10债券投资理论课件.ppt

第十章 债券投资理论;本讲重点;债券的定义;债券的合同及基本要素;Secured or unsecured 担保或无担保 Call provision 提前赎回条款 Convertible provision 可转换条款 Put provision (putable bonds) 卖出权条款（可作卖出期权债券） Floating rate bonds 浮动利率债券 Sinking funds 偿债基金;债券市场;PB = Price of the bond 债券的价格 Ct = interest or coupon payments 利率或息票支付款 T = number of periods to maturity 离到期日的期间数 r = semi-annual discount rate or the semi-annual yield to maturity 半年贴现率或半年到期收益率;Pricing of Bond债券定价;Cash flow on Time-line 时间线上的现金流量;Translating into Equation...转换成方程式…;A piece of missing info.尚缺一项资讯;if risk-free Government bond yields 2% 如果无风险政府债券的收益率为2% inflation premium is 4% 通货膨胀溢价为4% other risk-premium is 2% 其它风险溢价为2% ;PV (Coupon息票) = [1000* 6%/2] * (PVIFA 8/2,10*2) PV (Par票面价值) = [1000] * (PVIF r8/2,10*2) VB = PV (Coupon息票) + PV (Par票面价值) ;VB = PV (Coupon息票) + PV (Par票面价值) = [1000* 6%/2] * (PVIFA r/2,10*2) + 1000 * (PVIF r/2,10*2) = 30 * (PVIFA 4,20) + 1000 * (PVIF 4,20) = 30 * (13.5903) + 1000 * (0.4564) = (407.71) + (456.4) = $864.11 What does this means ??? 这意味着什么???;V(B) Face: Discount Bond (Why?) 债券价值 面值 ：贴现(折价)债券(为什么?) V(B) = Face -：Par Bond 债券价值 = 面值 –：平价债券 V(B) Face -：Premium Bond 债券价值 面值 ：溢价债券 ;Find value of bond VB, if inflation 在下列情况下, 计算债券的价值VB (a) falls by 2%, 通胀率下降2% (b) rises by 2%, 通胀率上升2% Find value of a 1 yr bond with 6% coupon under the same 3 conditions 在同样3个条件下, 计算一年期, 息票率为6%的债券的价值。 ;Other cases...其它实例…;Price 价格; Bond prices varies inversely with interest rates 债券价格的变动方向与利率的变动方向相反 L/T bonds more sensitive to interest rate risks 长期债券对利率风险更加敏感 ; (c) Low coupon bonds are more sensitive to interest rate risks 低息票率债券对利率风险更加敏感 ;Bond Yields...债券收益率…;Yield to Maturity到期收益率;Prices and Yields (required rates of return) have an inverse relationship 价格和收益（必要报酬率）呈反比关系 When yields get very high the value of the bond will be very low. 当收益率相当高的时候，债券的价值非常低 When yields approach zero, the value of the bond approaches the sum of the cash flows. 当收益率接近于零的时候，债券的价值接近于现金流的总和;Yield