举例说明high yield 和 interest rate的不同

 

就用slow_quick的例子， 感觉我有点象hhtt和slow_quick的助教

面值$100, 6个月付一次利息

Interest rate = annual coupon rate (由财政部根据auction结果定）= 4.125%

6 month coupon payment  = 4.125%*100/2 = $2.0625

0          6m            12m             18m                   24m

           $2.0625      $2.0625       $2.0625             $2.0625 + $100

High yield (由auction决定）= 年化收益率 = 4.139%

6 month 收益率 = 4.139%/2 = 2.0695%

Price for 2 year treasury notes = 2.0625/(1+0.020695) + 2.0625/1.020695^2+2.0625/1.020695^3+(100+2.0625)/1.020695^4 = $99.973391

由auction产生的High yield决定债券价格。 付$99.973391买面值$100的两年债券，每六个月拿利息$2.0625, 若持有两年， 到期后拿回$100, 年化收益率就是 4.139%。