金融学原理第八章(兹维博迪).pptVIP

* * Cash Flows for 10% $1,000 Coupon Bond Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * Par, premium, and Discount Bonds A coupon bond with its current price equal to its par value is a par bond If it is trading below par it is a discount bond If it is trading above par it is a premium bond (not to be confused with the U.K. lottery bond of the same name!) Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 8.4 Reading Bond Listings There are traditions for reporting yields and computing earned interest that need to be understood before trading Coupon bonds are often quoted in terms of the annual rate compounded semi-annually T-bills are often quoted on a discount basis e.g., a 1 year T-bill has 364 days outstanding, but a year has only 360 days…(it gets nasty) Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * Reading Bond Listings Take care that the fractional part of a number is understood Is it 16ths, 32nds, 64ths, 100ths or some other convention? Ask price: dealer’s selling price Bid price: dealer’s buying price Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 8.5 Why Yields for the same Maturity Differ The fundamental building block of bonds is the pure discount bond: Coupon bonds may be viewed as a portfolio of discount bonds The rule of one price applies to bonds through pure discount bonds It is a mistake to assume that coupon bonds with the same life have the same yield--their coupon rates differ, leading to a different % mix of discount bonds Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 8.6 The Behavior of Bond Prices Over Time The expected price of pure discount bonds rises exponentially to the face value with time, and the actual price never exceeds par value Coupon bonds are more complex, and their price may exceed their par value, but at maturity they reach their par value Copyright ? 2009 Pearson Education, Inc. Publishing