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Erschienen in:
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2013 | OriginalPaper | Buchkapitel

1. Interest, Coupons and Yields

verfasst von : Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer

Erschienen in: Introduction to Quantitative Methods for Financial Markets

Verlag: Springer Basel

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Abstract

ach of us has experience with paying or receiving interest. If you wish to purchase goods today despite having insufficient funds, you can, for example, borrow money from a bank. Your desired purchases could include a house, a car or consumption goods, and the borrowing could be in the form of a current account overdraft or a term loan.

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Nächstes Kapitel Financial Products
Fußnoten
1
In earlier days bond investors physically held certificates promising the coupon payments and principal repayments. To receive interest payments the investor would exchange coupons against cash on the payment dates. The coupons came in the form of stubs attached to the main bond certificate. Nowadays bond certificates are typically held by trustees and payments are made based on electronic registration systems.
 
2
We will refer to currencies by their three-letter ISO 4217 codes as used in currency trading, for example EUR, GBP, USD, CHF, JPY, SEK.
 
3
If a bond with a face value of 100 trades at 100, it is said to price at par. If it trades below 100, one would say that it trades at a discount to face value, and for prices of above 100 we would say it trades at a premium to face value
 
4
For further details check, for example, SWX Swiss Exchange [17].
 
5
When using a 30/360 method, there are different conventions of counting when e.g. D2 = 31 and D1 = 30.
 
6
Concretely, the Euribor rate is determined based on the offering rates of 43 panel banks (as of May 2012), and after eliminating the top and lowest 15 % of the quotes, the Euribor is computed as the arithmetic mean across the remaining figures, rounded to three decimal places.
 
7
Source: German Bundesbank, www.​bundesbank.​de.
 
8
Standard products that show no exceptional features are often called ‘(plain) vanilla’, like vanilla ice cream, which seems to be one of the top-selling flavors.
 
9
The present value is generally defined as the value that a particular stream of future cash flows has at present.
 
10
The term ‘value’ is used here in the sense of fair value. See Chapter 2 for a general discussion.
 
11
The yield/price quotes used here roughly correspond to EU AAA government bonds as of Jan 2005 (cf. Figure 1.3. Yield/price quotes for government bonds can e.g. be obtained at www.​bloomberg.​com/​markets/​.
 
12
Short-selling can be imagined as borrowing today’s price of a stock, while the repayment will be again at the (future) price of the stock. If the stock price falls, the short-seller will gain, as he has to repay less.
 
13
The forward interest rates as implicitly used here will be discussed further in Chapter 9.
 
Literatur
17.
D. Christie. Accrued interest and yield calculations and determination of holiday calendars, Technical Report, SWX Swiss Exchange, (2002).
41.
J. C. Hull. Options, Futures, and other Derivatives. 5th edition. Prentice Hall, Upper Saddle River, NJ, 2002.
75.
P. Wilmott. Introduces Quantitative Finance. Wiley, Chichester, 2007.
Metadaten
Titel
Interest, Coupons and Yields
verfasst von
Hansjoerg Albrecher
Andreas Binder
Volkmar Lautscham
Philipp Mayer
Copyright-Jahr
2013
Verlag
Springer Basel
Buch
Introduction to Quantitative Methods for Financial Markets

Print ISBN: 978-3-0348-0518-6

Electronic ISBN: 978-3-0348-0519-3

Copyright-Jahr: 2013

DOI
https://doi.org/10.1007/978-3-0348-0519-3_1