兹维博迪金融学第二版课件Chapter08.pptx
《兹维博迪金融学第二版课件Chapter08.pptx》由会员分享,可在线阅读,更多相关《兹维博迪金融学第二版课件Chapter08.pptx(57页珍藏版)》请在咨信网上搜索。
1、Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall1Chapter 8:Valuation of Known Cash Flows:BondsObjectiveValuation of fixed income securitiesExplain why bond prices changeCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall2Chapter 8 Contents8.1 Using Present Value Formulas
2、 to Value Known Flows8.2 The Basic Building Blocks:Pure Discount Bonds8.3 Coupon Bonds,Current Yield,and Yield-to-Maturity8.4 Reading Bond Listings8.5 Why Yields for the same Maturity Differ8.6 The Behavior of Bond Prices Over TimeCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall38.1
3、Using Present Value Formulas to Value Known FlowsYou have been offered the opportunity to purchase a mortgage.It was originally part of a creative financing package where the original owner financed the buyerThe remaining life of the mortgage is 60 months,with payment of$400.Your required rate of re
4、turn is 1.5%/monthCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall4CalculationUsing the present value of an annuity formula discussed in chapter 4,you will pay no more thanCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall5Financial CalculatorAlternatively,using your fi
5、nancial calculator(remember to set the correct defaults)you obtainCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall6Change in Required RateIf your required rate of return increased to 1.6%/monthCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall7Using Present Value Formul
6、as to Value Known FlowsObserve that the maximum you would pay for the bond has decreasedAn increase in the required rate of return always leads to a decrease in the value of a fixed income securityThe proof is very easyCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall8Bond Prices Rise
7、 as the Interest Rates FallWrite the PV of the fixed income security as the sum termsCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall9Bond Prices Rise as the Interest Rates FallIf i goes up,1+i goes up,1/(1+i)goes down for i -1,(1/(1+i)j goes down for i 0.So if the payments are posit
8、ive,then the sum must also go down Similarly,i down-PV upCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall10Bond Prices Rise as the Interest Rates FallBasic principle in evaluating known flows A change in market interest rates causes a A change in market interest rates causes a change
9、 in the change in the oppositeopposite direction in the direction in the market values of all existing contracts market values of all existing contracts promising fixed payments in the futurepromising fixed payments in the futureCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall11NoteV
10、olatile market rates imply volatile market valuesCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall12Finding the Correct Discount RateBond analysis is not as easy as this analysis appears to imply We need an interest rate to use in the We need an interest rate to use in the formulaform
11、ula We saw in Chapter 2 that interest rates are a We saw in Chapter 2 that interest rates are a function of time-to-maturityfunction of time-to-maturity Two default-free bonds with identical Two default-free bonds with identical maturities may have different YTMsmaturities may have different YTMsCop
12、yright 2009 Pearson Education,Inc.Publishing as Prentice Hall13Yield CurveA typical yield curve:Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall148.2 The Basics Building Blocks:Pure Discount BondsWe can always analyze any fixed income contract into a sum of pure discount bondsA pure
13、discount bond is a security that promises to pay a specified single cash payment(face value or par value)at a specified date called its maturity dateCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall15Pure Discount BondsNote There is no cash flow associated with There is no cash flow a
14、ssociated with interest interest Pure discount bonds are purchased at a Pure discount bonds are purchased at a discount from their face or par valuediscount from their face or par valueCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall16Pure Discount BondsThe pure discount bond is an e
15、xample of the present value of a lump sum equation we analyzed in Chapter 4Solving this,the yield-to-maturity on a pure discount bond is given by the relationship:Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall17Pure Discount BondsIn this equation,P is the present value or price of
16、the bondP is the present value or price of the bond F is the face or future value F is the face or future value n is the investment periodn is the investment period i is the yield-to-maturityi is the yield-to-maturityCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall18Pure Discount Bon
17、dsExample You can purchase a pure discount bond for You can purchase a pure discount bond for$9,000,and it matures in two years with a$9,000,and it matures in two years with a face value of$10,000face value of$10,000 What is the ytm?What is the ytm?Copyright 2009 Pearson Education,Inc.Publishing as
18、Prentice Hall19Pure Discount BondsCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall208.3 Coupon Bonds,Current Yield,and Yield to MaturityA coupon bond obligates the issuer to make periodic payments of interest(called make periodic payments of interest(called coupon paymentscoupon paym
19、ents)to the bond holder until)to the bond holder until the bond matures the bond matures at which time the face value of the bond is at which time the face value of the bond is also paid to the bond holderalso paid to the bond holder and the contract is satisfiedand the contract is satisfiedCopyrigh
20、t 2009 Pearson Education,Inc.Publishing as Prentice Hall21Coupon RateThe coupon rate is the interest rate applied to the face value to compute the coupon payment A bond with a face value of$1,000 and a A bond with a face value of$1,000 and a coupon rate of 10%pays an annual coupon coupon rate of 10%
21、pays an annual coupon of$100of$100 At maturity,the payment is$1,000+$100At maturity,the payment is$1,000+$100Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall22Cash Flows for 10%$1,000 Coupon BondCopyright 2009 Pearson Education,Inc.Publishing as Prentice Hall23Par,premium,and Discoun
22、t BondsA coupon bond with its current price equal to its par value is a par bondIf it is trading below par it is a discount bondIf it is trading above par it is a premium bond(not to be confused with the U.K.lottery bond of the(not to be confused with the U.K.lottery bond of the same name!)same name
23、!)Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall24Bonds Trading at Par Bond Pricing Principle#1:(Par Bonds)If a bonds price equals its face value,then If a bonds price equals its face value,then its yield-to-maturity=current yield=its yield-to-maturity=current yield=coupon rate.cou
24、pon rate.Proof:Proof:Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall25Coupon Bonds,Current Yield,and Yield-to-MaturityThe yield-to-maturity is the discount rate that makes the present value of the cash flows from the bond equal to the current price of the bondAn excellent way to com
25、pute the ytm is given in Chapter 4Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall26Using Pure Discount Bonds to Value other BondsValue a bond that pays its$100 coupon at the end of each year for 3-years,and its par value of$1,000 in 3-years You have discovered three pure discount Yo
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 兹维博迪 金融学 第二 课件 Chapter08
1、咨信平台为文档C2C交易模式,即用户上传的文档直接被用户下载,收益归上传人(含作者)所有;本站仅是提供信息存储空间和展示预览,仅对用户上传内容的表现方式做保护处理,对上载内容不做任何修改或编辑。所展示的作品文档包括内容和图片全部来源于网络用户和作者上传投稿,我们不确定上传用户享有完全著作权,根据《信息网络传播权保护条例》,如果侵犯了您的版权、权益或隐私,请联系我们,核实后会尽快下架及时删除,并可随时和客服了解处理情况,尊重保护知识产权我们共同努力。
2、文档的总页数、文档格式和文档大小以系统显示为准(内容中显示的页数不一定正确),网站客服只以系统显示的页数、文件格式、文档大小作为仲裁依据,平台无法对文档的真实性、完整性、权威性、准确性、专业性及其观点立场做任何保证或承诺,下载前须认真查看,确认无误后再购买,务必慎重购买;若有违法违纪将进行移交司法处理,若涉侵权平台将进行基本处罚并下架。
3、本站所有内容均由用户上传,付费前请自行鉴别,如您付费,意味着您已接受本站规则且自行承担风险,本站不进行额外附加服务,虚拟产品一经售出概不退款(未进行购买下载可退充值款),文档一经付费(服务费)、不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
4、如你看到网页展示的文档有www.zixin.com.cn水印,是因预览和防盗链等技术需要对页面进行转换压缩成图而已,我们并不对上传的文档进行任何编辑或修改,文档下载后都不会有水印标识(原文档上传前个别存留的除外),下载后原文更清晰;试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓;PPT和DOC文档可被视为“模板”,允许上传人保留章节、目录结构的情况下删减部份的内容;PDF文档不管是原文档转换或图片扫描而得,本站不作要求视为允许,下载前自行私信或留言给上传者【人****来】。
5、本文档所展示的图片、画像、字体、音乐的版权可能需版权方额外授权,请谨慎使用;网站提供的党政主题相关内容(国旗、国徽、党徽--等)目的在于配合国家政策宣传,仅限个人学习分享使用,禁止用于任何广告和商用目的。
6、文档遇到问题,请及时私信或留言给本站上传会员【人****来】,需本站解决可联系【 微信客服】、【 QQ客服】,若有其他问题请点击或扫码反馈【 服务填表】;文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“【 版权申诉】”(推荐),意见反馈和侵权处理邮箱:1219186828@qq.com;也可以拔打客服电话:4008-655-100;投诉/维权电话:4009-655-100。