Par Bond Yield Curve - Tulane University：平价债券收益率曲线-杜兰大学 Par Bond Yield Curve Sometimes, it is helpful to draw a yield curve consisting entirely of bonds that are selling at par value. This might be helpful if we want to issue a bond at par, and price it as some spread over a comparable Treasury bond. Remember that when a bond is selling at par, its BEY equals its coupon rate. So we need to find what the coupon payments would be for par bonds if they were being sold. We use a form of bootstrapping to do this, making use of the theoretical zero-coupon spot rates that we calculated through bootstrapping. We start with a six-month bond If a 6-mo. bond is issued to sell at par, what is its coupon payment? 100 = c + 100 1 + z 1 We get z from our theoretical spot rates 1 z = 4.0% 1 100 = 100 + c , c = 4 1.04 A 1-yr. bond is issued at par. What is its coupon? 100 = _c_ + 100 + c 21.04 (1.0415) Solve for c: 100 = .9615 c + .9219 (100+c) = .9615 c + .9219 c + 92.19 7.81 = 1.8834 c c = 7.81 1.8834 c = 4.147 , coupon rate = 8.294% = YTM 1 2-year Bond: 100 = _c_ + _c_ + _c_ + 100 + c 234 1.04 (1.0415) (1.04465) (1.04624) Solve for c: c = 4.60 , coupon rate = 9.2% = YTM Since the bonds sell at par, the coupon rate always equals the yield and we can draw our par bond yield curve from the coupon rates we are calculating. 2 本文来源：https://www.wddqw.com/doc/cb6bf5c31ae8b8f67c1cfad6195f312b3069eb47.html