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1、FinalPDFtoprinterCHAPTERFOURTEENBondPricesandYields144INTHEPREVIOUS chaptersonriskandreturnforouranalysisoftheuniverseofpotentialrelationships,wetreatedsecuritiesatahighinvestmentvehicles.levelofabstraction.WeassumedimplicitlyThebondisthebasicdebtsecurity,andthataprior,detailedanalysiso
2、feachsecuritythischapterstartswithanoverviewofthealreadyhadbeenperformed,andthatitsriskuniverseofbondmarkets,includingTreasury,andreturnfeatureshadbeenassessed.corporate,andinternationalbonds.WeturnWeturnnowtospecificanalysesofpartic-nexttobondpricing,showinghowbondularsecuritymarkets.W
3、eexaminevaluationpricesaresetinaccordancewithmarketprinciples,determinantsofriskandreturn,interestratesandwhybondpriceschangeandportfoliostrategiescommonlyusedwiththoserates.Giventhisbackground,wewithinandacrossthevariousmarkets.cancomparethemyriadmeasuresofbondWebeginbyanalyzingdebtsec
4、urities.Areturnssuchasyieldtomaturity,yieldtocall,debtsecurityisaclaimonaspecifiedperiodicholding-periodreturn,andrealizedcom-streamofincome.Debtsecuritiesareoftenpoundrateofreturn.Weshowhowbondcalledfixed-incomesecuritiesbecausetheypricesevolveovertime,discusscertaintaxpromiseeitherafi
5、xedstreamofincomeorrulesthatapplytodebtsecurities,andshowonethatisdeterminedaccordingtoaspeci-howtocalculateafter-taxreturns.Finally,wefiedformula.Thesesecuritieshavetheadvan-considertheimpactofdefaultorcreditrisktageofbeingrelativelyeasytounderstandonbondpricingandlookatthedeterminants
6、becausethepaymentformulasarespecifiedofcreditriskandthedefaultpremiumbuiltinadvance.Uncertaintyabouttheircashflowsintobondyields.Creditriskiscentraltobothisminimalaslongastheissuerofthesecu-collateralizeddebtobligationsandcreditPARTIVrityissufficientlycreditworthy.Thatmakesdefaultswaps,
7、soweexaminetheseinstru-thesesecuritiesaconvenientstartingpointmentsaswell.bod61671_ch14_445-486.indd4457/17/133:51PMFinalPDFtoprinter446PARTIVFixed-IncomeSecurities14.1BondCharacteristicsAbondisasecuritythatisissuedinconnectionwithaborrowingarrangement.Thebor-rowerissues(i.e.,s
