A study on fixed income securities and their options

Abstract

채권(Fixed Income Securities)은 정부, 정부기관, 회사, 지방자치단체, 은행 및 금융중개자가 발행하는 금융상의 지급요구 권한이다. 채권 구매자에게 약속된 현금의 유입(cash flow)은 각 발행인들의 계약상의 의무를 나타내는데, 일반적으로 그러한 계약상의 의무가 이행되지 않았을 때는 채권 구매자가 채권을 발행한 회사의 통제권을 갖는다. 또한 이러한 채권은 채권시장(Fixed Income Markets)이라 불리는 시장에서 발행, 거래, 투자된다. 본 논문에서는, yield, duration, convexity, binomial model 등의 채권의 기본 개념을 소개하고, Ho-Lee model에 대해 알아본다. 또한 Ho-Lee model에 의해 작성된 binomial tree에 기초하여 corporate callable bond와 corporate convertible bond의 yield와 가격을 계산한다. ; Fixed Income Securities are financial claims issued by governments, government agencies, corporations, municipalities, banks and other financial intermediaries. The cash flows promised to the buyers of Fixed Income Securities represent contractual obligations of the respective issuers. Typically, when such contractual obligations are not met, the buyers of Fixed Income Securities will have the right to take control of the firm which issued such debt securities. Fixed Income Securities are issued, traded and invested in markets that are called Fixed Income Markets. In this paper, we introduce the basic concepts of Fixed Income-yield, duration, convexity, binomial model, etc. and study Ho-Lee model. The yields and prices of the corporate callable bond and the corporate convertible bond are also computed based on the binomial trees constructed by Ho-Lee model.