Obligationer PDF

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6 Characteristics Pricing of zero-coupon bonds

Interest rate sensitivity

YTM / APR

Pricing of coupon

YTM / APR

Duration = maturity of zero-coupon bonds Duration < maturity of coupon bonds

Styring af obligationsporteføljer

Interest rates Callable and straight debt

Duration-price relationship Duration and interest rate risk

Duration, D

Price change is proportional to duration

Price change can be computed based in the modified duration

Bond pricing 5 Duration rules

YTM vs. HPR Bond duration vs. bond maturity

Capital gain vs. coupons Bonds

Relationship betw. Bond prices and yields are NOT linear

Rating companies

Convexity Price-yield relationship

Rating categories Investment grade bonds

Default risk and bond pricing

Passive management

Speculative grade/junk bonds

Immunization

Treasury yield curves

Accured Interest

Prisen og den effektive rente på obligationer

YTM vs. Time to materity

Obligationer

Expected future short-term rates

P_B Yields to maturity, YTM Par value Yield curve Realized return vs. YTM

Bond pricing

Valuation

Zero-coupons bonds Yields

Risk structure of interest rates

Pure yield curve Typer

Default risk premium

On-the-Run yield curve

YTM and Default risk

Future interest rates

Expected cash flow vs. promised cash flow

Inverse relationship between Bond prices and Yields Growth of invested funds

Buy and hold vs. rollover

Rentestrukturen Interest rates under certainty

r_2 > r_1 : yield curve goes up Short rates vs. spot rates

Short rates r_2 < r_1 : yield curve goes down

Forwards rates Interest rates under uncertainty

Future interest rate

Illiquidity premium Risk premium

The expectations hypothesis theory Theories of the term structure

Liquidity preference theory

f_n = E(r_n) and liquidity premiums are zero

f_n > E(r_n)...