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Flashcard 149623398

Tags
#asset-swap #finance
Question
Asset swap (type: [...]) is a difference between bond quoted price and implied strip price of the same bond (implied price of cashflows against a specific yield curve), quoted as the spread on the floating swap side that matches the maturity of the bond.
Answer
par-par (type "market" has similar structure, but par-par has non-zero PV, while market has 0 PV)


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calculating asset swap spread (par-par)
Asset swap (type: market - same structure as par-par but at different price) is a difference between bond quoted price and implied strip price of the same bond (implied price of cashflows against a specific yield curve), quoted as the spread on the floating swap







#bonds #finance #has-images

The coupon yield is simply the coupon payment C as a percentage of the face value F.

\text{Coupon yield} = \frac{C}{F}

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Bond valuation - Wikipedia, the free encyclopedia
ices are often quoted in terms of YTM. To achieve a return equal to YTM, i.e. where it is the required return on the bond, the bond owner must: buy the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] <span>The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to o




#bonds #finance
market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate increased by 1% per annum.

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Bond valuation - Wikipedia, the free encyclopedia
of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is the approximate percentage by which the value of the bond will fall for a 1% per annum increase in market interest rate. So the <span>market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate (or more precisely the corresponding force of interest) increased by 1% per annum. Convexity is a measure of the "curvature" of price changes. It is needed because the price is not a linear function of the discount rate, but rather a convex function of the di




yield to maturity - reinvesting coupons
#bonds #finance #yield-to-maturity
All the coupons are reinvested at an interest rate equal to the yield-to-maturity - it is a common mistaken assumption, but not true. Each part of today's price earns interest before being paid out either as a coupon or as a principal.

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Yield to maturity - Wikipedia, the free encyclopedia
ds6 See also7 References8 External links Main assumptions[edit] The main underlying assumptions used concerning the traditional yield measures are: The bond will be held to maturity.All coupon and principal payments will be made on schedule.<span>All the coupons are reinvested at an interest rate equal to the yield-to-maturity.[3]The yield is usually quoted without making any allowance for tax paid by the investor on the return, and is then known as "gross redemption yield". It also does not make an




Flashcard 149624199

Tags
#bonds #finance
Question
market price of a 17-year bond with a duration of 7 would [...]if the market interest rate increased by 1% per annum.
Answer
fall about 7%


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market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate increased by 1% per annum.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is the approximate percentage by which the value of the bond will fall for a 1% per annum increase in market interest rate. So the <span>market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate (or more precisely the corresponding force of interest) increased by 1% per annum. Convexity is a measure of the "curvature" of price changes. It is needed because the price is not a linear function of the discount rate, but rather a convex function of the di







Flashcard 149624206

Tags
#bonds #finance
Question
market price of a 17-year bond with a duration of 7 would fall about 7% if [...].
Answer
the market interest rate increased by 1 percentage point per annum


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Parent (intermediate) annotation

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market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate increased by 1% per annum.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is the approximate percentage by which the value of the bond will fall for a 1% per annum increase in market interest rate. So the <span>market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate (or more precisely the corresponding force of interest) increased by 1% per annum. Convexity is a measure of the "curvature" of price changes. It is needed because the price is not a linear function of the discount rate, but rather a convex function of the di







#bonds #finance #yield-to-maturity
If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.

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If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par. </bod

Original toplevel document

Yield to maturity - Wikipedia, the free encyclopedia
usually quoted without making any allowance for tax paid by the investor on the return, and is then known as "gross redemption yield". It also does not make any allowance for the dealing costs incurred by the purchaser (or seller). <span>Coupon rate vs. YTM[edit] If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par. Variants of yield to maturity[edit] As some bonds have different characteristics, there are some variants of YTM: Yield to call: when a bond is callable (can be repurchased by the issuer




#bonds #finance #yield-to-maturity
If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.

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If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par.

Original toplevel document

Yield to maturity - Wikipedia, the free encyclopedia
usually quoted without making any allowance for tax paid by the investor on the return, and is then known as "gross redemption yield". It also does not make any allowance for the dealing costs incurred by the purchaser (or seller). <span>Coupon rate vs. YTM[edit] If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par. Variants of yield to maturity[edit] As some bonds have different characteristics, there are some variants of YTM: Yield to call: when a bond is callable (can be repurchased by the issuer




#bonds #finance #yield-to-maturity
If a bond's coupon rate is equal to its YTM, then the bond is selling at par.

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Parent (intermediate) annotation

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If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par.

Original toplevel document

Yield to maturity - Wikipedia, the free encyclopedia
usually quoted without making any allowance for tax paid by the investor on the return, and is then known as "gross redemption yield". It also does not make any allowance for the dealing costs incurred by the purchaser (or seller). <span>Coupon rate vs. YTM[edit] If a bond's coupon rate is less than its YTM, then the bond is selling at a discount.If a bond's coupon rate is more than its YTM, then the bond is selling at a premium.If a bond's coupon rate is equal to its YTM, then the bond is selling at par. Variants of yield to maturity[edit] As some bonds have different characteristics, there are some variants of YTM: Yield to call: when a bond is callable (can be repurchased by the issuer




Flashcard 149624240

Tags
#bonds #finance #has-images
Question

The current yield is simply the coupon payment C as a percentage of the [...]

Answer
bond price, i.e.
\(\Large currentYield=\frac{coupon}{bondPrice}\)


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The current yield is simply the coupon payment as a percentage of the (current) bond price .

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] <span>The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to other bond concepts, including yield to maturity, and coupon yield. The relationship between yield to maturity and t







#bonds #finance
Coupon yield is also called nominal yield.

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Parent (intermediate) annotation

Open it
The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
ices are often quoted in terms of YTM. To achieve a return equal to YTM, i.e. where it is the required return on the bond, the bond owner must: buy the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] <span>The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to o




Flashcard 149624256

Tags
#bonds #finance
Question
[...]is also called nominal yield.
Answer
Coupon yield


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Parent (intermediate) annotation

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Coupon yield is also called nominal yield.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
ices are often quoted in terms of YTM. To achieve a return equal to YTM, i.e. where it is the required return on the bond, the bond owner must: buy the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] <span>The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to o







Flashcard 149624263

Tags
#bonds #finance
Question
Coupon yield is also called [...]
Answer


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Parent (intermediate) annotation

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Coupon yield is also called nominal yield.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
ices are often quoted in terms of YTM. To achieve a return equal to YTM, i.e. where it is the required return on the bond, the bond owner must: buy the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] <span>The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to o







Flashcard 149624274

Tags
#bonds #finance #has-images
Question
The coupon yield is simply the coupon payment C as a percentage of the [...]
Answer

face (par) value F.

\text{Coupon yield} = \frac{C}{F}


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Parent (intermediate) annotation

Open it
The coupon yield is simply the coupon payment as a percentage of the face value .

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
ices are often quoted in terms of YTM. To achieve a return equal to YTM, i.e. where it is the required return on the bond, the bond owner must: buy the bond at price ,hold the bond until maturity, andredeem the bond at par. Coupon yield[edit] <span>The coupon yield is simply the coupon payment as a percentage of the face value . Coupon yield is also called nominal yield. Current yield[edit] The current yield is simply the coupon payment as a percentage of the (current) bond price . Relationship[edit] The concept of current yield is closely related to o