PFANDL Bond Analysis

Faculty of Economics and Administration
Autumn 2008
Extent and Intensity
1/2/0. 4 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Boris Šturc, CSc. (lecturer)
Ing. Boris Šturc, CSc. (seminar tutor)
Guaranteed by
doc. Ing. Martin Svoboda, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Timetable
each even Thursday 10:15–11:50 P104
  • Timetable of Seminar Groups:
PFANDL/1: Thu 12:00–13:35 S310, B. Šturc
PFANDL/2: Thu 13:45–15:20 S310, B. Šturc
PFANDL/3: Thu 15:30–17:05 S310, B. Šturc
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 72 student(s).
Current registration and enrolment status: enrolled: 0/72, only registered: 0/72, only registered with preference (fields directly associated with the programme): 0/72
fields of study / plans the course is directly associated with
Course objectives
Bond Analysis (PFANDL) The aim of the course is to understand bonds as securities tradable on capital markets. Definition of bond duration and bond convexity, the use of bonds: duration and convexity of bonds, their utilization. Topics covered include: bond pricing, gross price, net price, tax; bond duration, deriving the relation for duration, modified duration, dollar duration; convexity, deriving the basic relation, its importance and utilization, percentage and dollar convexities. The course also explains bond utilization, its legal forms, basic accounting of bonds in commercial banks and for entrepreneurs. The course provides solutions to practical tasks, such as calculations of duration and convexity and keeping bond accounts. Credit requirements: solving assigned tasks and active participation in seminars. Examination: written and oral.
Syllabus
  • Theme plan - Lectures:
  • 1. The economic concept of bonds and their importance
  • 2. Fundamentals of valuation yield bonds, present value, net present value
  • 3. Bond duration and its use in the management of assets and liabilities of commercial banks
  • 4. Bond convexity and its importance
  • 5. Specific forms of bonds
  • 6. Trading in bonds on the Czech market and in the developed countries
  • 7. Accounting and tax treatment of bonds from the perspective of commercial banks.
  • Theme plan - seminars:
  • 1. An introductory seminar
  • 2. The price of a bond, linear yield, exponential return
  • 3. Bond duration and its applications
  • 4. Modified duration and dollar bond duration
  • 5. In-term test
  • 6. Bond convexity, and the duration of the convexity in the Taylor series
  • 7. Trading in bonds on the stock exchange
  • 8. Bond indices
  • 9. Valuation of specific types of bonds
  • 10. Legislation related to bonds
  • 11. Bond accounting from the perspective of commercial banks
  • 12. Taxation of bonds from the perspective of commercial banks
  • 13. Trading in bonds on the higly developed markets
  • 14. Final credit test
Literature
  • ŠTURC, Boris. Oceňování obligací a obchodování obligacemi. 1. vyd. Brno: Masarykova univerzita, 2001, 51 s. ISBN 8021025085. info
  • BREALEY, Richard A. and Stewart C. MYERS. Teorie a praxe firemních financí. Translated by Zdeněk Strnad - Vilém Jungmann - Tomáš Hlaváč. Vyd. 1. Praha: Computer Press, 2000, xix, 1064. ISBN 8072261894. info
  • BLAKE, David. Analýza finančních trhů. Translated by Aleš Hrnčíř - Petr Šedý - Pavel Šimůnek. Vyd. 1. Praha: Grada, 1995, 623 s. ISBN 8071692018. info
  • SHARPE, William F. and Gordon J. ALEXANDER. Investice. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994, 810 s. ISBN 80-85605-47-3. info
Assessment methods
The teaching methods: Lectures and seminars.
Requirements for completion: The course is completed by a written test and oral exam. The precondition for granting the evaluation is passing an in-term test, final test and active participation in the seminars.
Language of instruction
Czech
Further Comments
The course is taught annually.
The course is also listed under the following terms Autumn 2001, Autumn 2002, Autumn 2003, Autumn 2004, Autumn 2005, Autumn 2006, Autumn 2007.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/autumn2008/PFANDL