Bond Markets, Analysis and Strategies (8th Edition) by Frank J. Fabozzi

By Frank J. Fabozzi

An utilized method of knowing bond markets.

Through its utilized procedure, Fabozzi's Bond Markets prepares readers to investigate the bond marketplace and deal with bond portfolios with out getting slowed down within the theory.

This version has been streamlined and up to date with new content material, and contours total improvements in response to prior editions’ reader and teacher suggestions.

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Extra resources for Bond Markets, Analysis and Strategies (8th Edition)

Example text

For example, consider again the 11% coupon 18-year issue selling for $1,169. Assume that the issue is putable at par ($1,000) in five years. The yield to put is the interest rate that makes the present value of $55 per period for 10 six-month periods plus the put price of $1,000 equal to the $1,169. 471% will result in this equality. 942% and is the yield to put. Yield to Worst A practice in the industry is for an investor to calculate the yield to maturity, the yield to every possible call date, and the yield to every possible put date.

The coupon rate is reset every six months. Assume that the current value of the reference rate is 10%. Exhibit 3-1 shows the calculation of the discount margin for this security. The second column shows the current value of the reference rate. The third column sets forth the cash flows for the security. The cash flow for the first 11 periods is equal to one-half the current value of the reference rate (5%) plus the semiannual spread of 40 basis points multiplied by 100. 4 plus the maturity value of 100.

1 For example, if the future values are received semiannually, the annual interest rate is divided by 2; if they are paid or received quarterly, the annual interest rate is divided by 4. Second, the number of periods when the future value will be received must be adjusted by multiplying the number of years by the frequency per year. PRICING A BOND The price of any financial instrument is equal to the present value of the expected cash flows from the financial instrument. Therefore, determining the price requires 1.

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