金融工程案例解析(英文版)-資料下載頁
2025-01-03 03:52本頁面
【正文】 ng bonds ? Consider a portfolio consisting of one deferredcoupon bond and . Treasury strips with face values of $ that mature at each of the coupon payment dates through May 15, 1994. Financial Engineering 返回目錄 24 Cont. ? Beyond May 15, 1994, the deferredcoupon bond is more valuable than the cashpaying bond due to its higher coupon and callprice schedule [see equation (1)]. ? Prior to May 15, 1994, the portfolio of one deferredcoupon bond plus treasury strips has the same promised payments as the cashpaying bond, but less default risk because the payments on the Treasury strips are riskless, whereas the interest payments on the cashpaying bond are risky. Financial Engineering 返回目錄 25 Cont. ? Therefore, ? where qit is the Treasurystrip price at time t for a dollar of payment at the ith coupon payment date, and m is the number of coupon payments remaining on the cashpaying bond through May 15, 1994. Financial Engineering 返回目錄 26 Cont. ? Under the assumption of a positive time value of money (qit1), a weaker form of the arbitrage bound is derived by setting qit=1 in equation (2) to obtain Financial Engineering 謝謝觀看 /歡迎下載 BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES. BY FAITH I BY FAITH
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