公司理财第十版Chap007课件

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,公司理财第十版PPTChap007,*,PPT,文档演模板,Office,PPT,公司理财第十版PPTChap007,2024/11/17,公司理财第十版PPTChap007,Key Concepts and Skills,Know the important bond features and bond types,Understand bond values and why they fluctuate,Understand bond ratings and what they mean,Understand the impact of inflation on interest rates,Understand the term structure of interest rates and the determinants of bond yields,7-,2,公司理财第十版PPTChap007,Chapter Outline,Bonds and Bond Valuation,More about Bond Features,Bond Ratings,Some Different Types of Bonds,Bond Markets,Inflation and Interest Rates,Determinants of Bond Yields,7-,3,公司理财第十版PPTChap007,Bond Definitions,Bond,Par value(face value),Coupon rate,Coupon payment,Maturity date,Yield or Yield to maturity,7-,4,公司理财第十版PPTChap007,Present Value of Cash Flows as Rates Change,Bond Value=PV of coupons+PV of par,Bond Value=PV of annuity+PV of lump sum,As interest rates increase,present values decrease,So,as interest rates increase,bond prices decrease and vice versa,7-,5,公司理财第十版PPTChap007,Valuing a Discount Bond with Annual Coupons,Consider a bond with a coupon rate of 10%and annual coupons.The par value is$1,000,and the bond has 5 years to maturity.The yield to maturity is 11%.What is the value of the bond?,Using the formula:,B=PV of annuity+PV of lump sum,B=1001 1/(1.11),5,/.11+1,000/(1.11),5,B=369.59+593.45=963.04,Using the calculator:,N=5;I/Y=11;PMT=100;FV=1,000,CPT PV=-963.04,7-,6,公司理财第十版PPTChap007,Valuing a Premium Bond with Annual Coupons,Suppose you are reviewing a bond that has a 10%annual coupon and a face value of$1000.There are 20 years to maturity,and the yield to maturity is 8%.What is the price of this bond?,Using the formula:,B=PV of annuity+PV of lump sum,B=1001 1/(1.08),20,/.08+1000/(1.08),20,B=981.81+214.55=1196.36,Using the calculator:,N=20;I/Y=8;PMT=100;FV=1000,CPT PV=-1,196.36,7-,7,公司理财第十版PPTChap007,Graphical Relationship Between Price and Yield-to-maturity(YTM),Bond Price,Yield-to-maturity(YTM),7-,8,公司理财第十版PPTChap007,Bond Prices:Relationship Between Coupon and Yield,If YTM=coupon rate,then par value=bond price,If YTM coupon rate,then par value bond price,Why?The discount provides yield above coupon rate,Price below par value,called a discount bond,If YTM coupon rate,then par value bond price,Why?Higher coupon rate causes value above par,Price above par value,called a premium bond,7-,9,公司理财第十版PPTChap007,The Bond Pricing Equation,7-,10,公司理财第十版PPTChap007,Example 7.1,Find present values based on the payment period,How many coupon payments are there?,What is the semiannual coupon payment?,What is the semiannual yield?,B=701 1/(1.08),14,/.08+1,000/(1.08),14,=917.56,Or PMT=70;N=14;I/Y=8;FV=1,000;CPT PV=-917.56,7-,11,公司理财第十版PPTChap007,Interest Rate Risk,Price Risk,Change in price due to changes in interest rates,Long-term bonds have more price risk than short-term bonds,Low coupon rate bonds have more price risk than high coupon rate bonds,Reinvestment Rate Risk,Uncertainty concerning rates at which cash flows can be reinvested,Short-term bonds have more reinvestment rate risk than long-term bonds,High coupon rate bonds have more reinvestment rate risk than low coupon rate bonds,7-,12,公司理财第十版PPTChap007,Figure 7.2,7-,13,公司理财第十版PPTChap007,Computing Yield to Maturity,Yield to Maturity(YTM)is the rate implied by the current bond price,Finding the YTM requires trial and error if you do not have a financial calculator and is similar to the process for finding r with an annuity,If you have a financial calculator,enter N,PV,PMT,and FV,remembering the sign convention(PMT and FV need to have the same sign,PV the opposite sign),7-,14,公司理财第十版PPTChap007,YTM with Annual Coupons,Consider a bond with a 10%annual coupon rate,15 years to maturity and a par value of$1,000.The current price is$928.09.,Will the yield be more or less than 10%?,N=15;PV=-928.09;FV=1,000;PMT=100,CPT I/Y=11%,7-,15,公司理财第十版PPTChap007,YTM with Semiannual Coupons,Suppose a bond with a 10%coupon rate and semiannual coupons,has a face value of$1,000,20 years to maturity and is selling for$1,197.93.,Is the YTM more or less than 10%?,What is the semiannual coupon payment?,How many periods are there?,N=40;PV=-1,197.93;PMT=50;FV=1,000;CPT I/Y=4%(Is this the YTM?),YTM=4%*2=8%,7-,16,公司理财第十版PPTChap007,Table 7.1,7-,17,公司理财第十版PPTChap007,Current Yield vs.Yield to Maturity,Current Yield=annual coupon/price,Yield to maturity=current yield+capital gains yield,Example:10%coupon bond,with semiannual coupons,face value of 1,000,20 years to maturity,$1,197.93 price,Current yield=100/1,197.93=.0835=8.35%,Price in one year,assuming no change in YTM=1,193.68,Capital gain yield=(1,193.68 1,197.93)/1,197.93=-.0035=-.35%,YTM=8.35-.35=8%,which is the same YTM computed earlier,7-,18,公司理财第十版PPTChap007,Bond Pricing Theorems,Bonds of similar risk(and maturity)will be priced to yield about the same return,regardless of the coupon rate,If you know the price of one bond,you can estimate its YTM and use that to find the price o