资源描述：
《bond pricing, yield measures, and total return》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTERFIVEBONDPRICING,YIELDMEASURES,ANDTOTALRETURNFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityInthischapterthepricingoffixedincomesecuritiesandthevariousmeasuresofcomputingreturn(oryield)fromholdingafixedincomesecuritywillb
2、eexplainedandillustrated.Thechapterisorganizedasfollows:Inthefirstsec-tion,weapplythepresent-valueanalysis1toexplainhowabond’spriceisdeter-mined.Thenweturntoyieldmeasures,firstfocusingonconventionalyieldmeasuresforafixed-ratebond(yield-to-maturityandyield-to-callinthecaseofacalla
3、blebond)andafloating-ratebond.Afterhighlightingthedeficienciesoftheconventionalyieldmeasures,abettermeasureofreturn—totalreturn—isthenpresented.BONDPRICINGThepriceofanyfinancialinstrumentisequaltothepresentvalueoftheexpect-edcashflow.Theinterestrateordiscountrateusedtocomputethepr
4、esentvaluedependsontheyieldofferedoncomparablesecuritiesinthemarket.Inthischap-terweshallexplainhowtocomputethepriceofanoncallablebond.ThepricingofcallablebondsisexplainedinChapter37.DeterminingtheCashFlowThefirststepindeterminingthepriceofabondistodetermineitscashflow.Thecashflo
5、wofanoption-freebond(i.e.,noncallable/nonputablebond)consistsof(1)periodiccouponinterestpaymentstothematuritydateand(2)thepar(ormaturity)1.ThetimevalueofmoneyisreviewedintheAppendixtothisbook.73Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickhere
6、fortermsofuse.74PART2BasicAnalyticsvalueatmaturity.Althoughtheperiodiccouponpaymentscanbemadeoveranytimeinterval(weekly,monthly,quarterly,semiannually,orannually),mostbondsissuedintheUnitedStatespaycouponinterestsemiannually.Inourillustrations,weshallassumethatthecouponinteres
7、tispaidsemiannually.Also,tosimplifytheanalysis,weshallassumethatthenextcouponpaymentforthebondwillbemadeexactlysixmonthsfromnow.Laterinthissectionweexplainhowtopriceabondwhenthenextcouponpaymentislessthansixmonthsfromnow.Inpractice,determiningthecashflowofabondisnotsimple,eveni
8、fweignorethepossibilityofdefault.Theonlycaseinwhichthecashflow
