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1、专业分享CHAPTER2PRICINGOFBONDSCHAPTERSUMMARYThischapterwillfocusonthetimevalueofmoneyandhowtocalculatethepriceofabond.Whenpricingabonditisnecessarytoestimatetheexpectedcashflowsanddeterminetheappropriateyieldatwhichtodiscounttheexpectedcashflows.Amongotheraspectsofabond,wewilllookatthereasonswhythepri
2、ceofabondchangesREVIEWOFTIMEVALUEOFMONEYMoneyhastimevaluebecauseoftheopportunitytoinvestitatsomeinterestrate.FutureValueThefuturevalueofanysumofmoneyinvestedtodayis:Pn=P0(1+r)nwheren=numberofperiods,Pn=futurevaluenperiodsfromnow(indollars),P0=originalprincipal(indollars),r=interestrateperperiod(in
3、decimalform),andtheexpression(1+r)nrepresentsthefuturevalueof$1investedtodayfornperiodsatacompoundingrateofr.Wheninterestispaidmorethanonetimeperyear,boththeinterestrateandthenumberofperiodsusedtocomputethefuturevaluemustbeadjustedasfollows:r=annualinterestrate/numberoftimesinterestpaidperyear,and
4、n=numberoftimesinterestpaidperyeartimesnumberofyears.Thehigherfuturevaluewheninterestispaidsemiannually,asopposedtoannually,reflectsthegreateropportunityforreinvestingtheinterestpaid.FutureValueofanOrdinaryAnnuityWhenthesameamountofmoneyisinvestedperiodically,itisreferredtoasanannuity.Whenthefirst
5、investmentoccursoneperiodfromnow,itisreferredtoasanordinaryannuity.Theequationforthefuturevalueofanordinaryannuityis:Pn=whereAistheamountoftheannuity(indollars).Word可编辑资料专业分享ExampleofFutureValueofanOrdinaryAnnuityUsingAnnualInterest:IfA=$2,000,000,r=0.08,andn=15,thenPn=èP15==$2,000,000[27.152125]=
6、$54,304.250.Because15($2,000,000)=$30,000,000ofthisfuturevaluerepresentsthetotaldollaramountofannualinterestpaymentsmadebytheissuerandinvestedbytheportfoliomanager,thebalanceof$54,304,250–$30,000,000=$24,304,250istheinterestearnedbyreinvestingtheseannualinterestpayments.ExampleofFutureValueofanOrd
7、inaryAnnuityUsingSemiannualInterest:Considerthesameexample,butnowweassumesemiannualinterestpayments.IfA=$2,000,000/2=$1,000,000,r=0.08/2=0.04,n=2(15)=30,thenPn=èP30===$1,000,000[56.085]=$56,085,000.Theopportunity
