Bodie2eChapter08-Valuation-of-Known--Cash-Flows--Bonds-英文版PPT金融学(第二版)-教学课件.ppt

Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,1,Chapter8:ValuationofKnownCashFlows:Bonds,ObjectiveValuationoffixedincomesecuritiesExplainwhybondpriceschange,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,2,Chapter8Contents,8.1UsingPresentValueFormulastoValueKnownFlows8.2TheBasicBuildingBlocks:PureDiscountBonds8.3CouponBonds,CurrentYield,andYield-to-Maturity8.4ReadingBondListings8.5WhyYieldsforthesameMaturityDiffer8.6TheBehaviorofBondPricesOverTime,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,3,8.1UsingPresentValueFormulastoValueKnownFlows,Youhavebeenofferedtheopportunitytopurchaseamortgage.ItwasoriginallypartofacreativefinancingpackagewheretheoriginalownerfinancedthebuyerTheremaininglifeofthemortgageis60months,withpaymentof$400.Yourrequiredrateofreturnis1.5%/month,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,4,Calculation,Usingthepresentvalueofanannuityformuladiscussedinchapter4,youwillpaynomorethan,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,5,FinancialCalculator,Alternatively,usingyourfinancialcalculator(remembertosetthecorrectdefaults)youobtain,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,6,ChangeinRequiredRate,Ifyourrequiredrateofreturnincreasedto1.6%/month,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,7,UsingPresentValueFormulastoValueKnownFlows,ObservethatthemaximumyouwouldpayforthebondhasdecreasedAnincreaseintherequiredrateofreturnalwaysleadstoadecreaseinthevalueofafixedincomesecurityTheproofisveryeasy,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,8,BondPricesRiseastheInterestRatesFall,WritethePVofthefixedincomesecurityasthesumterms,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,9,BondPricesRiseastheInterestRatesFall,Ifigoesup,1+igoesup,1/(1+i)goesdownfori-1,(1/(1+i)jgoesdownfori0.Soifthepaymentsarepositive,thenthesummustalsogodownSimilarly,idown-PVup,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,10,BondPricesRiseastheInterestRatesFall,BasicprincipleinevaluatingknownflowsAchangeinmarketinterestratescausesachangeintheoppositedirectioninthemarketvaluesofallexistingcontractspromisingfixedpaymentsinthefuture,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,11,Note,Volatilemarketratesimplyvolatilemarketvalues,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,12,FindingtheCorrectDiscountRate,BondanalysisisnotaseasyasthisanalysisappearstoimplyWeneedaninterestratetouseintheformulaWesawinChapter2thatinterestratesareafunctionoftime-to-maturityTwodefault-freebondswithidenticalmaturitiesmayhavedifferentYTMs,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,13,YieldCurve,Atypicalyieldcurve:,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,14,8.2TheBasicsBuildingBlocks:PureDiscountBonds,WecanalwaysanalyzeanyfixedincomecontractintoasumofpurediscountbondsApurediscountbondisasecuritythatpromisestopayaspecifiedsinglecashpayment(facevalueorparvalue)ataspecifieddatecalleditsmaturitydate,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,15,PureDiscountBonds,NoteThereisnocashflowassociatedwithinterestPurediscountbondsarepurchasedatadiscountfromtheirfaceorparvalue,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,16,PureDiscountBonds,ThepurediscountbondisanexampleofthepresentvalueofalumpsumequationweanalyzedinChapter4Solvingthis,theyield-to-maturityonapurediscountbondisgivenbytherelationship:,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,17,PureDiscountBonds,Inthisequation,PisthepresentvalueorpriceofthebondFisthefaceorfuturevaluenistheinvestmentperiodiistheyield-to-maturity,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,18,PureDiscountBonds,ExampleYoucanpurchaseapurediscountbondfor$9,000,anditmaturesintwoyearswithafacevalueof$10,000Whatistheytm?,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,19,PureDiscountBonds,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,20,8.3CouponBonds,CurrentYield,andYieldtoMaturity,Acouponbondobligatestheissuertomakeperiodicpaymentsofinterest(calledcouponpayments)tothebondholderuntilthebondmaturesatwhichtimethefacevalueofthebondisalsopaidtothebondholderandthecontractissatisfied,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,21,CouponRate,ThecouponrateistheinterestrateappliedtothefacevaluetocomputethecouponpaymentAbondwithafacevalueof$1,000andacouponrateof10%paysanannualcouponof$100Atmaturity,thepaymentis$1,000+$100,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,22,CashFlowsfor10%$1,000CouponBond,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,23,Par,premium,andDiscountBonds,AcouponbondwithitscurrentpriceequaltoitsparvalueisaparbondIfitistradingbelowparitisadiscountbondIfitistradingaboveparitisapremiumbond(nottobeconfusedwiththeU.K.lotterybondofthesamename!),Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,24,BondsTradingatPar,BondPricingPrinciple#1:(ParBonds)Ifabondspriceequalsitsfacevalue,thenitsyield-to-maturity=currentyield=couponrate.Proof:,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,25,CouponBonds,CurrentYield,andYield-to-Maturity,Theyield-to-maturityisthediscountratethatmakesthepresentvalueofthecashflowsfromthebondequaltothecurrentpriceofthebondAnexcellentwaytocomputetheytmisgiveninChapter4,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,26,UsingPureDiscountBondstoValueotherBonds,Valueabondthatpaysits$100couponattheendofeachyearfor3-years,anditsparvalueof$1,000in3-yearsYouhavediscoveredthreepurediscountbonds(eachwitha$1,000parvalue)thatmaturein1,2,and3years,andthataretradingat$960,$890,and$810respectively,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,27,FirstSolutionMethod,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,28,SecondSolutionMethod,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,29,Conclusion,ThefirstmethodusesthefactthatacouponbondisthesumofpurediscountbondsitisfastanddirectThesecondmethodfirstdeterminestheyields-to-maturityofeachdiscountbondcashflowsarethenevaluatedusingthem,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,30,TheYTMoftheCouponBond,Wehavethepriceofthecouponbond,andthetimingandmagnitudeofitsfuturecashflows,sowecandetermineitsYTMWeusethefinancialcalculator,butanumericalmethodwasprovidedinchapter4forthisclassofproblems,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,31,TheYTMoftheCouponBond,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,32,Observation,Theyieldtomaturityonthe3-yearpurediscountbondwas7.28%andtheyield-to-maturityonthe3-yearcouponbondwas7.10%Theyield-curvefordefault-freebondsisnotauniquevalue,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,33,BondPricingPrinciple#2&3,BondPrinciple#2:PremiumBondsbondpricefacevalueytmcurrentyieldcouponrate,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,34,ProofofRelationshipbetweenYTMandCurrentYield,Forcouponbonds,wehavethefollowingrelationshipsNotethe(sensible)restrictionsonthevariablerangesNotethat1/(1+i)n-1)isalwayspositive,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,35,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,36,ProofofRelationshipbetweenCurrentandCouponYields,Forcouponbonds,wehavethefollowingrelationshipderivedfromthebondformulaNotethatthedifferencesbetweenthereciprocalshavethesamesign,sotheactualdifferencesalsohavethesamesignNotethatsizerelationshipisdeterminedbythediscountfactorwhichisalways1,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,37,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,38,HowtoRememberPrinciples,Imaginethatthebondwasissuedatpartheyield-to-maturitymovesfromthecouponyieldintheoppositedirectiontopricethecouponrateisunchangingThisdiagrammayhelp:,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,39,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,40,HighYieldT-BondFunds,Yieldcurveswithlargepositiveslopesmakelonger-termT-bondstemptingbecause,likeT-bills,theyaredefault-freeTheabovediagramwasbasedon:par=$1000,coupon=$100,n=10-years,flatObservethelargeeffectofmodestchangesininterestoncapitalAcloseupisgivenbelow,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,41,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,42,Clarification,ThelastexampleusedaflatyieldcurveLetuslookatanexamplewithshort-termratesremainingfixedlonger-termratesrisingonincreasedexpectationofageneralriseininterestrates,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,43,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,44,InvestmentImplications,Assumea20-yearbondwithacouponrateof6%Purchasefor$1016.54whenthelowercurveprevailsWhenyieldcurverises,thebondisworthonly$814.05ThisisamassivecapitalriskAdditionally,long-termratesaremorevolatilethanshort-termrates,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,45,8.4ReadingBondListings,TherearetraditionsforreportingyieldsandcomputingearnedinterestthatneedtobeunderstoodbeforetradingCouponbondsareoftenquotedintermsoftheannualratecompoundedsemi-annuallyT-billsareoftenquotedonadiscountbasise.g.,a1yearT-billhas364daysoutstanding,butayearhasonly360days(itgetsnasty),Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,46,ReadingBondListings,TakecarethatthefractionalpartofanumberisunderstoodIsit16ths,32nds,64ths,100thsorsomeotherconvention?Askprice:dealerssellingpriceBidprice:dealersbuyingprice,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,47,8.5WhyYieldsforthesameMaturityDiffer,Thefundamentalbuildingblockofbondsisthepurediscountbond:CouponbondsmaybeviewedasaportfolioofdiscountbondsTheruleofonepriceappliestobondsthroughpurediscountbondsItisamistaketoassumethatcouponbondswiththesamelifehavethesameyield-theircouponratesdiffer,leadingtoadifferent%mixofdiscountbonds,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,48,MovementofaPureDiscountBondsPriceoverTime,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,49,8.6TheBehaviorofBondPricesOverTime,Theexpectedpriceofpurediscountbondsrisesexponentiallytothefacevaluewithtime,andtheactualpriceneverexceedsparCouponbondsaremorecomplex,andtheirpricemayexceedtheirparvalue,butatmaturitytheyreachtheirparvalue,Copyright2009PearsonEducation,Inc.PublishingasPrenticeHall,50,BondPricesatAlternativeYields,Copyright2009PearsonE