tailieunhanh - Financial engineering principles part 3

Để diễn tả điều này một cách khác, hôm nay chúng tôi phải chi tiêu nhiều hơn $ 1 để có được 100 bút chì cùng mà mọi người trước đây đã dành chỉ $ 1 để có được. Chi tiêu nhiều tiền hơn để mua hàng hoá tương tự là một định nghĩa cổ điển của lạm phát | 40 PRODUCTS CASH FLOWS AND CREDIT For the case where the term of a forward lasts over a series of coupon payments it may be easier to see why Yc is subtracted from R. Since a forward involves the commitment to purchase a security at a future point in time a forward leaps over a span of time defined as the difference between the date the forward is purchased and the date it expires when the forward expires its purchaser takes ownership of any underlying spot security and pays the previously agreed forward price. Figure depicts this scenario. As shown the forward leaps over the three separate coupon cash flows the purchaser does not receive these cash flows since he does not actually take ownership of the underlying spot until the forward expires. And since the holder of the forward will not receive these intervening cash flows he ought not to pay for them. As discussed the spot price of a coupon-bearing bond embodies an expectation of the coupon actually being paid. Accordingly when calculating the forward value of a security that generates cash flows it is necessary to adjust for the value of any cash flows that are paid and reinvested over the life of the forward itself. Bonds are unique relative to equities and currencies and all other types of assets since they are priced both in terms of dollar prices and in terms of yields or yield spreads . Now we must discuss how a forward yield of a bond is calculated. To do this let US use a real-world scenario. Let US assume that an investor is trying to decide between a buying two consecutive six-month Treasury bills and b buying one 12-month Treasury bill. Both investments involve a 12-month horizon and we assume that our investor intends to hold any purchased securities until they mature. Should our investor pick strategy a or strategy b To answer this the investor prob- Date forward is purchased Date forward expires and previously agreed forward price is paid for forward s underlying spot FIGURE Relationship