[高等教育]證券投資分析pptchapter-資料下載頁(yè)
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【正文】 weight to these interim payments ? A zerocoupon bond’s duration equals its maturity – There is an inverse relation between duration and the coupon rate – A positive relation between term to maturity and duration, but duration increases at a decreasing rate with maturity Determinants of Bond Price Volatility ? Characteristics of Macaulay Duration – There is an inverse relation between YTM and duration – Sinking funds and call provisions can have a dramatic effect on a bond’s duration Duration and Bond Price Volatility ? An adjusted measure of duration can be used to approximate the price volatility of a bond mY1du r a t i onM a c a u l a y du r a t i on M odi f i e dm??Where: m = number of payments a year Ym = nominal YTM Duration and Bond Price Volatility Bond price movements will vary proportionally with modified duration for small changes in yields: mm o d Y100 ?????? DPPWhere: ?P = change in price for the bond P = beginning price for the bond Dmod = the modified duration of the bond ?Ym = yield change in basis points divided by 100 Trading Strategies Using Duration ? Longestduration security provides the maximum price variation – If you expect a decline in interest rates, increase the average duration of your bond portfolio to experience maximum price volatility – If you expect an increase in interest rates, reduce the average duration to minimize your price decline ? Duration of a portfolio is the marketvalueweighted average of the duration of the individual bonds in the portfolio Bond Convexity ? The percentage price change formula using duration is a linear approximation of bond price change for small changes in market yields ? Price changes are not linear, but a curvilinear (convex) function mm o d Y100 ?????? DPPBond Convexity ? The graph of prices relative to yields is not a straight line, but a curvilinear relationship – This can be applied to a single bond, a portfolio of bonds, or any stream of future cash flows ? The convex priceyield relationship will differ among bonds or other cash flow streams depending on the coupon and maturity – The convexity of the priceyield relationship declines slower as the yield increases ? Modified duration is the percentage change in price for a nominal change in yield Bond Convexity – The convexity is the measure of the curvature and is the second derivative of price with resect to yield (d2P/di2) – Convexity is the percentage change in dP/di for a given change in yield PdYPd22C on v e x it y ?Bond Convexity ? Determinants of Convexity – Inverse relationship between coupon and convexity – Direct relationship between maturity and convexity – Inverse relationship between yield and convexity Modified DurationConvexity Effects ? Changes in a bond’s price resulting from a change in yield are due to: – Bond’s modified duration – Bond’s convexity ? Relative effect of these two factors depends on the characteristics of the bond (its convexity) and the size of the yield change ? Convexity is desirable – Greater price appreciation if interest rates fall, smaller price drop if interest rates rise
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