1. Bond Valuation and Yield to Maturity
- Yield to Maturity (YTM)
= 債券のキャッシュフローをYTMで割引くと市場で取引されている価格になる
関数電卓で計算するのに使う項目は以下の4つ。3つ分かれば残り1つを計算できる。
- N : 年数
- PMT : annual coupon payment
- I/Y : annual discount rate
- FV : Par Value or Selling price
2. Spot Rates and Accrued Interest
- Spot Rate
= 現在と将来の回収時点においてのみキャッシュフローが発生する場合の割引率 - Flat Price( Clean Price or Quoted Price )
= Full Price( Dirty Price ) – Accrued Interest( 経過利息 )
3. Yield Measures
1年に何度クーポンが支払われるか = Periodicity of bond
Yield Measure for Fixed-Rate Bonds
$$Annual Yield=\biggl(1+\frac{YTM}{n}\biggr)^n-1$$
Annual Yield = \(\biggl(1+\frac{YTM}{n}\biggr)^n-1 \)
- Annual Yield
- Street Convention
- True Yield
- Current Yield
- Simple Yield
- Yield to Call
- Yield to Worst
- Option Adjusted Yield
Floating-Rate Note Yields
- Quoted Margin
- Required Margin( Discount Margin )
4. Yield Curves
- Yield Curve
- Spot Rate Yield Curve
- Yield Curve for coupon bonds
- Par bond yield curve
- Forward rate
- Forward yield curve
5. Yield Spreads
- Yield Spread
- Benchmark Spread
- G-spread
- Interpolated Spread ( I-Spread )
- Zero-Volatility Spread ( Z-Spread )
- Option-adjusted Spread ( OAS )
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