ABF 305 INVESTMNET MANAGEMENTABF305 投资管理
Time Value of Money (TVM)货币的时间价值
•The time value of money (TVM) refers to a pound in hand today being worth more than a pound received in the future.
•Future value is the value of an asset in the future that is equivalent in value to a specific amount today.•Present value is the value today of tomorrow’s cash flow.•Compound interest is interest earned on interest.•Discounting is the compounded reduction in value from future values to present values
Yield to Maturity (YTM)到期收益率
•The yield to maturity (YTM) is defined as the interest rate that makes the present value of a bond’s payment equal to its price.
•Duration is a measure of the average life of a bond, defined as the weighted average of the times until each payment is made, with weights proportional to the present value of the payment.持续时间是衡量债券的平均寿命，定义为加权平均的时代，直到每个付款，付款的现值的权重比例。•Rule 1: The duration of a zero-coupon bond equals to its time to maturity.•Rule2: Holding maturity constant, a bond’s duration is lower when the coupon rate is higher.•Rule 3: Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity. Duration always increases with maturity for bond selling at par or at a premium to par.•Rule 4:Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower.•Rule 5: The duration of a level perpetuity is Duration of perpetuity = (1+y)/y
•Convexity is the curvature of the price-yield relationship of a bond.凸曲率的债券的价格与收益率的关系。•The convexity can be quantified as the rate of change of the slope of the price-yield curve, expressed as a fraction of the bond price.可以量化为凸的价格收益率曲线的斜率变化率，表现为债券价格的一小部分。