Bond markets analysis and strategies Pricing of Bonds参考.ppt

下载文档 降价啦

10
0
约1.76万字
约 37页
2018-03-15 发布于贵州
举报
版权申诉
保障服务

Bond markets analysis and strategies Pricing of Bonds参考.ppt

1、本文档共37页，可阅读全部内容。
2、有哪些信誉好的足球投注网站（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。

Bond markets analysis and strategies Pricing of Bonds参考

Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Exhibit 2-4Creation of an Inverse Floater Floating-rate Bond (“Floater”) Inverse-floating-rate bond (“Inverse floater”) Collateral (Fixed-rate bond) Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest Price Quotes A bond selling at par is quoted as 100, meaning 100% of its par value. A bond selling at a discount will be selling for less than 100. A bond selling at a premium will be selling for more than 100. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest(continued) When quoting bond prices, traders quote the price as a percentage of par value. Exhibit 2-5 illustrate how a price quote is converted into a dollar price. (See truncated version of Exhibit 2-5 in Overhead 2-35.) When an investor purchases a bond between coupon payments, the investor must compensate the seller of the bond for the coupon interest earned from the time of the last coupon payment to the settlement date of the bond. This amount is called accrued interest. For corporate and municipal bonds, accrued interest is based on a 360-day year, with each month having 30 days. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Exhibit 2-5 Price Quotes Converted into a Dollar Price (1) Price Quote (2) Converted to a Decimal [= 1)/100] (3) Par Value (4) Dollar Price [= (2) × (3)] 80 1/8 0.8012500 10,000 8,012.50 76 5/32 0.7615625 1,000,000 761,562.50 86 11/64 0.8617188 100,000 86,171.88 100 1.0000000 50,000 50,000.00 109 1.0900000 1,000 1,090.00 103 3/4 1.0375000 100,000 103,750.00 105 3/8 1.0537500 25,000 26,343.75 Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest(continued) The amount that the buyer pays the seller is the agreed-upon price plus accrued interest. This is often referred to as the full price or dirty price. The price of a b