????????????(Fixed-income security),?????????????????????(Interest),????????????????(Principal)?

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Title:

????????????(Fixed-income security),?????????????????????(Interest),????????????????(Principal)?

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Title: Author: finance Last modified by: tina Created Date: 7/17/2004 1:02:20 PM Document presentation format – PowerPoint PPT presentation

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Title: ????????????(Fixed-income security),?????????????????????(Interest),????????????????(Principal)?

1
???????

2
????

?????????
?????????????
????????????
????????????
??

3
??????

????????????(Fixed-income security),??????????????
???????(Interest),????????????????(Principal)?
?????????,?????????(??????)??????????

4
???????????

????(Interest rate risks)
??????????,?????????????????
????(Default risks)
???????????,?????????????

5
?????

?????????????????????????(??????)????,????????????
???????
??
P?????????
C????????????
m???????
y????????????
n?????????
F?????

(7-1)
6
?????(?)

????????????,??????????

(7-2)
7
??7-1?

???92?8?19?,?????????,????????,????????NTD100,000?
,????8.5,??????,?????????????7,??????????
???

8
????(duration)

?????????,??????????????
???????(F.Macaulay)???
ci?????ti(?????)?????????

(7-3)
9
????(duration)

??????????????,??????
?????????????,?????????????????????????????,??????
????

(7-4)
10
???????(Modified duration)

??
??Dmod???????
??????????????????????,??????????,????????????????
?????

(7-5)
(7-6)
11
??7-2?

?????????????????2,?????NTD98,000?,??????????1(10
0bp),????????????
???
??(7-6)?
?P -Dmod P ?y
-2 (-0.01) NTD98,000
NTD1,960
?????????1?,????????
NTD1,960?

12
?????

?????????????????????????????

13
???????

???????????????????????????
??????????????,??????????????
????????????????????????,?????(Boothstrap)???????
???????

14
???????(?)

?7-1 ????????
???7-1???????????,????????????????

???? ???(?) ????() ????()
100 0.25 0 97.5
100 0.50 0 94.9
100 1.00 0 90.0
100 2.50 8 96.0
100 2.00 12 101.6
15
???????(?)

???
??(7-2)?????????????????????????

16
???????(?)

??????????????????,?????????????????,?????????????
?
??,????????????????????????,???????????????,??????
???????

17
???????(?)

??????????,????????????????

18
???????????????

?????(Treasury Bills,T-Bills)
????????(Eurodollar Deposits)
?????????

19
?????(Treasury Bills,T-Bills)

???????????????????
??13????26????52??????????
??????????(Discount Rate)?????,??????????????
????

(7-7)
(7-8)
F??????P?????? t???????
20
??7-3?

??????????,??????4,??????1,000,000,???30???,?????
???????????
???
??(7-8)?,?????????????????

21
????????(Eurodollar Deposits)

?????????????????????????
????????????????????,?????????????,?????????????
???????????
?? ???? 90/360

(7-9)
22
??7-4?

?????????????,??????97,??????????1,000,000?,??????
????,?????????
???
??(7-9)?,?????????????????
???????????
??1,000,000 3 90/360
??7,500

23
?????????

??
????????????????????
?????????????????????????
??????????????????????????,??????????????????(Invo
ice Price)?
??????????????
???? ????

(7-10)
24
??7-5?

????7?10?,????2015?5??????????,??????10.5,???????
?5?15??11?15???,???????99-25,???????????,??????10
0,????????????
???
????????????????99-25,????100??????99.7813?

25
??7-5?(?)

???? (56/184) 100 10.5 1/2
1.5983
???? 99.7813 1.5983
101.3796
??????????,???????100,?????????101.3796?

26
?????????

???????(T-Bill Futures)
????????(Euro-Dollar Futures)
????????????(T-Bond Futures)
??????????????????

27
???????(T-Bill Futures)

?????100?????????13????????
??????CME?IMM??(International Monetary Market
Index)?
IMM 100.00 DR
DR????????
????????????????
??1,000,000 (1 - DR/4)

(7-11)
(7-12)
28
?7-2 ???????????
???? ???????
????? CME
??? 13???????
???? USD1,000,000
???? IMM????
????? 0.005
???? 3?6?9?12?(??)??????????(???)
????? ?????????????13?????????(??????1200pm)
???? ?????????????13?????????????????
29
??7-6?

????7?10?,????9????????????,????IMM???96,????????9
???????????,????????????????
???
??????IMM???96,??????4???(7-12)?,???????????
?????? ??1,000,000 (1-4/4)
??990,000

30
????????(Euro-Dollar Futures)

?????????1981?12??CME?IMM??????,??????????(90?)???
???????????????????????????
??????????????,???????????IMM????,???100?????????
????LIBOR?
????6?????????????,??????94.25????????6?17?,?????
????????LIBOR?5.75,??????6?17???????,?????????

31
?7-3 ??????????
???? ??????
????? CME
??? ????????????
???? USD1,000,000
???? IMM????
????? ????0.0025????0.005
???? 3?6?9?12?(??)???????????(???)
????? ?????????????????????(?????1100am)
???? ????????????????????????????????????????(????1100am),??????
32
??7-7?

????7?10?,????6?????????????,??????94.25,????????6
?????????????,????????????????
???
??????IMM???94.25,??????5.75?
?????? ??1,000,000 (1-5.75/4)
??985,625

33
????????????(T-Bond Futures)

??????????????????????,???????????????????????????
?????,???????????????
????????????????????????????????,??????????(Posit
ion Day),?????8???????????????

34
????????????(T-Bond Futures) (?)

?????(Wild Card Options)?????????2?????,?????????
??????????????,???????8???????????2???????????,???
???????????????(Wild Card Options)?
?????(Quality Options)???????????????????????????
????(Quality Options)?

35
?7-4 ??????????????
???? 5????????? 10?????????
??? 5???????6???100,000?????????? 10???????6???100,000??????????
???? USD100,000 USD100,000
???? ???????32??? ???????32???
????? 0.5/32 0.5/32
???? 3?6?9?12? 3?6?9?12?
???? ???? ????
????? ???????????????????8???? ???????????????????8????
????? ??????????? ???????????
????? ??????????5?3??,?????????4?2??????? ????????6.5?,??????10????????
36
?7-4 ??????????????(?)
???? ??????
??? 30???????6???100,000??????????
???? USD100,000
???? ???????32???
????? 1/32
???? 3?6?9?12?
????? ???????????????????8????
????? ???????????
????? ????????15????????,????????????15??????
37
????????????(T-Bond Futures) (?)

????(Conversion Factor)????????????????????????,?
????????????,??????????????????
??CBOT????????,???????6??????,???????

38
??7-8?

????????????????,??????10??????20??2??,??????????
??????
???
CBOT??????????????????????,????3?????????????????
????20??2??,??20???,?40??

39
??7-9?

????????????????,??????8??????18??4??,???????????
?????
???
????????18??4??,????????,?36??3???

40
??7-9?(?)
41
????????????(T-Bond Futures) (?)

???????????????,?????????????
??????????
????????????? AI
AI?????????

(7-13)
42
??7-10?

???2004?1?13?,??1??????????????????????10??????20
??2?????,????????????98-16,???????????????????????
?
???
????7-8????????????????????1.4623??????98-16,????
10??98.5?
???? 100,000 10 4/12 3,333.33
?????????? 100,000 10 4/12
3,333.33
101,833.33

43
??????????????????

???????(The Cheapest to Delivery Bonds)
??????????????,???????????(?????????)??????,?????
??????????

44
??????????????????(?)

?????????
??????? - ???????
?????????
??????? - ?????????
????

(7-14)
(7-15)
45
??7-11?

??????????????????????
?????????????????93-08(93.25),???????A?B?C????,??
????????????

T-Bond ???? ????
A 99.50 1.0382
B 143.50 1.5188
C 119.75 1.2615
46
??7-11?(?)

???
??(7-15)?,???????A?B?C?????????????
??A??? 99.50 - (93.25 1.0382) 2.69
??B??? 143.50 (93.25 1.5188) 1.87
??C??? 119.75 (93.25 1.2615) 2.12
??????,???????????B?

47
????????????

??????????
???????????
?????????

48
??????????

????????,?????????????????
?????????,?D0,T 0?(7-16)?????
F(0,T)??(??0)??T????????????
S(0,T)??T????????????
(?S(0,T)?????????????T13?)
R0,T??(??0)???T???????
D0,T??(??0)???T????????

(7-16)
(7-17)
49
??7-12?

?????2004?1?22?,???2004?3???T-Bill????????3?8?,???
?????????6?7????T-Bill??????T-Bill??????3,??1?22?
?3?8?(?45?)??????3.5,????3?????T-Bill?????100????
???????

50
??7-12?(?)

51
???????????

??????????????,???????????,???????????????????????
????
t??????
t1??????,??????????,???????
t2??????,??????????,?????????90
??

(7-18)
52
???????????(?)

(7-18)??????????????,????(??t)?????Rt,t2?????,???
?t2-t????????????(??t)??????Rt,t1?????,????t1-t??
?????,???t1?????????Rt1,t2??,????t2-t1??????????,?
??????????

53
??7-13?

?????2004???22?,???2004?3???????????????3?8?,?????
????6?7?,??????56??(??22??3?8????)????????????3,?
146??(??22??6?7????)????????????3.5,????3????????
????????????

54
??7-13?(?)

55
?????????

????????,???????????(???????????)?????
??
CF0????????????
I??????????????????
r??0?T???????
T????????

(7-19)
(7-20)
56
?????????(?)

???????????(?????????
???)
???
????????????(CF0)
???????????? ?????
????????
???
??(7-19)??(7-20)??????????????(F(0,T))?

57
?????????(?)

???
????????????
??????????? ?????
???????????
???
???????????
???????????? ????
????????

58
??7-14?

?????T-Bond????,??????????????,?????12??????,????
???1.4?T-Bond,????????270????,?????????????
????????????????120,???????????????????10,????T
-Bond?????????????????????

59
??7-14?(?)

???
???
???????????? 120
???? 60 (60 122) 1.978
????????????(CF0)
120 1.978 121.978
???
I 6 e-0.10.3342 5.803
???????????(F(0,T))
(121.978 - 5.803) e0.10.7397 125.049

60
??7-14?(?)

???
??????????? 125.049
???? 6 (148 (305 - 122)) 4.852
????????????
125.049 - 4.852 120.242
???
???????????
120.242 1.4 85.887

61
??????????

????
????
??(Strip)???(Stack)??

62
??7-15?-????

?????2004???22?,?????3?19???????1,000??,???????,??
???????????LIBOR100bp,???????3??????????????97.72
,???????3?19??????????????????????,???????????????
????????????

63
??7-15?-????

???????????????,????????????????1,000????????????
??
????????3???????????(????????????????100???),????
?????????
????????3?19????1000??????????3.28,????3????????
?????97.72??????2.28??100bp?

64
?7-6 ?????????????
A B C
3?19?????LIBOR 3.2 2.28 2
???????? 105,000 82,000 75,000
???????????? 23,000 0 (7,000)
????????? 82,000 82,000 82,000
???????? 3.28 3.28 3.28
???A??? ????????105,000 ( (3.21)
10,000,0004) ????????????23,000
(10(100(97.72-96.8)25)) ?????????82,000
(105,000-23,000) (???????3.28)
65
??7-16?-????

?????2004???22?,????3?19?????1,000???????,????????
,?????????????LIBOR10bp,???????3??????????????97.
72,???????3?19??????????????????????,?????????????
???????????????

66
??7-16?-????

???????????????,????????????????1,000????????????
??
????????3???????????,?????????????
????????3?19????1000??????????2.38,????3????????
?????97.72??????2.28??10bp?

67
?7-7 ?????????????
A B C
3?19?????LIBOR 3.2 2.28 2
???????? 82,500 59,500 52,500
???????????? (23,000) 0 7,000
????????? 59,500 59,500 59,500
???????? 2.38 2.38 2.38
???A??? ????????82,500 ( (3.20.1)10,000,0
004) ???????????? -23,000 (10(100(97.72-96.8
)25)) ?????????59,500 (82,500-23,000) (?????
??2.38)
68
??(Strip)???(Stack)??

????????????????,????????????,???????????????
??????????????????????,???????????????,??????????
??,?????????????????????

69
??(Strip)???(Stack)?? (?)
???? ?? ??
???? ??????????? ???????????????,???????????????,????????
???? ????????????????????,?????????,???????? ????????????,????????
70
??7-17?-????

?????2003?11?1?,????12?19????,???????1,000??,?????
????????LIBOR100bp,???????2003?12????2004?3????20
04?6????2004?9???????????????97.5?97.32?97.20?97.0
0????????????????????,???????????????????????,????
?????????

71
??7-17?-????

???????????,????????????2003?12????2004?3????2004?
6????2004?9????????????????

72
?7-8 ????????
???????????? ???????????? ???????????? ???????????? ???????????? ????????????
?? ??LIBOR 2003/12 2004/3 2004/6 2004/9
2003/11/01 2.30 ?10/97.50 ?10/97.32 ?10/97.20 ?10/97.00
2003/12/19 2.55 ?10/97.45
2004/3/13 2.90 ?10/97.10
2004/6/19 2.93 ?10/97.07
2004/9/18 3.08 ?10/96.92
????? ????? ????? ????? ????? ?????
?? ???? (1) ???? (2) ???? (3) ????? (4) (2) - (3) ????? (5)
2003/122004/3 3.55 88,750 1,250 87,500 3.50
2004/32004/6 3.90 97,500 5,500 92,000 3.68
2004/62004/9 3.93 98,250 3,250 95,000 3.80
2004/92004/12 4.08 99,500 2,000 97,500 3.90
??????? 3.865 3.720
73
?7-8 ????????(?)

???????????,??LIBOR 1?
?????????,??2003/122004/3??????10,000,000
3.55 4 88,750?
?????,??2003/122004/3??????10 100 (97.50 -
97.45) 25 1,250?
??????????????( (2) - (3) )
?????????????,??2003/122004/3??????(87,500
10,000,000) 4 3.5?

74
??7-18?-????

??7-17,?????2003?11?1?,????12?19????,???????1,000?
?,?????????????LIBOR100bp,???????2003?12????2004?
3????2004?6????2004?9???????????????97.50?97.32?97
.20?97.00,???????????????????

75
??7-18?-????(?)

??????????????????,???????????????????????,??????
???????

???? ??? ?????
2003/12 80,000 200,000
2004/3 35,000 130,000
2004/6 5,000 40,000
2004/9 1,500 17,000
76
??7-17?-????

???????gt100,000?
? ????????????
???????????2003?12????2004?3????????????????????

77
?7-9 ????????
???????????? ???????????? ???????????? ???????????? ???????????? ????????????
?? ??LIBOR 2003/12 2004/3 2004/6 2004/9
2003/11/01 2.30 ?10/97.50 ?30/97.32
2003/12/19 2.55 ?10/97.45
2004/1/12 2.70 ?20/96.60 ?20/96.70
2004/2/22 2.81 ?10/96.45 ?10/96.95
2004/3/13 2.90 ?10/97.10
2004/6/19 2.93 ?10/97.07
2004/9/18 3.08 ?10/96.22
????? ????? ????? ????? ????? ?????
?? ???? (1) ???? (2) ???? (3) ?????(4) (2) - (3) ?????() (5)
2003/122004/3 3.55 88,750 1,250 87,500 3.50
2004/32004/6 3.90 97,500 23,500(a) 74,000 2.96
2004/62004/9 3.93 98,250 15,000(b) 83,250 3.33
2004/92004/12 4.08 99,500 750 98,750 3.95
??????? 3.865 3.435
78
?7-9 ????????(?)

???????????,??LIBOR 1?
(2) ?????????,??2003/122004/3??????10,000,000
3.55 4 88,750?
(3) ?????,??
2004/32004/6(a)???????
1?12???2004/3?????50(18,000)
3?13???10?2004/3?????(5,500)?

79
?7-9 ????????(?)

2004/62004/9(b)???????
1?12???2004/3?????50(18,000)
2?22???10?2004/6?????(6,250)
6?19???10?2004/6?????(9,250)?
??????????????( (2) - (3) )
?????????????,??2003/122004/3??????(87,500
10,000,000) 4 3.5?

80
???????

???????????????????????????
??
N??????
DP??????????????
DF?????????
P????????????
F?????????

(7-21)
81
??7-19?

????2003?8?2?,???????????1,000??????????,?????????
?????6.80?,????????????????????,???????12????T-bon
d??,???????????????,?12????T-Bond????????93-02,???
?????9.20?,???????????????12????T-bond??,?????????
???????

82
??7-19?(?)

83
??

??????????????,????????????,???????????,??????????
?????????????,???????????????????????????????,????
??????????????????????????,???????????????????????
????

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