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1  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 2  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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3  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 4  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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3 ' !*

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5  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 6  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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Duration Duration (...

 
 
  

 ! ( Macaulay Duration
!! "#$
%$#& n
" "  !2
Dmac = ∑ PV (CFt) t
t=1 B0

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* 1, 2, 3, ... ! n
n ( & '!#$
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Duration
B0 ( 
 
7  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 8  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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6 CF PV(CF) PV(CF) t Duration (...

1 100 100 / (1.1)1 = 90.91 90.91
2 100 100 / (1.1)2 = 82.64 165.29 ! ( Modified Duration
3 100 100 / (1.1)3 = 75.13 225.39
4 100 100 / (1.1)4 = 68.30 273.21 -1
5 100 5
100 / (1.1) = 62.09 310.46
Dmod = x Dmac
(1 + YTM)
6 100 100 / (1.1)6 = 56.45 338.68
7 100 100 / (1.1)7 = 51.32 359.21
Dmac
8
= 6,759.02
100 100 / (1.1)8 = 46.65 373.21
9 1,000100 100 / (1.1)9 = 42.41 381.69 Dmod = - 1 x 6.759
10 = 6.7591,100 1,100 / (1.1)10 = 424.10 4,240.98 1.10
1,000 6,759.02 = 6.1445
9  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 10  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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Duration (... ' Duration 4 8(4


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11  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 12  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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Convexity 2.

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(Reinvestment rate risk)
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Convexity !#2" Duration

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13  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 14  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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 %" & ( 

( 1 -'"4(
Price risk % Reinvestment risk 4&%( YTM

Price risk
Reinvestment 
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4  '    
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15  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 16  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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( 1 -'"4( 
( 1 -'"4(
4&%( YTM (... 4&%( YTM (...
 
!" = 100 + 100 + 100 + 100 + 1,000   (
"  '4(
6 0 1 2 3 4
(1.10) (1.10)2 (1.10)3 (1.10)4 (1.10)4
100(1.10)3 = 133.10
= 90.91 + 82.64 + 75.13 + 68.30 + 683.01 100(1.10)2 = 121.00
= 1,000  100(1.10)1 = 110.00
100(1.10)0 = 100.00
= 464.10
17  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 18  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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( 2 -'"4( 
( 2 -'"4(
%" % %" % (...
!!'3   &   '  1  
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(  (  
  A (1.10) (1.10)2 (1.08)3 (1.08)4 (1.08)4
!%  - '  2   
"  

 ! 10%
* = 90.91 + 82.64 + 79.38 + 73.50 + 735.03
8% = 1,061.45 

19  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 20  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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( 2 -'"4( 
( 2 -'"4(
%" % (... %" % (...
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10% 8% "'4(
100(1.10)3 = 133.10
100(1.10)2 = 121.00 1,000  464.10 
100(1.08)1 = 108.00
100(1.08)0 = 100.00
= 462.10
21  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 22  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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( 2 -'"4( 3.

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23  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 24  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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4.

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25  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 26  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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6.

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27  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 28  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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( '+)" (*GH) 7.

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29  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 30  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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31  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 32  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

 


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33  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand 34  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand


 

Q&A
35  2008 Thailand Securities Institute (TSI) , The Stock Exchange of Thailand