ch05hullofod5ecol-展示頁
2025-06-03 21:43本頁面
【正文】 ond ? Suppose that the market price of the bond in our example equals its theoretical price of ? The bond yield is given by solving to get y= or %. 3 3 3 103 98 390 5 1 0 1 5 2 0e e e ey y y y? ? ? ? ? ? ? ?? ? ? ?. . . . .Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Example (Table , page 95) Ma turity(y ears )Zero Rate(% c ont c om p) Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Types of Rates ? Treasury rates ? LIBOR rates ? Repo rates Options, Futures, and Other Derivatives, 5th edition 169。Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Interest Rate Markets Chapter 5 Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Zero Rates A zero rate (or spot rate), for maturity T is the rate of interest earned on an investment that provides a payoff only at time T Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Bond Pricing ? To calculate the cash price of a bond we discount each cash flow at the appropriate zero rate ? In our example, the theoretical price of a twoyear bond providing a 6% coupon semiannually is 3 3 3103 98 390 05 0 5 0 058 1 0 0 064 1 50 068 2 0e e ee? ? ? ? ? ?? ?? ?? ?. . . . . .. . .Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Par Yield ? The par yield for a certain maturity is the coupon rate that causes the bond price to equal its face value. ? In our example we solve g)c om pou n di n s .a.( w i t h 876g e t to1002100222.c=ecececec???????????????????Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Sample Data for Determining the Zero Curve (Table , page 97) Bond Time to Annual Bond Principal Maturity Coupon Price (dollars) (years) (dollars) (dollars)
教學課件相關推薦
鄂ICP備17016276號-1