: :

90010006%

Promised yield-to-maturity

(underpriced) (overpriced)

:

yield spread

---- Ct --- ---

:19843020146.875%1995207.5%

I=$1000*6.875%=$68.75 2014M=$1000 7.5% 7.5%

V C , Mn i

VCttinM

P17912%20100015%

:12%20100015% 812.18 811.08

12----- 0.15/2=0.075,

n=0.5

n=2

r

p18010002515%

696696200661411.83%2000615141.6i=3% ,

i=3% n=60.8375V=143.53=IRR=3.92%

NPV NPV=V-P>0 V-P=0 V-P

(YTM)(HPR)

:100,10%,101, :(100x10%)/101 x100%=9.90%

=/x100%

YTM Yield to Maturity---YTM P0 IRR P0 V

IRR

=x+X

=

100251000== P182

=

1YTM>, YTM

iACMP0N

I call t P callNP185

HPR)

HPR 100()

p186

308010008%10508%8%

()E(HPR) EHPR

==>

1 M=1000C=80 n=5

P=1000i=8% P=1100i=5.65% P=900 i=10.68%

2 P190

3510151051510

41 : An=5M=1000i=9%P=1082y=7% Bn=5M=1000i=7%P=1000 y=7% y=8% A P= 1039.93 42.07 3.888% B P=960.03 39.97 3.997%P190

5 Bn=5M=1000i=7% P=1000y=7% 1%y=6% P=1042.1242.12, 4.212% 1%y=8% P=960.03 39.97 , 3.997% _P190

Convexity

1 2192 3)(purchasing power risk) 4)liquidity risk5)risk of call 6)default risk 7)

--8%301150101100

6.64%6.82%

Yield to call

Yield to maturity

Coupon payment

40

40

Number of semiannual periods

20

60

Final payment

1100

1000

price

1150

1150

1100p185

123

(expected yield-to-maturity)(promised yield)

---- Duration -- AB1010% --A1001000B --6% AB

DurationMacaulay1938DurationMacaulay

P

Bond : coupon 80, par value 1000, maturity 3 years, price 950.25, yield to maturity 10%P195

Duration

DurationDuration P197

What determines duration?Duration

Zero coupon bond15% coupon YTM=6%3% coupon YTM=15%15% coupon YTM=15%Maturity

Convexity

Convexity 15

Duration

123

(spot rate) (forward rate)

22

ABA934.58B857.34A

B

1 PC M PM C

A934.58B5%946.93 S1=1000/934.58-1=7% S2=8%

S1=7%S2=8% f12=9.01% 9.01%

7%8%11

PV

N0N

=7.66%

()S1=7% S2=8% 11.16641.08*1.08 10%11.1771.07*1.106%11.13421.07*1.06)

:

bond management Passive methods(security selection)(market timing) Active methods

Passive methods :Immunization shield the overall financial status of the institution from exposure to interest rate fluctuations. P220 P221

2. Active bond management -contingent immunization - - - - - -

1.2.3.4. 5. 6. 7. 1996100010%519983%

157%769.401000,710 A8 B8 10000ABA8950B410507

123

1 V D r

2 DGM

2

gg

g

2

3

PER,price-to-earnings ratioP/EPEEPS(earnings per share)P=PER0*EPSPER0EPSPER0

Adobe Systems

23.2

Autodesk

20.4

Broderbund

32.8

Computer Associates

18.0

Lotus Development

24.1

Microsoft

27.4

Oracle

37.8

Software Publishing

10.6

System Software

15.7

24.0

P/E=V/E=1/r239gP/E=V/E=(1+g)/(r-g)

:210%15% 12.5%

30.433100%10%50%50%

4Elix 1.15 415% g1=15%; 10%g2=10% 15%

179

3%6(IRR)ExcelIRR696

p251p100p211-213p100-104wzq

p111230