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Table Of Contents

What is a Bond?
Bond Terminology
Invoice Price
Accrued Interest on US Treasury Bonds
Accrued Interest Example I
Accrued Interest Example 2
Bonds and Cash Flows
Bonds -Yield to Maturity
Yield To Maturity
5 Year Bond with 10% Annual Coupon and Yield = 10%
Cash Flows for 5 year Bond 10% coupon
Present Value of Cash Flows with YTM = 10%
Yield and Coupon
PV of Cash Flows: 5 Year 7% bond with YTM = 10%
3 year semi-annual bond 6% coupon YTM = 5%
Bond Pricing Formula
Price and Yield
Example: Yield from Price
Bonds: Price Risk versus Reinvestment Risk
Scenario 1
Scenario 2
Scenario 1 (again)
Scenario 2 (again)
Holding Period
Risk Measures
Price Change and Yield Change
Example: 20 year 8% semi-annual bond
Calculating Delta
Delta and Duration
Price Delta is not constant!
Delta at Different Yield Levels
Duration and Convexity
Gamma and Convexity
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UBS - Bond Basics

UBS - Bond Basics

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Published by huqixin1

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Published by: huqixin1 on Feb 27, 2012
Copyright:Attribution Non-commercial


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