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

By Frank J. Fabozzi

An utilized method of realizing bond markets.

Through its utilized method, Fabozzi's Bond Markets prepares readers to investigate the bond industry and deal with bond portfolios with no getting slowed down within the theory.

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

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Additional info for Bond Markets, Analysis and Strategies (8th Edition)

Sample text

This is depicted in Exhibit 2-4. The two bonds are created such that (1) the total coupon interest paid to the two bonds in each period is less than or equal to the collateral’s coupon interest in each period, and (2) the total par value of the two bonds is less than or equal to the collateral’s total par value. Equivalently, the floater and inverse floater are structured so that the cash flow from the collateral will be sufficient to satisfy the obligation of the two bonds. 5% coupon semiannual-pay bond.

The price would eventually be bid up to a level where the bond offers the required yield in the market. A bond whose price is above its par value is said to be selling at a premium. The relationship between coupon rate, required yield, and price can be summarized as follows: coupon rate , required yield 4 price , par 1 discount bond 2 coupon rate 5 required yield 4 price 5 par coupon rate . required yield 4 price . par 1 premium bond 2 Relationship Between Bond Price and Time If Interest Rates Are Unchanged If the required yield does not change between the time the bond is purchased and the maturity date, what will happen to the price of the bond?

This simplified procedure for computing the annual interest rate given a periodic (weekly, monthly, quarterly, semiannually, and so on) interest rate is not accurate. To obtain an effective annual yield associated with a periodic interest rate, the following formula is used: effective annual yield 5 1 1 1 periodic interest rate 2 m 2 1 where m is the frequency of payments per year. For example, suppose that the periodic interest rate is 4% and the frequency of payments is twice per year. 24% We can also determine the periodic interest rate that will produce a given annual interest rate by solving the effective annual yield equation for the periodic interest rate.

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