Lecture 2 Bond Valuation and Yield_6pgs教程

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1、Howdowepriceabond?Lecture2Priceofbondattime0(PBond)BondValuation=PresentvalueofcashflowandandMeasuringYieldandMeasuringYieldInInpricingthebondsweneedInpricingthebonds,weneed––cashflowscashflowsFINA6211––requiredyieldonthedebtrequiredyieldonthedebtWhatisrequiredyield?Theyieldforsimilar

2、investmentwithcomparablerisk.12PricingaBondExampleForafixedrate,ordinarypayment,AfiveAfive--yearbondwithcouponrateofyearbondwithcouponrateofsemiannualcoupon,bulletbond,price10%,parvalueof$1000,semiannualofbond(PBond):coupppyonpayments,,goriginalreqquiredyieldof10%(annual).nCMBasecase:

3、requiredyield(orrateofPBond(1y)t(1y)nreturn),RROR=10%t1nCM10$50$1000P$1000Bondtnt10t1(1y)(1y)t1(15%)(15%)34Example:SensitivityBondCalculator-BaseCaseBondCalculator-IncreasedyYieldtomaturity=10.00%Yieldtomaturity=12.00%AnalysisPeriodicrequiredreturn=5.00%Periodicrequire

4、dreturn=6.00%Couponrate=10.00%Couponrate=10.00%Yearstomaturity=5Yearstomaturity=5Compoundingperiodsperyear=2Compoundingperiodsperyear=2Parvalue=$1,000.00Parvalue=$1,000.00Basecase:y=10%MarketPriceofBond=MarketPriceofBond=TotalPresentValue=$1,000.00TotalPresentValue=$926.40MarketPrice-To

5、talPresentValue=$(1,000.00)MarketPrice-TotalPresentValue=$(926.40)Increasedy:y=12%Time$CashDiscountPresentTime$CashDiscountPresentPeriodFlowfactorValuePeriodFlowfactorValue15$0.000.9524$47.62Decreasedy:y=8%Decreasedy:y=8%15$0.000.9434$47.1725$0.000.9070$45.3525$0.000.8900$44.5035$0.000

6、.8638$43.1935$0.000.8396$41.9845$0.000.8227$41.1445$0.000.7921$39.6055$0.000.7835$39.18Giveny=14%55$0.000.7473$37.3665$0.000.7462$37.3165$0.000.7050$35.2575$0.000.7107$35.5375$0.000.6651$33.2585$0.000.6768$33.8485$0.000.6274$31.3795$0.000.6446$32.2395$0.000.5919$29.5910$1,050.000.6139$6

7、44.6110$1,050.000.5584$586.3111$-0.5847$-11$-0.5268$-12$-0.5568$-12$-0.4970$-........................58$-0.0590$-58$-0.0341$-59$-0.0562$-59$-0.0321$-60$-0.0535$-60$-0.0303$-TotalPVofCashFlows=$1,000.00TotalPVofCashFlows=$926.4051BondCalculator-DecreasedyBondCalculator-Giv