Lecture 2 2012 govt bonds

固定收益课题 2 ：国债、回购／ Treasury Securities and Repurchase 陈国辉博士／南洋理工大学商学院

现金流－票息和本金 Cash Flows (Coupons and Principal) 半年期票息 Semi-Annual Coupon 本金 Principal Time Cash Flow 带票息的债券 Coupon Bond 到期 Maturity

美国 10 年国债 A US Government 10-Yr Bond – From Reuters ,[object Object],[object Object],[object Object],[object Object]

国债的价格 Prices of a Treasury ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

报价 Quoted Price Quotes 32nds 64ths 256ths Clean Price 91-19 19 91.59375 91-19+ 19 1 91.609375 107-222 22 2 107.6953125 109-066 6 6 109.2109375

结算价 Settlement Price 报价（假设为 100 ）应计利息：累积到付息日为止。付息之后，结算价往下掉，因为累积利息等于零 . Accrued interest. It accumulates gradually day after day until coupon is paid. After coupon payment, dirty price drops because accrued interest is zero. Coupon payment date Coupon payment date 100

计日方法 ( Day Count Method) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

拍卖程序 ( Auction Process) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

新发行和已发行 (New and Outstanding Issues) ,[object Object],[object Object],[object Object],[object Object]

国库券 Treasury Bills ,[object Object],[object Object],[object Object],[object Object],[object Object]

把有息债券的票息和本金当成一组零息债券 Coupons + Face Value = A Series of Zeros ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

国库券的报价 (Quoted Price for T-bills) ,[object Object],[object Object],[object Object]

国库券的收益率 (Yield of T-bills) ,[object Object],[object Object],[object Object],[object Object]

国库券的收益率 (Yield of T-bills) ,[object Object]

STRIPS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

STRIPS 代号 ,[object Object],[object Object],[object Object],[object Object],[object Object]

回购市场 ( Repurchase Markets) ,[object Object],[object Object],[object Object],[object Object]

回购交易和反回购交易 (Repo and Reverse Repo) ,[object Object],[object Object],[object Object],[object Object],[object Object]

回购的种类 (Types of Repo) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

回购利息 (Interest Rates of Repo) ,[object Object],[object Object],[object Object],[object Object],[object Object]

Lecture 2 2012 govt bonds

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Lecture 2 2012 govt bonds