固定收入证券课件.pptxVIP

Fixed Income MathematicsAnalytical $ Statistical TechniquesThird Edition FRANK J.FABOZZI,CFA;PREFACE;;;CHAPTER 1--INTRODUTION;;;;;CHAPTER 2--FUTURE VALUE;;FUTURE VALUE OF AN INVESTMENT;;;;;Fractional Periods;;FUTURE VALUE OF AN ORDINARY ANNUITY;Future Value of a n Or dinary Annuity of $10,000 Per Year for 5 Years;;;;CHAPTER3 PRESNNT VALUE ;PRESENT VALUE OF A SINGLE AMOUNT TO BE RECEIVED ;;;;;PRESENT VALUE FOR A FRACTIONAL PERIED;PROPERTIES OF PRESENT VALUE;PRESENT VALUE OF A SERIES OF FUTURE VALUES;;;;PRESENT VALUE OF AN ORDINARY ANNUITY; ;;;Perpetual Annuity:Special Case ;PRESENT VALUE WHEN THE FREQUENCY IS MORE THAN ONCE PER YEAR;;Unequal Discount Rates;;The present value of each promised payment is shown below.Each payment is discounted at the required yield.;PRICING ANY FINANCIAL INSTRUMENT;;CHAPTER4—YIELD(INTERNAL RATE OF RETURN);COMPUTING THE YIELD ON ANY INVESTMENT ;;Step-by-Step Summary of Yield Computation for Any Investment;;;;;The yield can be computed by a trial-and-error procedure, as summarized in the table below:;;YIELD CALCULATION WHEN THERE IS ONLY ONE CASH FLOW;;;ANNUALIZING YIELDS;;;SUMMARY;CHAPTER 5—THE PRICE OF A BOND;DETERMINING THE CASH FLOWS;;;DETERMINING THE REQUIRED YIELD;PRICING A BOND;;;;;;;RELATIONSHIP BETWEEN REQUIRED YIELD AND PRICE AT A GIVEN TIME;EXHIBIT 5-1 Price/Yield Relationship for a 20-Year,9% Coupon Bond;EXHIBIT 5-2 Price/Yield Relationship for an Option-Free Bond;RELATIONSHIPS AMONG COUPON RATE,REQUIRED YIELD,AND PRICE;TIME PATH OF A BOND;;;ANALYSIS OF BOND PRICE CHANGES;;THE PRICE OF A ZERO-COUPON BOND;;;PRICE QUOTATIONS;DETERMINING THE PRICE WHEN THE SETTLEMENT DATE FALLS BETWEEN COUPON PERIODS;Day Count Conventions;;Compounding;;Accrued Interest ;;;PRICE BUYER PAYS AND PRICE QUOTES;;CHAPTER 6 CONVENTIONAL YIELD MEASURES FOR BONDS;CURRENT YIELD;YIELD TO MATURITY ;;;Yield to Maturity for a Zero-Coupon Bond;;;Computing the Yield to Maturity When the Settlement Date Falls Between Coupon Payments;;Relationship Among Coup