Bond Markets: Structures and Yield Calculations

by Ryan,Patrick J.

• ISBN13: 9781579580872
• ISBN10: 1579580874
• Format: Hardcover
• Copyright: 1998-01-01
• Publisher: Routledge

Summary

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.Bond Marketscompares 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 terms; rules for adjusting coupon rates; and how yields are quoted and calculated.

Table of Contents

Preface	v
Acknowledgements	vi
Introduction	1	(1)
Trade, Value and Settlement Dates	2	(3)
Accrued Interest	5	(8)
Counting days accrued	5	(4)
Days in the year	9	(3)
Accrued interest computation	12	(1)
Measures of Life and Associated Calculations	13	(10)
Life to maturity	14	(1)
Life to next call	14	(1)
Life to put	15	(1)
Average life	15	(1)
Equivalent life	16	(1)
Duration	17	(3)
Modified duration or volatility	20	(1)
Convexity	21	(2)
Yields	23	(17)
Current yield	23	(1)
Simple yield to maturity	24	(1)
Redemption yields	25	(15)
Fixed coupon bonds	27	(3)
Money market yields (bonds in their last coupon period)	30	(3)
Zero coupon bonds	33	(1)
Undated securities	34	(1)
Bonds with sinking funds (yields to average/equivalent life)	35	(2)
Other bond types	37	(1)
Other redemption yields	38	(2)
Floating Rate Note Calculations	40	(7)
Simple margin	40	(2)
Discounted margin	42	(2)
Yields	44	(3)
Convertible Calculations	47	(4)
Conversion premium/discount - ratio	47	(2)
Income differential and break-even period	49	(2)
Warrants	51	(5)
Bond warrants	51	(2)
Equity warrants	53	(1)
Commodity/currency warrants	54	(2)
Money Market Instruments	56	(5)
Discounts	56	(2)
Yields	58	(2)
With one coupon payment	58	(1)
With more than one coupon payment	59	(1)
Floating rate certificates of deposit	60	(1)
Miscellaneous	61	(4)
Bonds in default	61	(1)
Tax	61	(1)
Prices from yields	62	(3)
Bond Market Comparisons	65	(24)
Table headings	72	(4)
Footnotes	76	(13)
Appendix I The General Redemption Yield Formula	89	(3)
Appendix II Compounding Frequency Adjustments	92	(2)
Appendix III Index-Linked Stocks and Real Returns	94