Chap010 - Chapter 10 Bond Prices and Yields Slides 10-1...

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Chapter 10 Bond Prices and Yields Slides 10-1 Fundamentals of Investments 10-2 Bond Prices and Yields 10-3 Bond Basics, I. 10-4 Bond Basics, II. 10-5 Straight Bond Prices and Yield to Maturity 10-6 The Bond Pricing Formula 10-7 Example: Using the Bond Pricing Formula 10-8 Example: Calculating the Price of this Straight Bond Using Excel 10-9 Premium and Discount Bonds, I. 10-10 Premium and Discount Bonds, II. 10-11 Premium and Discount Bonds, III. 10-12 Relationships among Yield Measures 10-13 Calculating Yield to Maturity, I. 10-14 Calculating Yield to Maturity, II. 10-15 A Quick Note on Bond Quotations, I. 10-16 A Quick Note on Bond Quotations, II. 10-17 Callable Bonds 10-18 Yield to Call 10-19 Interest Rate Risk 10-20 Interest Rate Risk and Maturity 10-21 Malkiel’s Theorems, I. 10-22 Malkiel’s Theorems, II. 10-23 Bond Prices and Yields 10-24 Duration 10-25 Example: Using Duration 10-26 Modified Duration 10-27 Calculating Macaulay’s Duration 10-28 Calculating Macaulay’s Duration 10-29 Calculating Macaulay’s Duration 10-30 Calculating Macaulay’s Duration for Par Bonds 10-31 Calculating Duration Using Excel 10-32 Duration Properties 10-33 Properties of Duration 10-34 Dedicated Portfolios 10-35 Reinvestment Risk 10-36 Price Risk 10-37 Price Risk versus Reinvestment Rate Risk 10-38 Immunization
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A-88 Chapter 10 10-39 Immunization by Duration Matching 10-40 Immunization by Duration Matching 10-41 Dynamic Immunization 10-42 Useful Internet Sites 10-43 Chapter Review, I. 10-44 Chapter Review, II. 10-45 Chapter Review, III. Chapter Organization 10.1 Bond Basics A. Straight Bonds B. Coupon Rate and Current Yield 10.2 Straight Bond Prices and Yield to Maturity A. Straight Bond Prices B. Premium and Discount Bonds C. Relationships Among Yield Measures D. A Note on Bond Price Quotes 10.3 More on Yields A. Calculating Yields B. Yield to Call 10.4 Interest Rate Risk and Malkiel's Theorems A. Promised Yield and Realized Yield B. Interest Rate Risk and Maturity C. Malkiel's Theorems 10.5 Duration A. Macaulay Duration B. Modified Duration C. Calculating Macaulay's Duration D. Properties of Duration 10.6 Dedicated Portfolios and Reinvestment Risk A. Dedicated Portfolios B. Reinvestment Risk 10.7 Immunization A. Price Risk versus Reinvestment Rate Risk B. Immunization by Duration Matching C. Dynamic Immunization 10.8 Summary and Conclusions Selected Web Sites www.bondmarkets.com (Check out the bonds section) www.bondsonline.com (Bond basics and current market data)
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Bond Prices and Yields A-89 www.jamesbaker.com (A practical view of bond portfolio management)
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A-90 Chapter 10 Annotated Chapter Outline 10.1 Bond Basics A bond is a security that offers a series of fixed interest payments, and a fixed principal payment at maturity. Maturities range from 2 years to 30 years, with some from 50 to 100 years. There are even a few perpetuities (consols). A.
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Chap010 - Chapter 10 Bond Prices and Yields Slides 10-1...

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