利率与债券.ppt

第四章 利率与债券定价 债券的重要特性和债券的类型 债券价值以及价值波动的原因 通货膨胀对利息率的影响 利息率的结构和债券收益的决定 Additional reference books 刘红忠：《投资学》高等教育出版社，第9、10章 滋维博迪等：《投资学精要》（第四版）中国人民大学出版社、北京大学出版社 Zvi Bodie el: Investments （英文版，原书第5版）机械工业出版社 Frank K Reilly:Investment analysis and portfolio management (CFA 系列），中信出版社 几个概念 债券：发行者（债务人）为了筹集债务资本所发行的有价证券，并承诺按期向持有者（债权人）支付利息和本金. 券面利息(coupon):每期支付的利息 面值F (face value)或(par value) ：票面上标明的价值票面价值 券面利率(coupon rate):券面利息/票面价值c：c=C/F 到期日(maturity):从发行到其面值被支付,即债务人支付最后一年现金流量的时间 债券价值与收益 Pure discount bonds(纯贴现债券) are often called zero-coupon bonds or zeros to emphasize the fact that the holder receive no cash payment until maturity. Consider a pure discount bond that pays a face value of F in T years, where the interest rate in each of the T years. (We also refer to this rate as the market interest rate) Formula of pure discount bonds Because the face value is the only cash flow that the bonds pays, the present value of this face amount is: PV=F/(1+r)T 计算纯贴现债券所需的信息: 距离到期日的时间 (T) =到期日－现在时间 面值 (F) 贴现率 (r) Level-coupon bonds(平息债券) As we mentioned before, the value of a bond is simply the present value of its cash flows. Note that the face value of the bond, F, is paid at maturity, a level-coupon bonds is just an annuity of C each period. Value of level-coupon bond PV=C/(1+r)+C/(1+r)2+..+C/(1+r)T+F/(1+r)T =C×ArT＋F/(1+r)T As mentioned before , ArT is the present value of an annuity of $1 per period for T periods at an interest rate per period of r. Consols(统一公债、永久公债) Consols are bonds that never stop paying a coupon, have no final maturity date, and therefore never mature. Thus, a consol is a perpetuity.永不停止地支付相同的票面利息（如18世纪英国发行的永久公债） An important example of a consol, though, is called preferred stock. PV=C/r The Present Value Model债券价值的一般表达式 假设一份债券: 到期时面值为F 每期支付利息为C 到期时间为T 收益率为r 则债券价值=C×[1－1/(1+r)t]/r＋F/(1+r)t 即债券价值=券面利息的现值＋面值的现值 The present value formulas for bonds Pure discount bonds: PV=F/(1+r)T Level-coupon bonds: PV=C[1/r-1/(r×(1+r)T]+F/(1+r)T