PowerPoint-Pr

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Betriebswirtschaftliche Bewertungsmethoden Ein
satz und Bewertung von Forward Rate
Agreements Duration Prof. Dr. Rainer
Stachuletz Corporate Finance
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Valuing a Bond - Simple Approach
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Valuing a Bond - Simple Approach
Generally Bond Pricing follows the PV-Approach
Example nnumber of periods Ccoupon
payment rinterest/ spot rate FVMaturity/Face
Value ttime period PV Present Value of
the Bond (Price)
c lt r ? P lt par (discount) c r ? P par c gt r
? P gt par (premium)
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Valuing a Bond - Simple Approach
Straight Bond, 5yrs. To Maturity, 5,5 Coupon
Rate, annual payment, market rate 5
or

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Valuing a Bond - Simple Approach
Semi-annual Coupon Payments
Example n 10 C 5,5 r 5 FV 1000 t 5

Floating Interest Rates (1/year)
Example n 5 C 5,5 r 5-9 FV 1000 t 5
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Valuing a Bond - Simple Approach
Zero Bonds
Example r 5 FV 1000 t 5
Example r ? FV 1000 P 783.53 t 5
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Bond Prices and Yields
Yield
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Term Structure of Interest Rates

• Interest Rate - the interest rate according to
  the term structureSpot Rate implied rate to
  valuate future cash flows
• Forward Rate - The interest rate, fixed today for
  a future period
• Current Yield Coupon payments on a security as
  a percentage of the securitys market price
  (gross of accrued interest)
• Yield To Maturity (YTM) - The IRR on an interest
  bearing instrument

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Term Structure of Interest Rates Germany
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THE DURATION OF A ZEROBOND
Die Duration eines Zerobonds entspricht seiner
Restlaufzeit
100
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Ex. Calculation of Portfolio Values in t5
Total Portfolio Value141,26
Value of ReinvestedPayments 48,84
Present Value of FuturePayments 92,42
Interest payments from the bond 8 / y.Interest
rate in the market 10
100
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8
8
8
8
8
8
8
8
8
t 5
t 0
t 10
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The Duration of a 8 Long term Bond (10 years
to maturity)
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Example Calculation of Duration