Microsoft PowerPoint - PoF.ppt

Quotesƒ 114

Selling

at par

: PV = FV

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Selling

at a discount

: PV < FV

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Selling

at a premium

: PV > FV

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What can you infer about the relationship of the yield and the coupon?

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PV = quoted price + accrued interest

Accrued interest = c [p.a.] * time since last c [y]Time since last c [y] ... usually actual/365

Multi-period deterministic cash flows: FI securities - Valuation