p********0
发帖数: 186 | 1 Hi,
I have one question about getting the yield date based on bond price.
Assume today is 11/05/2011
Continuous compounding convention, discount factor is e^{-tr(t)}
We have the bond quotes on Nov 5, 2011
Coupon Maturity Ask price
6.625 2/15/2012 100
9.125 2/15/2012 100.6875
7.875 8/15/2012 100.75
8.25 8/15/2012 101.03125
I am using the term structure formula
PV(present value of asking price) 100 = x_{0}(cash flow} + d_{1} * x_{1} (
100+6.625*0 | p********0
发帖数: 186 | 2 Sorry, typo, it should be yield rate, not date | i******d
发帖数: 54 | | b***k
发帖数: 2673 | 4 I helped to change it.
【在 p********0 的大作中提到】
: Sorry, typo, it should be yield rate, not date
| n*****r
发帖数: 159 | 5 The quoted price is clean price, but you have to use dirty price (clean
price + accrued interest) in your equation because you have to pay more than
100 to get 6.625, 2/15/2012 bond.
Simply think that you can get a 6.625/2 coupon after holding a bond for 3
months, you will get 6.625*2 >12% annualized yield rate, which is of course
ridiculous.
【在 p********0 的大作中提到】
: Hi,
: I have one question about getting the yield date based on bond price.
: Assume today is 11/05/2011
: Continuous compounding convention, discount factor is e^{-tr(t)}
: We have the bond quotes on Nov 5, 2011
: Coupon Maturity Ask price
: 6.625 2/15/2012 100
: 9.125 2/15/2012 100.6875
: 7.875 8/15/2012 100.75
: 8.25 8/15/2012 101.03125
| p********0
发帖数: 186 | 6 Thanks for the reply,
I am a novice, If I am understanding correctly, you paid the bond asking
price,
then you will get coupon + principal back at the maturity date.
11/05/2011 is between two coupon date, so I proportionally get the coupon
100/182*6.625.
What's the correct way to get the yield rate/interest rate using the data
above? | n*****r
发帖数: 159 | 7 you will pay ask price + accrued interest. So for 6.625, 2012 bond quoted at
100, you have to pay 100 + ~ 90/360*6.625 = 101.6 (assuming 30/360 day
count, deal close at Nov. 15, and twice a year coupon frequency) to get the
bond.
【在 p********0 的大作中提到】
: Thanks for the reply,
: I am a novice, If I am understanding correctly, you paid the bond asking
: price,
: then you will get coupon + principal back at the maturity date.
: 11/05/2011 is between two coupon date, so I proportionally get the coupon
: 100/182*6.625.
: What's the correct way to get the yield rate/interest rate using the data
: above?
| c******n
发帖数: 1 | 8
at
the
So from Nov 5 to Feb 15 is 100 days, assuming bond yield rate y, we will
have
($100 + 6.625*(180-100)/360) = exp(y*100/360)*($100+6.625*0.5)
this gives y = 6.4704%
whereas the second one gives:
($100.6875 + 9.125*(180-100)/360) = exp(y*100/360)*($100+9.125*0.5)
which gives y = 6.4167%
Should we expect this to be the same, or that's close enough?
【在 n*****r 的大作中提到】
: you will pay ask price + accrued interest. So for 6.625, 2012 bond quoted at
: 100, you have to pay 100 + ~ 90/360*6.625 = 101.6 (assuming 30/360 day
: count, deal close at Nov. 15, and twice a year coupon frequency) to get the
: bond.
| p********0
发帖数: 186 | 9 Thanks,
the original question is using model
r(t) = a_{0} + t*a_{1} + ... + t^4*a_{4} to do a regression.
We have 14 more data in the following years, like
8.25 2/15/2013 101.21875
8.75 2/15/2013 101.375
We should plot a estimated yield curve. Because yield curve is different
because of different coupon, then the yield means the 0 coupon yield curve I
should plot, correct? | n*****r
发帖数: 159 | 10 no, yiled curve is the yield of coupon-yielding(2 coupons per year) US
Treasury Bonds.
spot curve is the zero-coupon curve calculated from Treasury.
I
【在 p********0 的大作中提到】
: Thanks,
: the original question is using model
: r(t) = a_{0} + t*a_{1} + ... + t^4*a_{4} to do a regression.
: We have 14 more data in the following years, like
: 8.25 2/15/2013 101.21875
: 8.75 2/15/2013 101.375
: We should plot a estimated yield curve. Because yield curve is different
: because of different coupon, then the yield means the 0 coupon yield curve I
: should plot, correct?
| p********0
发帖数: 186 | 11 Thanks for the reply,
but since we have 12 different bonds, different asking prices, I assume they
all have different yield curve, which yield curve should I plot? | p********0
发帖数: 186 | 12 Once spot rate known,
r(t) = a_{0} +... a{4}*t^4
does the yield for different coupon/same maturity date always the same ? no
matter what's the coupon value.
Higher yield will cause higher bond price, but yield stay the same??? | p********0
发帖数: 186 | 13 Once spot rate known,
r(t) = a_{0} +... a{4}*t^4
does the yield for different coupon/same maturity date always the same ? no
matter what's the coupon value.
Higher yield will cause higher bond price, but yield stay the same??? | p********0
发帖数: 186 | 14 Once spot rate known,
r(t) = a_{0} +... a{4}*t^4
does the yield for different coupon/same maturity date always the same ? no
matter what's the coupon value.
Higher yield will cause higher bond price, but yield stay the same??? |
|
