July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the Formulas
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Chapter 3: Prices and Yields on Coupon Bonds
I presented a paper titled “Two Common Textbook Misstatements about Bond Prices and Yields” at the annual meeting of the Financial Education Association in Orlando, September 2003. One of the misstatements is the between-coupon-payments bond pricing curiosity when the coupon rate equals the yield to maturity.
The “Implied Probability of Default on Coupon Bonds” section, as in Chapter 2, is based on an example in John C. Hull, Options, Futures, and Other Derivatives, 6th ed. (Pearson Prentice-Hall, 2006).
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