.7 Panel A: Cash Flows to Whole Mortgage Pool; Panels B–D Cash Flows to Three Tranches;Bond-Index Funds Immunization of interest rate risk: Net worth immunization Duration of assets = Duration of liabilities Target date immunization Holding Period matches Duration;Figure 16.8 Stratification of Bonds into Cells;Table 16.4 Terminal value of a Bond Portfolio After 5 Years (All Proceeds Reinvested);Figure 16.9 Growth of Invested Funds;Figure 16.10 Immunization;Table 16.5 Market Value Balance Sheet;Cash Flow Matching and Dedication;Substitution swap Intermarket swap Rate anticipation swap Pure yield pickup Tax swap;Horizon Analysis;Contingent Immunization;Figure 16.11 Contingent Immunization