资源描述：
《银行管理学全套配套课件 ch06.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、PRICINGSECURITIESChapter6BankManagement,5thedition. TimothyW.KochandS.ScottMacDonaldCopyright©2003bySouth-Western,adivisionofThomsonLearningFuturevalueandpresentvaluePV(1+i)=FV1Example:1,000PVand1,080FVmeans:i=$80/$1,000 =0.08=8%Ifweinvest$1,000at8%for2years:$1,000(1+0.08)(1+0.08) =$1,0
2、80(1.08) =$1,166.40Ingeneral,thefuturevalueis…FVn=PV(1+i)nAlternatively,theyieldcanbefoundas:i=[FVn/PV](1/n)-1Example:$1,000investedfor6yearsat8%:FV6=$1,000(1.08)6=$1,586.87Example:Invest$1,000for6years, Receive$1,700attheendof6years.Whatistherateofreturn? i=[$1,700/$1,000](1/6)-1=0.092
3、5Futurevalueandpresentvalue …multiplepaymentsThecumulativefuturevalueofaseriesofcashflows(CFVn)afternperiodsis:CFVn=CF1(1+i)n+CF2(1+i)n-1+...+CFn(1+i)Thepresentvalueofaseriesofncashflows:PV=[CF1/(1+i)]+[CF2/(1+i)2]+[CF3/(1+i)3] ...+[CFn/(1+i)n]Example:rateofinterest=10%,whatisthePVofase
4、curitythatpays$90attheendofthenextthreeyearsplus$1,000attheendofthreeyears?PV=90/(1.1)+90/(1.1)2+1090/(1.1)3=$975.13SimpleinterestversuscompoundinterestSimpleinterestisinterestthatispaidonlyontheinitialprincipalinvested:simpleinterest=PVx(i)xnExample,simpleinterest:ifi=12%perannum,n=1an
5、dprincipalof$1,000:simpleinterest=$1,000(0.12)1=$120Example,interestispaidmonthly:monthlysimpleinterest=$1,000(0.12/12)1=$10Compoundedinterestisinterestthatispaidontheinterest:PV(1+i/m)nm=FVn andPV=FVn/(1+i/m)nmCompoundingfrequencyExample:$1,000investedfor1yearat8%withinterestcompounded
6、monthly:FV1=1,000(1+0.08/12)12=1083.00Theeffectiveannualrateofinterest,i*canbecalculatedfrom:i*=(1+i/m)m-1Inthisexample:i*=(1+0.08/12)12-1=8.30%TheeffectofcompoundingonfuturevalueandpresentvalueBondpricesandinterestratesvaryinverselyConsiderabondwhichpayssemi-annualinterestpaymentsof$47
7、0withamaturityof3years.Ifthemarketrateofinterestis9.4%,thepriceofthebondis:Ifthemarketratesofinterestincreasesto10%,thepriceofthebondfallsto$9,847.72:Priceandyieldrelationshipsforoption-freebondsthatareequivalentexceptforthefeatureanalyzedIngeneralParBondYieldtomaturity=couponr
