andValuationofBonds(投资分析与投资组合管理)

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter19Chapter19-TheAnalysisandValuationofBondsQuestionstobeanswered:•Howdoyoudeterminethevalueofabondbasedonthepresentvalueformula?•Whatarethealternativebondyieldsthatareimportanttoinvestors?Chapter19-TheAnalysisandValuationofBonds•Howdoyoucomputethefollowingmajoryieldsonbonds:currentyield,yieldtomaturity,yieldtocall,andcompoundrealized(horizon)yield?•Whatarespotratesandforwardratesandhowdoyoucalculatetheseratesfromayieldtomaturitycurve?•Whatisthespotrateyieldcurveandforwardratecurve?Chapter19-TheAnalysisandValuationofBonds•Howandwhydoyouusethespotratecurvetodeterminethevalueofabond?•Whatarethealternativetheoriesthatattempttoexplaintheshapeofthetermstructureofinterestrates?•Whatfactorsaffectthelevelofbondyieldsatapointintime?•Whateconomicforcescausechangesinbondyieldsovertime?Chapter19-TheAnalysisandValuationofBonds•Whenyieldschange,whatcharacteristicsofabondcausedifferentialpricechangesforindividualbonds?•Whatismeantbythedurationofabond,howdoyoucomputeit,andwhatfactorsaffectit?•Whatismodifieddurationandwhatistherelationshipbetweenabond’smodifieddurationanditsvolatility?Chapter19-TheAnalysisandValuationofBonds•Whatiseffectivedurationandwhenisituseful?•Whatistheconvexityforabond,howdoyoucomputeit,andwhatfactorsaffectit?•Underwhatconditionsisitnecessarytoconsiderbothmodifieddurationandconvexitywhenestimatingabond’spricevolatility?Chapter19-TheAnalysisandValuationofBonds•Whathappenstothedurationandconvexityofbondsthathaveembeddedcalloptions?Chapter19-TheAnalysisandValuationofBonds•Whatareeffectivedurationandeffectiveconvexityandwhenaretheyuseful?•Whatisempiricaldurationandhowisitusedwithcommonstocksandotherassets?•Whatarethestaticyieldspreadandtheoption-adjustedspread?TheFundamentalsofBondValuationThepresent-valuemodelntnpttmiPiCP212)21()21(2Where:Pm=thecurrentmarketpriceofthebondn=thenumberofyearstomaturityCi=theannualcouponpaymentforbondii=theprevailingyieldtomaturityforthisbondissuePp=theparvalueofthebondTheFundamentalsofBondValuation•Ifyieldcouponrate,bondwillbepricedatapremiumtoitsparvalue•Ifyieldcouponrate,bondwillbepricedatadiscounttoitsparvalue•Price-yieldrelationshipisconvex(notastraightline)TheYieldModelTheexpectedyieldonthebondmaybecomputedfromthemarketpriceWhere:i=thediscountratethatwilldiscountthecashflowstoequalthecurrentmarketpriceofthebondntnptimiPiCP212)21()21(2ComputingBondYieldsYieldMeasurePurposeNominalYieldMeasuresthecouponrateCurrentyieldMeasurescurrentincomeratePromisedyieldtomaturityMeasuresexpectedrateofreturnforbondheldtomaturityPromisedyieldtocallMeasuresexpectedrateofreturnforbondheldtofirstcalldateRealized(horizon)yieldMeasuresexpectedrateofreturnforabondlikelytobesoldpriortomaturity.Itconsidersspecifiedreinvestmentassumptionsandanestimatedsalesprice.Itcanalsomeasuretheactualrateofreturnonabondduringsomepastperiodoftime.NominalYieldMeasuresthecouponratethatabondinvestorreceivesasapercentofthebond’sparvalueCurrentYieldSimilartodividendyieldforstocksImportanttoincomeorientedinvestorsCY=Ci/Pmwhere:CY=thecurrentyieldonabondCi=theannualcouponpaymentofbondiPm=thecurrentmarketpriceofthebondPromisedYieldtoMaturity•Widelyusedbondyieldfigure•Assumes–Investorholdsbondtomaturity–Allthebond’scashflowisreinvestedatthecomputedyieldtomaturitySolveforithatwillequatethecurrentpricetoallcashflowsfromthebondtomaturity,similartoIRRntnptimiPiCP212)21()21(2ComputingthePromisedYieldtoMaturityTwomethods•Approximatepromisedyield–Easy,lessaccurate•Present-valuemodel–Moreinvolved,moreaccurateApproximatePromisedYieldCoupon+AnnualStraight-LineAmortizationofCapitalGainorLossAverageInvestment2APYmpmpiPPnPPC=Present-ValueModelntnptimiPiCP212)21()21(2PromisedYieldtoCallApproximation•Maybelessthanyieldtomaturity•Reflectsreturntoinvestorifbondiscalledandcannotbeheldtomaturity2mcmctPPncPPCAYCWhere:AYC=approximateyieldtocall(YTC)Pc=callpriceofthebondPm=marketpriceofthebondCt=annualcouponpaymentnc=thenumberofyearstofirstcalldatePromisedYieldtoCallPresent-ValueMethodWhere:Pm=marketpriceofthebondCi=annualcouponpaymentnc=numberofyearstofirstcallPc=callpriceofthebondnccncttimiPiCP221)1()1(2/RealizedYieldApproximation2PPhpPPCARYffiWhere:ARY=approximaterealizedyieldtocall(YTC)Pf=estimatedfuturesellingpriceofthebondCi=annualcouponpaymenthp=thenumberofyearsinholdingperiodofthebondRealizedYieldPresent-ValueMethodhpfhptttmiPiCP221)21()21(2/CalculatingFutureBondPricesWhere:Pf=estimatedfuturepriceofthebondCi=annualcouponpaymentn=numberofyearstomaturityhp=holdingperiodofthebondinyearsi=expectedsemiannualrateattheendoftheholdingperiodhpnphpnttifiPiCP22221)21()21(2/YieldAdjustmentsforTax-ExemptBondsWhere:T=amountandtypeoftaxexemptionT-1returnannualETYWhatDeterminesInterestRates•Inverserelationshipwithbondprices•Forecastinginterestrates•Fundamentaldeterminantsofinterestratesi=RFR+I+RPwhere:–RFR=realrisk-freerateofinterest–I=expectedrateofinflation–RP=riskpr