Maximálna a limitná hodnota durácie kupónovej obligácie


Finance

Maximálna a limitná hodnota durácie kupónovej obligácie

Jméno a příjmení autora:

Vincent Šoltés, Michal Šoltés

Rok:
2007
Číslo:
4
Klíčová slova:
duration, coupon bond, maturity period, limit value
DOI (& full text):
Anotace:
Duration of obligation is characteristics, which is used to measure the sensitivity of the change in price of obligation at the change of interest rate. It is a function of interest rate, coupon rate…více
Duration of obligation is characteristics, which is used to measure the sensitivity of the change in price of obligation at the change of interest rate. It is a function of interest rate, coupon rate and maturity period of the obligation. A lot of statements found on the duration can be found in the economic literature. Unfortunately, not all of them are true and some of them are not proved.The aims of this paper are:• to prove, that considering obligations that are traded at the nominal value or higher, duration increases with the increasing maturity period and converges up to the limit value,• to calculate the limit value,• to prove, that the statement saying the maximum duration of obligations traded under the nominal value is around the 20th year, is false,• to find out the formula for calculation of maturity period, at which the duration is maximum,• to prove, that even considering obligations traded under the nominal value, duration also converges to the same limit value, but downward.The paper interlocks to the paper (of the authors), in which the formula for calculation of the duration without the sum with the argument of maturity period. It was the formula derived in the paper, which enabled to prove the statements mentioned above.
Sekce:
Finance

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