|
ABF 305 INVESTMNET MANAGEMENT
ABF305 投资管理
SURVEY 1
调查1
Bond pricing
债卷定价
Time Value of Money (TVM)
货币的时间价值
• The time value of money (TVM) refers to a pound in hand today being worth more than a pound received in the future.
Future/Present Value
未来/现在价格
http://www.ukassignment.org/dxygessay/
• Future value is the value of an asset in the future that is equivalent in value to a specific amount today.
• Present value is the value today of tomorrow’s cash flow.
• Compound interest is interest earned on interest.
• Discounting is the compounded reduction in value from future values to present values
Yield to Maturity (YTM)
到期收益率
• The yield to maturity (YTM) is defined as the interest rate that makes the present value of a bond’s payment equal to its price.
Duration
持续时间
• Duration is a measure of the average life of a bond, defined as the weighted average of the times until each payment is made, with weights proportional to the present value of the payment.
持续时间是衡量债券的平均寿命，定义为加权平均的时代，直到每个付款，付款的现值的权重比例。
• Rule 1: The duration of a zero-coupon bond equals to its time to maturity.
• Rule2: Holding maturity constant, a bond’s duration is lower when the coupon rate is higher.
• Rule 3: Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity. Duration always increases with maturity for bond selling at par or at a premium to par.
• Rule 4:Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower.
• Rule 5: The duration of a level perpetuity is
Duration of perpetuity = (1+y)/y
Convexity
债卷凸性
• Convexity is the curvature of the price-yield relationship of a bond.
凸曲率的债券的价格与收益率的关系。
• The convexity can be quantified as the rate of change of the slope of the price-yield curve, expressed as a fraction of the bond price.
可以量化为凸的价格收益率曲线的斜率变化率，表现为债券价格的一小部分。
|
