滋维博迪投资学Chap016.ppt

滋维博迪投资学Chap016
汇报人:
Duration:Calculation
CFt=cashflowattimet
8
Pricechangeisproportionaltodurationandnottomaturity
滋维博迪投资学Chap016
汇报人:
Duration:Calculation
CFt=cashflowattimet
8
Pricechangeisproportionaltodurationandnottomaturity
D*=modifiedduration
Duration/PriceRelationship
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-year,8%couponbondwithYTM=10%..
=.
ModifiedD=+=
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%.Bondpricesfallby:
=-%=-%
BondswithequalDhavethesameinterestratesensitivity.
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CouponBond
Thecouponbond,whichinitiallysellsat$,fallsto$%
%.
Zero
Thezero-couponbondinitiallysellsfor$1,000/=$.
Atthehigheryield,itsellsfor$1,000/=$%.
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RulesforDuration
Rule1Thedurationofazero-couponbondequalsitstimetomaturity
Rule2Holdingmaturityconstant,abond’sdurationishigherwhenthecouponrateislower
Rule3Holdingthecouponrateconstant,abond’sdurationgenerallyincreaseswithitstimetomaturity
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RulesforDuration
Rule4Holdingotherfactorsconstant,thedurationofacouponbondishigherwhenthebond’syieldtomaturityislower
Rules5Thedurationofalevelperpetuityisequalto:(1+y)/y
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BondMaturity
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(YieldtoMaturity=8%APR;SemiannualCoupons)
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Convexity
Therelationshipbetweenbondpricesandyieldsisnotlinear.
Durationruleisagoodapproximationforonlysmallchangesinbondyields.
Bondswithgreaterconvexityhavemorecurvatureintheprice-yieldrelationship.
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:30-YearMaturity,8%Coupon;InitialYTM=8%
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Convexity
CorrectionforConvexity:
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WhydoInvestorsLikeConvexity?
Bondswithgreatercurvaturegainmoreinpricewhenyieldsf