Each bond must come with apar valuethat is repaid at maturity. Without the principal value, a bond would have no use. The principal value is to be repaid to the lender (the bond purchaser) by the borrower (the bond issuer). A zero-coupon bond pays no coupons but will guarantee the pr...
Lie-Algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. Journal of Applied Mathematics, 2013, http://dx.doi.org/10.1155/2013/276238.Lo, C.F.: Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. J. Appl. Math. 2013...
A bond pays interest either periodically or, in the case of zero coupon bonds, at maturity. Therefore, the value of the bond = the sum of the present value of all future payments — hence, it is thepresent value of an annuity, which is a series of periodic payments. The present value...
A bond can be viewed as a package of zero-coupon bonds, in which case a unique discount rate should be used to determine the present value of each cash flow. 2.2. Important Relationships 2.2.1. Price-Yield Relationship2.2.2. CR-Yield-Price Relationship2.2.3. Price-Time Relationship2.2.4....
We propose a pricing formula for a defaultable zero-coupon bond with imperfect information under a regime switching model using a structural form of credit risk modelling. This paper provides explicit representations of risky debt under regime switching with a constant interest rate and risky debt ...
Zero-Coupon Bonds A zero-coupon bond is a bond without coupons, and its coupon rate is 0%. The issuer only pays an amount equal to the face value of the bond at the maturity date. Instead of paying interest, the issuer sells the bond at a price less than the face value at any tim...
Lecture3:BondPricing RuiGuoHanqing,RUC2017Fall Outline ThePricingofZeroCouponBondsThePricingofCouponBonds TheRelationshipBetweenZerosandCouponBonds QuotingConventionsofTreasurySecuritiesThePricingofFloatingRateBondsYieldtoMaturity 1ThePricingofZeroCouponBonds Thepriceofzerocouponbonds(witha...
In addition,the nested pricing rule is also reviewed and its geometric interpretation is offered based on the heuristic characterization of an . 此外,还对嵌套的pricing规则进行了回顾,并基于最优解的启发式特征刻画给出了该规则的一个几何解释。3) Zero-Coupon bond pricing equations Zero-Coupon bond ...
In this paper we derive a finite volume difference scheme for adegenerateparabolic equation withdynamicalboundary conditions of zero‐coupon bond pricing. We show that the system matrix of the discretization scheme is anM‐matrix, so that the discretization ismonotone. This provides the non‐negativity...
This approach was considered in Elliott and Siu (2009) and Siu (2010) for deriving an exponential affine form for a zero-coupon bond price. Under a Markov, regime-switching, version of a forward measure, we can separate the survival probability and the discount factor in the longevity bond ...