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Bond markets: Structures and Yield Calculations / Patrick J. Brown → Обява 23876506
Bond markets: Structures and Yield Calculations / Patrick J. Brown
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Bond markets: Structures and Yield Calculations / Patrick J. Brown
CONTENTS
Preface v
Acknowledgements vi
Chapter 1 Introduction 1
Chapter 2 Trade, Value and Settlement Dates 2
Chapter 3 Accrued Interest 5
1 Counting days accrued 5
2 Days in the year 9
3.3. Accrued interest computation 12
Chapter 4 Measures of Life and Associated Calculations 13
4.1 Life to maturity 14
4.2 Life to next call 14
4.3 Life to put 15
4.4 Average life 15
4.5 Equivalent life 16
4.6 Duration 17
4.7 Modified duration or volatility 20
4.8 Convexity 21
Chapter 5 Yields 23
5.1 Current yield 23
5.2 Simple yield to maturity 24
5.3 Redemption yields 25
5.3.1 Fixed coupon bonds 27
5.3.2 Money market yields 30
(bonds in their last coupon period)
5.3.3 Zero coupon bonds 33
3 Undated securities 34 Bonds with sinking funds 35
(yields to average/equivalent life)
4 Other bond types 37
5 Other redemption yields 38
Chapter 6 Floating Rate Note Calculations 40
4.9 Simple margin 40
4.10 Discounted margin 42
4.11 Yields 44
Chapter 7 Convertible Calculations 47
5.4 Conversion premium/discount - ratio 47
5.5 Income differential and break-even period 49
Chapter 8 Warrants 51
5.3.4 Bond warrants 51
5.3.5 Equity warrants 53
5.3.6 Commodity/currency warrants 54
Chapter 9 Money Market Instruments 56
9.1 Discounts 56
9.2 Yields 58
9.2.1 With one coupon payment 58
9.2.2 With more than one coupon payment 59
9.3 Floating rate certificates of deposit 60
Chapter 10 Miscellaneous 61
10.1 Bonds in default 61
10.2 Tax 61
10.3 Prices from yields 62
Chapter 11 Bond Market Comparisons 65
11.1 Table headings 72
11.2 Footnotes 76
Appendix I
The General Redemption Yield Formula 89
Appendix II
Compounding Frequency Adjustments 92
Appendix III
Index-Linked Stocks and Real Returns 94
***
As
cross-market bond trading has increased, it has become vital for
international participants to understand the many different features
that characterize the various international bond markets. Of particular
interest to bond traders and investors are such factors as calculation"
of prices, accrued interest, yields, and durations.
cross-market bond trading has increased, it has become vital for
international participants to understand the many different features
that characterize the various international bond markets. Of particular
interest to bond traders and investors are such factors as calculation"
of prices, accrued interest, yields, and durations.
Bond Markets compares and contrasts all major bond markets with particular attention to:
• how different instruments are normally quoted
• how much accrued interest is payable by the buyer in addition to traded price
• the cost of a bond if quoted on a yield basis
• normal settlement periods
• rules for adjusting coupon rates
• how yields are quoted and calculated.
Patrick
J. Brown has worked in the capital markets for over thirty years.
Currently he is a Director of the International Securities Market
Association (ISMA). He has been a member of the UK and European Bond
Commissions for a number of years and was involved in developing the
original EFFAS indices. He is the author of Constructing and Calculating
Bond Indices.
J. Brown has worked in the capital markets for over thirty years.
Currently he is a Director of the International Securities Market
Association (ISMA). He has been a member of the UK and European Bond
Commissions for a number of years and was involved in developing the
original EFFAS indices. He is the author of Constructing and Calculating
Bond Indices.
GPCo
1261 West Glenlake Chicago, Illinois 60660
Fitzroy Dearborn Publishers
***
PREFACE
The
increase in cross market bond trading, makes it very important that
participants understand the differences between market practices and as a
result can compare returns on a consistent basis.
increase in cross market bond trading, makes it very important that
participants understand the differences between market practices and as a
result can compare returns on a consistent basis.
Due, at least in
part, to the G30 recommendations, the advent of the Euro and increased
cross-border investment, bond market practices and yield conventions are
tending to converge. However, it can be seen that there is still a long
way to go.
part, to the G30 recommendations, the advent of the Euro and increased
cross-border investment, bond market practices and yield conventions are
tending to converge. However, it can be seen that there is still a long
way to go.
The purpose of this book is to define and compare the
standard methods and conventions used in the International and many
domestic bond markets for calculating prices, accrued interest, yields,
durations etc. The comparison concentrates on the European bond markets,
but it does include some of the other major markets.
standard methods and conventions used in the International and many
domestic bond markets for calculating prices, accrued interest, yields,
durations etc. The comparison concentrates on the European bond markets,
but it does include some of the other major markets.
The book
incorporates, updates and extends the information contained in the ISMA
Formulae for Yield and Other Calculations book (now out of print) and
that in the Bond Markets Mechanics chapter of the 6th Edition of the
European Bond Markets book.
incorporates, updates and extends the information contained in the ISMA
Formulae for Yield and Other Calculations book (now out of print) and
that in the Bond Markets Mechanics chapter of the 6th Edition of the
European Bond Markets book.
Patrick Brown London
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