兹维博迪金融学第二版Chapter08摘要.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * The YTM of the Coupon Bond Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 观察 3年期零息债券的到期收益率是7.28%，而3年期付息债券的到期收益率是7.10% 无违约风险债券的收益率曲线不是唯一的值 Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 债券定价原理2和3 原理2：溢价债券 债券价格面值T 到期收益率当期收益率票面利率 原理3：贴现债券 债券价格面值T 到期收益率当期收益率票面利率 Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 到期收益率与当期收益率关系的证明【证法一】 对付息债券，我们有如下关系 注意对变量取值范围的（合理）限制 注意1/((1+i)^n - 1) 永远为正 Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 【两边同乘i(1+i)^n，解i】 Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 当期和票面收益率关系的证明【证法二】 对付息债券，我们有从债券公式中推出的如下关系 注意若倒数之差一与倒数之差二的符号相同，则原数之差一与原数之差二的符号也相同 注意大小关系由贴现因子永远小于1决定 Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 怎样记忆原理 想象债券平价发行 到期收益率从票面利率开始随【发行】价格反向变动 票面利率不变 下图可能有帮助： Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 8.4 解读债券行情 There are traditions for reporting yields and computing earned interest that need to be understood before trading Coupon bonds are often quoted in terms of the annual rate compounded semi-annually T-bills are often quoted on a discount basis e.g., a 1 year T-bill has 364 days outstanding, but a year has only 360 days…(it gets nasty) Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * Reading Bond Listings Take care that the fractional part of a number is understood Is it 16ths, 32nds, 64ths, 100ths or some other convention? Ask price: dealer’s selling price Bid price: dealer’s buying price Copyright ? 2009 Pearson Education, Inc. Publishing as Prentice Hall * 8.5 为什么相同到期时间的债券【到期】收益率不同？ 债券的基本构件是零息债券：付息债券可以看成零息债券的组合 通过零息债券，一价定律应用到债券 假定有相同寿命的付息债券有相同收益率是错误