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