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Investments Chapter 14: Bonds: Analysis and Management

Pricing Bonds ,[object Object]

Bond Pricing Principles: I Exhibit 14.1 Bond prices and the passage of time for different yields to maturity (spikes due to the coupon accrual) Source: From Introduction to Investments , 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.

Bond Pricing Principles: II ,[object Object],Exhibit 14.2 Convex relationship between bond prices and yield to maturity Source: From Introduction to Investments , 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.

Bond Pricing Principles: III ,[object Object],Exhibit 14.4 Bond prices and yield to maturity for different lengths to maturity Source: From Introduction to Investments , 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.

Bond Pricing Principles: IV ,[object Object],Exhibit 14.5 Difference between bond prices for different yields to maturity for bonds of different maturities Source: From Introduction to Investments , 2nd edn, by Levy. © 1999. Reprinted with permission of South-Western, a division of Thomson Learning: www.thomsonrights.com. Fax 800 730-2215.

Bond Pricing Principles: V ,[object Object],Exhibit 14.6 Linear relationship between bond price and coupon rate for different yields to maturity

Duration ,[object Object],[object Object],[object Object],[object Object]

The Trade-off between the Price Effect and the Reinvestment Effect Exhibit 14.10 Duration as a measure of the holding period that minimises interest-rate risk measured as the standard deviation of rates of return (holding period is assumed to be four years)

Formal Definition of Duration ,[object Object]

Duration Principles ,[object Object],[object Object],[object Object],[object Object]

Convexity ,[object Object],[object Object]

Convexity Principles ,[object Object],[object Object],[object Object],[object Object]

Passive vs. Active Bond Management ,[object Object],[object Object],[object Object],[object Object]

Passive Bond Management Strategies ,[object Object],[object Object]

Active Bond Management Strategies ,[object Object],[object Object],[object Object],[object Object]

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