第14章 债券的价格和收益 Bond prices and yields 14-1
14-1 第14章 债券的价格和收益 Bond Prices and Yields
债券的价格和收益 Bond prices and yields 14.1债券的特点 142债券定价 143债券收益率 144债券的时间价格 145违约风险与债券价格 14-2
14-2 债券的价格和收益 Bond Prices and Yields 14.1 债券的特点 14.2 债券定价 14.3 债券收益率 14.4 债券的时间价格 14.5 违约风险与债券价格
债券的特征 Bond characteristics ■面值 Face or par value 息票利率 Coupon rate 零息债券 Zero coupon bond 复利和支付 Compounding and payments 应计利息 Accrued Interest ■契约 Indenture 14-3
14-3 债券的特征 Bond Characteristics 面值 Face or par value 息票利率 Coupon rate – 零息债券 Zero coupon bond 复利和支付Compounding and payments – 应计利息 Accrued Interest 契约 Indenture
债券的发行者 Different issuers of bonds 财政部 U.S. Treasury 票据和债券 Notes and bonds ■公司 Corporations ■市政府 Municipalities 外国政府和公司 Internationa| Governments and Corporations 14-4
14-4 债券的发行者 Different Issuers of Bonds 财政部 U.S. Treasury – 票据和债券 Notes and Bonds 公司 Corporations 市政府 Municipalities 外国政府和公司 International Governments and Corporations
债券的条款 Provisions of bonds ■安全的或非安全的 Secured or unsecured ■提前赎回条款 Call provision ■可转换条款 Convertible provision ■卖回条款 Put provision (putable bonds) ■浮动利率债券F| oating rate bonds ■偿债基金 Sinking funds 14-5
14-5 债券的条款 Provisions of Bonds 安全的或非安全的Secured or unsecured 提前赎回条款 Call provision 可转换条款 Convertible provision 卖回条款 Put provision (putable bonds) 浮动利率债券 Floating rate bonds 偿债基金 Sinking funds
债券市场上的创新 Innovations in the bond market ■反向浮动债券 Reverse floaters ■资产支撑债券 Asset-backed bonds ■支付选择权债券(以同类证券作支付的证券) Pay-in-kind bonds ■灾难债券 Catastrophe bonds 指数债券 Indexed bonds TPS(通货膨胀保护债券 Treasury Inflation Protected Securities) 14-6
14-6 债券市场上的创新 Innovations in the Bond Market 反向浮动债券 Reverse floaters 资产支撑债券 Asset-backed bonds 支付选择权债券(以同类证券作支付的证券) Pay-in-kind bonds 灾难债券 Catastrophe bonds 指数债券 Indexed bonds – TIPS (通货膨胀保护债券Treasury Inflation Protected Securities)
债券定价 Bond pricing PB 口(1)× Parvaluer Pg=债券价格 Price of the bond Ct=利息或息票 interest or coupon payments T=周期数 number of periods to maturity 半年期利息或息票sem- annua| discount rate or the semi-annual yield to maturity Par value:面值 14-7
14-7 债券定价 Bond Pricing P C r ParValue r B t T t T T = + T =1 (1+ ) (1+ ) PB = 债券价格 Price of the bond Ct = 利息或息票 interest or coupon payments T = 周期数 number of periods to maturity r = 半年期利息或息票 semi-annual discount rate or the semi-annual yield to maturity Par Value： 面值
票息利率为8%,面值为本1000 元的10年期债券,分20次支付利 息,每次利息支付额为40元,假 定年利率为6%,该债券的价格 为: 14-8
14-8 票息利率为8%，面值为本1000 元的10年期债券，分20次支付利 息，每次利息支付额为40元，假 定年利率为6%，该债券的价格 为：
Price of 8%, 10-yr. with yield at 6% Pn=40×∑ +1000× (1.03) (1.03 20 Pn=114877 票息 coupon=4%*1,000=40 Semiannual) 利率 Discount rate=3%( Semiannual 期限 Maturit!y=10 years or20 periods 面值 Par Value=1,000 14-9
14-9 Price of 8%, 10-yr. with yield at 6% 1,148.77 (1.03) 1 1000 (1.03) 1 40 2 0 2 0 1 = = + = P P B t B t 票息Coupon = 4%*1,000 = 40 (Semiannual) 利率Discount Rate = 3% (Semiannual) 期限Maturity = 10 years or 20 periods 面值Par Value = 1,000
债券价格与收益率 Bond prices and yields 价格与望期收益率具有反向相关关系 Prices and Yields (required rates of return) have an inverse relationship 在期望收益率接近0时,债券的价值正好等于它的所有 现金流的和。 When yields approach zero, the value of the bond approaches the sum of the cash flows 当期望收益率走高时,债券的价值将会降低。 When yields get very high the value of the bond will be very loW 14-10
14-10 价格与望期收益率具有反向相关关系。 Prices and Yields (required rates of return) have an inverse relationship 在期望收益率接近0时，债券的价值正好等于它的所有 现金流的和。 When yields approach zero, the value of the bond approaches the sum of the cash flows. 当期望收益率走高时，债券的价值将会降低。 When yields get very high the value of the bond will be very low. 债券价格与收益率 Bond Prices and Yields