Yield Measures, Spot Rates and Forward Rates
Über den Vortrag
Der Vortrag „Yield Measures, Spot Rates and Forward Rates“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Fixed Income“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Reurns from Investing in a Bond
- Relationship between Coupon, Current Yield and YTM
- Reinvestment assumption implicit in calculating yield to maturity
- Relationship between YTM and BEY
- Computing theoretical Treasury Spot Rate
- Nominal spread, Zero-volatility spread, Option-adjusted spread
- Forward Rates
Dozent des Vortrages Yield Measures, Spot Rates and Forward Rates
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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Auszüge aus dem Begleitmaterial
... from investing in a bond. Prerequisite: Structure of ...
... selling the security. A person realizes the following returns from a coupon paying security: I. Interest payment made by the issuer. II. Reinvestment income from reinvesting ...
... a return on the debt securities A. Bonus issue. B. Capital gains. ...
... Calculate and interpret traditional yield ...
... Gains/Losses not taken into account. No consideration for reinvestment income. Price bond received interest ...
... Yield: Doubling the semiannual yield to maturity ...
... The limitation with this measure is that the actual prepayment rates may differ from those assumed ...
... Considers the timing of cashflows. Limitations: It considers the reinvestment income. The interim coupon payments are reinvested at a rate equal to the ...
... Yield to Call: Yield on callable bonds (bonds can be called before maturity) that are selling at a premium. The calculation is the same as for normal bonds. The par value is substitued with the call ...
... This chages the time period in the normal calculations. Yield to Worst: A yield can be calculated for every possible call date and put date. The lowest of these YTM s is called ...
... For a 10-year, 20% semi-annual-pay bond is priced at $120 that can be called in 5 years at $105 and called at ...
... PMT=10 then I/Y=7.45% so YTC=14.90%. To calculate Yield to Par: FV=100, PV=-120, N=14, PMT=10 then I/Y=7.63% so Yield to Par = 15.25%. Minimum of these three yields is 14.90%. Hence Yield to Worst = ...
... Reinvestment income should equal = $395.926 - $240 = 155.926 for the YTM to be realized. If you would really like to realize a yield that is equal to the YTM, the difference in the amounts should be provided by the last component of bond return. Reinvestment Income: Continuing our example, to realize a yield of 7%, compounded semi-annually, the money required to ...
... The reinvestment risk of a bond increases when: 1) Higher Coupons. 2) Longer Maturities. The reinvestment risk of ...
... $504, 20-year Treasury Bond purchased at par value of $100, 10% coupon rate paid semi-annually, how much reinvestment income should be generated ...
