Bloomberg - Fixed Income Securities And Derivatives Handbook

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Example text

K. curve slopes in the opposite direction, a shape termed inverted. Coupon Bonds The majority of bonds in the market are coupon bonds. As noted above, such bonds may be viewed as packages of individual strips. The strips corresponding to the coupon payments have face values that equal percentages of the nominal value of the bond itself, with successively longer maturity dates; the strip corresponding to the final redemption payment has the face value and maturity date of the bond. A bond issued at time i and maturing at time T makes w payments (C1 … Cw) on w payment dates (t1, … tw-1, T ).

If the actual prices P1, P2, …. 30). PC = PC 1 + P2C + ..... 30) Conversely if the coupon bond prices PC1, PC2 ,…. 32). 31) PCN − PN −1C − ..... 32) Finally, a regression technique known as ordinary least squares, or OLS (discussed in chapter 5), is applied to fit the term structure. 30) restricts coupon-bond prices by requiring them to be precise functions of the prices of other coupon bonds. In practice, this strict relationship is vitiated by the effects of liquidity, taxes, and other factors.

Hence, convexity is more highly valued when market volatility is high. CHAPTER 3 Bond Pricing and Spot and Forward Rates A s discussed in chapter 1, there are two types of fixed-income securities: zero-coupon bonds, also known as discount bonds or strips, and coupon bonds. A zero-coupon bond makes a single payment on its maturity date, while a coupon bond makes interest payments at regular dates up to and including its maturity date. A coupon bond may be regarded as a set of strips, with the payment on each coupon date and at maturity being equivalent to a zero-coupon bond maturing on that date.

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Bloomberg - Fixed Income Securities And Derivatives Handbook
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