Fight Finance

Courses  Tags  Random  All  Recent  Scores

Scores
keithphw$6,001.61
an4_bolt$4,106.43
Visitor$442.43
Visitor$280.00
Visitor$260.00
Visitor$240.00
SGDMGSM$183.46
Visitor$157.00
Visitor$129.43
Visitor$129.43
Visitor$120.00
Visitor$106.43
Visitor$100.00
Visitor$88.61
Soo$75.33
Visitor$62.09
Visitor$60.00
Visitor$60.00
Visitor$56.09
Visitor$46.09
 

Question 207  income and capital returns, bond pricing, coupon rate, no explanation

For a bond that pays fixed semi-annual coupons, how is the annual coupon rate defined, and how is the bond's annual income yield from time 0 to 1 defined mathematically?

Let: ##P_0## be the bond price now,

##F_T## be the bond's face value,

##T## be the bond's maturity in years,

##r_\text{total}## be the bond's total yield,

##r_\text{income}## be the bond's income yield,

##r_\text{capital}## be the bond's capital yield, and

##C_t## be the bond's coupon at time t in years. So ##C_{0.5}## is the coupon in 6 months, ##C_1## is the coupon in 1 year, and so on.




Copyright © 2014 Keith Woodward