固定收益证券Bond Price VolatilityPPT课件
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(iv)For a given large change in basis points, the percentage price increase is greater than the percentage price decrease.
❖ An explanation for these four properties of bond price volatility lies in the convex shape of the price-yield relationship.
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
源自文库
4-3
Exhibit 4-2
Shape of Price-Yield Relationship for an Option-Free Bond
Maximum Price
❖ the price-yield relationship of an option-free bond ❖ the factors that affect the price volatility of a bond when yields change ❖ the price-volatility properties of an option-free bond ❖ how to calculate the price value of a basis point ❖ how to calculate and interpret the Macaulay duration, modified duration, and dollar ❖ duration of a bond ❖ why duration is a measure of a bond’s price sensitivity to yield changes
Chapter 4 Bond Price Volatility
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-1
Learning Objectives
After reading this chapter, you will understand
Price
Yield
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-4
Price Volatility Characteristics
of Option-Free Bonds
❖There are four properties concerning the price volatility of an option-free bond:
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-5
EXHIBIT 4-4 Price Change for a 100-Basis-Point Change in Yield for a 9% 25-
(i) Although the prices of all option-free bonds move in the opposite direction from the change in yield required, the percentage price change is not the same for all bonds.
(iii)For large changes in the required yield, the percentage price change is not the same for an increase in the required yield as it is for a decrease in the required yield.
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-2
Learning Objectives (continued)
After reading this chapter, you will understand
❖ the spread duration measure for fixed-rate and floatingrate bonds ❖ how to compute the duration of a portfolio and contribution to portfolio duration ❖ limitations of using duration as a measure of price volatility ❖ how price change estimated by duration can be adjusted for a bond’s convexity ❖ how to approximate the duration and convexity of a bond ❖ the duration of an inverse floater ❖ how to measure a portfolio’s sensitivity to a nonparallel shift in interest rates (key rate duration and yield curve reshaping duration)
(ii)For very small changes in the yield required, the percentage price change for a given bond is roughly the same, whether the yield required increases or decreases.
❖ An explanation for these four properties of bond price volatility lies in the convex shape of the price-yield relationship.
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
源自文库
4-3
Exhibit 4-2
Shape of Price-Yield Relationship for an Option-Free Bond
Maximum Price
❖ the price-yield relationship of an option-free bond ❖ the factors that affect the price volatility of a bond when yields change ❖ the price-volatility properties of an option-free bond ❖ how to calculate the price value of a basis point ❖ how to calculate and interpret the Macaulay duration, modified duration, and dollar ❖ duration of a bond ❖ why duration is a measure of a bond’s price sensitivity to yield changes
Chapter 4 Bond Price Volatility
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-1
Learning Objectives
After reading this chapter, you will understand
Price
Yield
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-4
Price Volatility Characteristics
of Option-Free Bonds
❖There are four properties concerning the price volatility of an option-free bond:
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-5
EXHIBIT 4-4 Price Change for a 100-Basis-Point Change in Yield for a 9% 25-
(i) Although the prices of all option-free bonds move in the opposite direction from the change in yield required, the percentage price change is not the same for all bonds.
(iii)For large changes in the required yield, the percentage price change is not the same for an increase in the required yield as it is for a decrease in the required yield.
Copyright © 2010 Pearson Education, Inc.
Publishing as Prentice Hall
4-2
Learning Objectives (continued)
After reading this chapter, you will understand
❖ the spread duration measure for fixed-rate and floatingrate bonds ❖ how to compute the duration of a portfolio and contribution to portfolio duration ❖ limitations of using duration as a measure of price volatility ❖ how price change estimated by duration can be adjusted for a bond’s convexity ❖ how to approximate the duration and convexity of a bond ❖ the duration of an inverse floater ❖ how to measure a portfolio’s sensitivity to a nonparallel shift in interest rates (key rate duration and yield curve reshaping duration)
(ii)For very small changes in the yield required, the percentage price change for a given bond is roughly the same, whether the yield required increases or decreases.