投资学债券资产组合管理.pptVIP

Investments, 8 th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. CHAPTER 16 Managing Bond Portfolios 16-2 ? Inverse relationship between price and yield ? An increase in a bonds 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 Bond Pricing Relationships 16-3 Figure 16.1 Change in Bond Price as a Function of Change in Yield to Maturity 16-4 ? As maturity increases, price sensitivity increases at a decreasing rate ? Price sensitivity is inversely related to a bonds coupon rate ? Price sensitivity is inversely related to the yield to maturity at which the bond is selling Bond Pricing Relationships Continued 16-5 Table 16.1 Prices of 8% Coupon Bond (Coupons Paid Semiannually) 16-6 Table 16.2 Prices of Zero-Coupon Bond (Semiannually Compounding) 16-7 ? A measure of the effective maturity of a bond ? The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment ? Duration is shorter than maturity for all bonds except zero coupon bonds ? Duration is equal to maturity for zero coupon bonds Duration 16-8 t t t w CF y ice ? ? ( ) 1 Pr t w t D T t ? ? ? ? 1 CF Cash Flow for period t t ? Duration: Calculation 16-9 Spreadsheet 16.1 Calculating the Duration of Two Bonds 16-10 Price change is proportional to duration and not to maturity D * = modified duration Duration/Price Relationship (1 ) 1 P y Dx P y ? ? ? ? ? ? ? ? ? ? ? ? * P D y P ? ? ? ? 16-11 Rules for Duration Rule 1 The duration of a zero-coupon bond equals its time to maturity Rule 2 Holding maturity constant, a bonds duration is higher when the coupon rate is lower Rule 3 Holding the coupon rate constant, a bonds duration generally increases with its time to maturity Rule 4 Holding other factors constant,