投资学第16章债券资产组合管理.pptx

CHAPTER 16;Inverse relationship between price and yield An increase in a bond’s yield to maturity results in a smaller price decline than the gain associated with a decrease in yield Long-term bonds tend to be more price sensitive than short-term bonds;Figure 16.1 Change in Bond Price as a Function of Change in Yield to Maturity;As maturity increases, price sensitivity increases at a decreasing rate Price sensitivity is inversely related to a bond’s coupon rate Price sensitivity is inversely related to the yield to maturity at which the bond is selling;Table 16.1 Prices of 8% Coupon Bond (Coupons Paid Semiannually);Table 16.2 Prices of Zero-Coupon Bond (Semiannually Compounding);A measure of the effective maturity of a bond The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment Duration is shorter than maturity for all bonds except zero coupon bonds Duration is equal to maturity for zero coupon bonds;Duration: Calculation;Spreadsheet 16.1 Calculating the Duration of Two Bonds;Price change is proportional to duration and not to maturity D* = modified duration ;Rules for Duration;Figure 16.2 Bond Duration versus Bond Maturity;Table 16.3 Bond Durations (Yield to Maturity = 8% APR; Semiannual Coupons);Convexity;Figure 16.3 Bond Price Convexity: 30-Year Maturity, 8% Coupon; Initial Yield to Maturity = 8%;Correction for Convexity;Figure 16.4 Convexity of Two Bonds;Callable Bonds;Figure 16.5 Price –Yield Curve for a Callable Bond;Mortgage-Backed Securities;Figure 16.6 Price -Yield Curve for a Mortgage-Backed Security;Mortgage-Backed Securities Continued;Figure 16.7 Panel A: Cash Flows to Whole Mortgage Pool; Panels B–D Cash Flows to Three Tranches;Bond-Index Funds Immunization of interest rate risk: Net worth immunization Duration of assets = Duration of liabilities Target date immunization Holding Period matches Duration;Figure 16.8 Stratification of Bonds into Cells;Table 16.4 Terminal value o