固定收益证券第四章.pptVIP

1. On May 30, 2006, Janice Kerr is considering one of the newly issued 10-year AAA corporate bonds shown in the following exhibit. Description Coupon Price Callable Call Price Sentinal, due May 30, 2016 6.00% 100 Noncallable NA Colina, due May 30, 2016 6.20% 100 Currently callable 102 a. Suppose that market interest rates decline by 100 basis points (i.e., 1%). Contrast the effect of this decline on the price of each bond. b. Should Kerr prefer the Colina over the Sentinal bond when rates are expected to rise or to fall? c. What would be the effect, if any, of an increase in the volatility of interest rates on the prices of each bond? 第4讲　债券的定价 1 .到期收益率定价法 2 .债券价格和收益率的关系 3 .债券的时间价值 4.无套利定价方法 5.浮动利率债券和反向浮动利率债券的定价 6.收益率利差 1.到期收益率贴现定价法1.1债券定价的步骤 债券价格＝利息现金流的现值＋本金现金流的现值 C = 40 (SA) F = 1000 T = 20 periods y = 3% (SA) Price: 10-yr, 8% Coupon, Face = $1,000 1.2 预测债券现金流存在困难： 1.3 贴现率的确定 债券价格和收益率(要求收益率)之间是反向变动的关系 当收益率很高时,债券价格会非常低 如果收益率趋近0,债券价格等于未来现金流的总和 2.债券价格和收益率的关系 Figure 14.3 The Inverse Relationship Between Bond Prices and Yields Table 14.2 Bond Prices at Different Interest Rates (8% Coupon Bond, Coupons Paid Semiannually) Figure 14.4 Bond Prices: Callable and Straight Debt 3.债券的时间价值 如果贴现率=息票率，债券是平价债券 如果贴现率息票率，债券是折价债券 如果贴现率息票率，债券是溢价债券 a bond will sell at par value when its coupon rate equals the market interest rate. No further capital gain is necessary to provide fair compensation. When the coupon rate is lower than the market interest rate, the coupon payments alone will not provide investors as high a return as they could earn elsewhere in the market. The bonds, therefore, would have to sell below par value to provide a “built-in” capital gain on the investment. Conversely, if the coupon rate exceeds the market interest rate, the interest income by itself is greater than that available elsewhere in the market. Investors will bid up the price of these bonds above their par values. Pr