'Price yield relationship' diaporamas de présentation

Horizon Risk and Interest Rate Risk

Horizon Risk and Interest Rate Risk. Chapter 21. Background. This chapter analyzes default-free bonds Evaluates prices relative to changing interest rates and maturity Horizon risk increases with the time remaining until a bond matures

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Topic 2 Price Yield Conventions and Repo Markets

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Bond Price Volatility

Bond Price Volatility. Chapter 4. Price Volatility Characteristics. Price Volatility of Option-Free Bond. Although the prices of all option-free bonds move in opposite direction from the change in yield required, the % price change is not the same for all bonds.

387 views • 26 slides

Ch18

Ch18. Analysis and Management of Bond. The Fundamentals of Bond Valuation. The Present Value Model where: P m =the current market price of the bond n = the number of years to maturity C i = the annual coupon payment for bond i i = the prevailing yield to maturity for this bond issue

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BONDS HAVE DIFFERENT INTEREST SENSITIVITIES

BONDS HAVE DIFFERENT INTEREST SENSITIVITIES. BOND PRICE-YIELD RELATIONSHIP. MEASURES OF INTEREST SENSITIVITY. Price Value of a Basis Point (PVBP) Change in bond price given a one basis point change in yield Yield Value of a 32nd (YV32) Change in yield given a price change of 1/32 Duration

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Bond Price Volatility

377 views • 17 slides