FINANCIAL ENGINEERINGA Complete Guide to Financial InnovationJohn F. Marshall Vipul K. Bansal

New York Institute of FinanceNew York London Toronto Sydney Tokyo Singapore

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,

336.76 65.8 25 .. , .. , .. , . . , .. .. -

25

. , . : : . . - .: - , 1998. - 784 . ISBN 0-13-312588-2 (.) ISBN 5-86225-576-1 (.) . , , . , . , , . , , .

I S B N 0-13-312588-2 (.) ISBN 5-86225-576-1 (.)

65.8

Allyn & Bacon, Inc., 1992 All Rights Reserved . - , 1998

. ... . . . .

. . ( - ) . , , , , (Futures and Option Contracting, - ), (Understanding Swap Finance, - ), (The Swaps Handbook, ) , (The Swaps Handbook Supplements, - ) . . . - Marchall & Associates, . , . . . , . . . ( M . B . A . ) , ( M . A . ) (Ph. D . ) . . - - - ( - ) . , . . .. Marshall & Associates. , . . . , , . . .. . , (C.F.A).

I. 1.

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27. Associated Press Standard & Poor's Corporation, Inc. Commodity Exchange, Inc Chicago Board of Trade Dow Jones & Co ,

736 736 739 739 740 742 742 743 743 745 747 748 749 750 750 750 751 751 752 752 753 754 754 754 755 755 756 757 759 760 761 761 768

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17

. . . - , 1992 . , , , . , , , , , , , . . ( - ) , , . , , , . : . . , .. , 1, 2, 3; . . 1, 4, 5; . . 10-18; .. 6 - 9 , 19-27; . . .. . , - .. . .. , . .. , . 18

, . , , , , , , . , , , , . . , (1952 .), . , , - , . 60- . . , , (1973 .), . , , . , , , . , , , , . 19

80- . . , . 1988 . . 90- . , - , , , Chase Manhattan Bank Bank of America, - . , , , . , 1991 ., . 1996 . 1500 . . (, , ), , , , . , . . - , , . 80- . . ( ) 20

, . . , . , , , . 1992 ., , - . . , , , , , . , , . , , . . . . , . , , . . , - ,

, , , , , . , , , . . . - , . , 411. , , . , 12-25. , . , , . . , , , . - , , 22

. , , . , , , , . , . , : , , . . , , , . , ( ). , , . . , , . , , , , . , , , , : 1) , ; 2) , , , , ; 3) , , , ; 4) , 23

, ; 5) , , , . , , , . , , , . - , - , . , , . . , , . , . , , , , . . , , McFarland Dewey & Co.

, , , , , , . , , , . , . . .. , , . , , , , , , . , . - , , . , . . , , . . 25

, . . .. , . , Bear, Sterns & Co., Inc. , , . , , , . . , , , , . , , . , . , , . , . . . .. , , , . , , , . , , , . , , , . , , , . . , Bear, Stearns and Co., Inc.

1988 ., , . , . , , - -. , , , , , , . . , . , - zaitech (). , , . , , , , . - , . , , . . . . , , , ( ) , . . , , , ( 1). , . 27

. 18 . , . 23 . , , , 27 . , , , , , . , , , , . , , . , , . , 4 5. , , , . , . , . . . , , . . , , , , , . , . , : Mike Barney (Seer Techologies) Robert Bench (Price Waterhouse) Andy Carron (First Boston Corporation) Fred Casey (Bear, Stearns & Company) Pat Catania (Chicago Board o f Trade) Judy Chan (Continental Bank) 28

Roy Cohen (Haas & McBryde International) Ray Cullen (Merril Lynch) M.E. Ellis (St. John's University) Bill Falloon (Corporate Rick Management Magazine) John Finnerty (Fordham University) Mike Finerty (Citibank) Michael Fitzgerald (Continental Bank) Debra Hardt (First Boston Corporation) Tony Herbst (University of Texas) Gene Johnson (University of Rhode Island) Ken Kapner (Hongkong and Shanghai Bank, Ltd.) Dilip Kare (University of North Florida) Rick Klotz (First Boston Corporation) Francis Lees (St. John's University) Gilbert Leistner (Chicago Board of Trade) Ken Leong (Bank o f Tokyo) Robert Mackay (Virginia Polytechnic Institute) John Manna (St. John's University) John McElravey (Federal Reserve Bank of Chicago) Jim MeVay (Chase Manhattan Bank) Jeffrey Mondschein (Continental Bank) Bill Montgoris (Bear, Stearns & Company) Ehsan Nikbakht (Hofstra University) Steve Orme (Price Waterhouse) Ed Paules (Continental Bank) Carol Parish (Chase Manhattan Bank) Christine Pavel (Citicorp) Mike Payte (Bear, Stearns & Company) Larry Quinn (Corporate Risk Management Magazine) Giovanna Righini (Mitsubishi Bank) Eb Scheuing (St. John's University) Bob Schwartz (Mitsubishi Capital Market Services) Bidyut Sen (Morgan Stanley & Company) Timothy Stanovich (Continental Bank) Randolph Sides (First Boston Corporation) Justin Simpson (Morgan Stanley & Company) Donald Smith (Boston University) Charles Smithson (Chase Manhattan Bank) Peter Trzyna (patent attorney) Alan Tucker (Temple University) Bob Willens (Lehman Brothers) Kevin Wynne (Pace University) Robert Yuyuenyongwatana (St. John's University) Brad Ziff (International Swap Dealers Association) 29

, , . , , . The Chicago Board of Trade, Continental Bank, The Business Research Institute, Corporate Risk Management Magazin Bear, Stearns and Company, - . , : Ford Motor Credit Company, Sinochem International Oil Company Limited, Mordan Stanley & Company, The First Boston Corporation, Lehman Brothers, The Chicago Board of Trade, The Chicago Mercantile Exchange, The Chase Manhattan Bank, Citicorp, The Bank of Tokyo, The Financial Management Association The Federal Reserve Bank of Chicago. , - . , , , , , , , . , , , . (American Association of Financial Engineers). , , , , . 3 ( , ). The Journal of Financial Engineering ( ) . , . . , . , 30

, , ( ). , , , . , . : St. John's University, Jamaica, New York, 11439.

L

1 , , , , (financial engineering). , , . , , , , , . . . , , , . . , , , . , . , , , , , . , . ( ) . 32

, . , . . , , . . , . . , , . , , . . , , . , , . , , , , , . , , .

, . , , . : , , . . . , 1

21461

33

, , , , , . . , , . , - . , , , . , , . , , , . , . , . . () () , . . , . , , , . , , , , . . , , , . 34

, , ( ; negotiable order of withdrawal (NOW) accounts), (Individual Retirement Accounts (IRA) (Keoghs), . , , , , , . , , , . , , , , , . , , . , , , , . . , , , . . , . , , , . , . . , , . , , , (mergers and acquisitions (&). 2* 35

, , . , . 80- . , . . . , , , , , . . , , , , , . . . , , , , , , . , . , , , . , . , . . , , , , , REPO. , , . , . . 56

. , 80- . , . , , . . , , . , . , , , , . - : 1) ; 2) ; 3) , . . . , , , , , , . ., , . , , . . , . , - , , . , . , , , . : , () ( ) . , , . , . , . , , 37

. , . . ( ). , , , . , . , , , . . , , , . . , , , . . , . . , . (quant jocks ) . ( ^opportunity* ). , , , - . - (rocket scientists). ( ) .

, ( ). 38

: . , . , . , . , , , , , . , - . , , , , . , , , . , , , .

, , , , . , , (analyst). . ( ) , . , , - . , 39

. , , , - . , , . . , , . , , . , - , . , , . -. , - . , . . , . . . , , . , , , . . . : , . . . , -, , -, . , . , , , 40

, , , . . . . , , . . , . . , , . (structured solution). , . , - ( ). , . , .

, , , , , . . , , . , . , - , . , . , , . , . . -, , ,

41

. , - . , . , . . -, , - , - ( ). , . , . , , , . , . , , . , , , , , . , ( ). , , , , - .

. . , , , 42

, , , , , , , . . . , . , , , , . . , . .

, , . , , . , , . , , , , . , , , . , , . , , , , . , , . . , , , , . , -

. , , . , , . , . , , . . () , , . , , , (productizing) . , , , . 80- . . : , , , , . .

. 3. , . , . , , . , . . , 44

, , . , . , , . , , . , , , , . . , , ( ). , , , .

, ( ) . , , , . , , , . , . , , , . , . . , , , ( ) , . . 45

, , . , . . , . , . , , , . , . . , . I , . I I , 410, . , . , , . , , . . 10 . Chase Manhattan Bank Continental Bank. . I I I 11-19 . , , . , , , . , , , , , . 19, , Morgan Stanley. 46

I I I , ( ) , ( , , ). IV, 2025, . , , , , , . . V 26 27. , . , , . , . ( ) , . , , , , , , .

. , . . 15 . , , , . . , 47

. , . , . , . , , . . . , . , , , . '. Finnerty (1988). Black, F. and . Scholes. From Theory to a New Financial Product, Journal of Finance, pp. 399-412, May 1974. Brown, R.C. and D.J. Smith. Recent Innovations in Interest Rate Risk Manage ment and the Reintermediation of Commercial Banking, Financial Manage ment, pp. 14-33, Winter 1988. Finnerty, J.D. Financial Engineering in Corporate Finance: An Overview, Finan cial Management, pp. 14-33, Winter 1988. Miller, M.H. Financial Innovation: The Last Twenty Years and The Next, Journal of Financial and Quantitative Analysis, pp. 459-471, December 1986. Power, W. Many of 1987's New Trading Products are Failing Despite Spirited Marketing, Wall Street Journal, p. 26, January 4, 1988. Shirreff, D. Down with Innovation, Euromoney, p. 23ff., August 1986. Silber, W.L. The Process of Financial Innovation, American Economic Review, pp. 89-95, May 1983. Van Home, J.C. Of Financial Innovation and Excesses, Journal of Finance, pp. 621-631, July 1985.

2 . . . , , . (environmental factors) , , , , , . , , . (intrafirm factors). , , , , , , , . , , , . , , 49

. , . , .

, , , . , , , , , , . . . .

. , , , -, . , (), . , . , , , , , , , . . , , , , , . , , , . , . , , , , , . . , , , , 50

, , . . , , . . , . . (price volatility) : , . . . 2.1, . , . ( ) ( ). , . 2.1, , , . , , . 2.1, , , . , , .

. 2.1.

51

, , . , . 2.1, . 2.1, . , , , , . . , , . , , . , . , . , . , , 70- . 70- . . . 2.2, ; . 2.2, . 2.2, . - . : 1) , 70- .; 2) ; 3) ; 4) 5) , . 60- ., 70- . . , , . - 52

2.2, . .

2.2, . .

53

2.2, . . ( .)

. . . , , . 70- 80- . (cartelizing) . . , , , . , , . , . , . , . , 54

, . : , . , . , . . . , , . . . - , - - - , , . , , 70- 80- ., . . - (, ) , 50- 60- . , , .

, . , , . 60- . , . , . 55

, . 60- . ( ) . , , . , . , , . , , . . - . , , , . . . , . , , . . . 56

. . , , . , . 70- . , , . . . . , , . , . . , . . , (leverage) . . , ( ) . , . , , . . , 80- . 57

. . , 80- ., , . ( , 26.)

. . -, , . -, . , , . -, , . , . . . , , , - -. , , , -, , , , -. 80% . , , 40%, 10%. 10 . . 8%- . , 58

8% . 800 . 10 . . , . 10% 8%. , . 6%, , 40%. 7,36%, 80% , 40%. : = 8% - (8% 20% 40%) = 7,36%. . , 12% . (, , .) 10% , 8%? . , , 10 . 0,088 . . 0,08 . , . , 0,008 . , . 0,0136 . . , , () . , . () . , , ? , ? 59

, , , . , . , , . . . , , . , - , . , . . , , . . 80- . , . , , , - . , . , .

, . , , , . . , , 60

, . - , . , . , . , - ( - ) : - . . . , . 1982 . . Value Line Composite. Standard & Poor's 500 (Chicago Mercantile Exchange), New York Composite (New York Futures Exchange), Major Market (Chicago Board of Trade). , , . , . , ( , ), , - (Designated Order Turnaround ( D O T ) System). , , . . . 1

61

, 1985 - 1986 . . , , - , , . , . , . , . -, , . -, , . , , , , , , . . , , . , , . . , , - , . . , , . . . , , 2

62

. . , . . , . . , . , .

, . , , , . , . , , . , , , . . , . , , . 63

- . : , , , , , . , . , , ( ). . -, , . -, , . . , , . , . , , . . , , () , . 1896 . ( .) , 1934 . . . 1938 . , , . 1952 ., , . , 60- . 64

, , . , , , . 70- . 1973 . ( ) - . ( , 80- . , .) , 70- ., . ( ) . . , , . , , NBER, Rand, Rand Brown , . , , , , . . , . . . 80- . , . . (, .) . , , . 31461 65

( ) . . , . . 1933 . . , 30- . , , - , , . , , . -, , , ( ) ( ), . , , . , , , , . , , , , . , . , . , , , , . 3

66

, 1927 . , , . , , , , , , , , . 80- . . , . , , , . , . , , , , . , , . . , , , - . , 80- . . , , , . , , , . , , . , - - * 67

, . , , 80- ., - . . , , . . , . , . , , . , , . 80- . , , , , . . . , , . , .

. , , , , , 70- . 80- . 68

, . - , , . , , , 10 . 100- 1 . 70- . 2 90-. , , 0,25 ., - . 70- . , . 90- . , , . , . , , , . , , , , .

, , , , , . . , , , , . 69

. , - , . , , . , , . , - (bid-asd spread ). - , . , . , 20 . , . , , -, , , - . , , , . , , , . , , . , , , , , . 70

, , , , .

, . , . , , . . , , , . , , , . . , , , , , . , , . , . . , 20 . , , , , 71

, , , , , , . , , , , . , . , , . . , , , 80- ., , , . , , . . , . - . . . , , , .4

, 1976 . , , . (agency costs) , , 5

72

. , , . , , . , , , . (. . ) - . , , . (&) ( ), 80- ., - , . , , . 80 . , 50 .? , , . , , ? . , , . ? . , , , , , . , 80 ., . , , , . , 73

. , . 80- . , , . . , , . , .

, . , , . , . . , , . . , , ( , , ) , . , , . .6

, . , , , , , , - , , . 74

, . , , . , , , .

. , . / . , , . , - ( ) , .7

, 20 . , , , . . , , , , . , , , . . . 1988 .

75

2 .

, : I ; 2 ; 3 ; 4 ; 5 ; 6 , ; 7 ; 8 ; 9 ; 10 ; 11 .

76

. 2.

78 2.12?.

2.1.

79

80 .

2.1

.

2.1

81

82 .

2.1

.

2.1

83

84 .

2.1

2. ID.

,

85

86 .

2. ID

- , , . , , , , . . , , 70- . , 1972 . . . , 1972 . 10% ( ). 30% . , , , . , , . , , .

, , , , , , , , , , , , , , . , , , , , , . 87

, , , , . , , . , , , . , , . '. : The Swaps Handbook: Swaps and Related Risk Management Instruments, Kapner and Marshall (1990). ., , Grossman (1988), Hill and Jones (1988), Edwards (1988), Merrick (1987) Fremault (1989). . , . Block and Gallagher (1986) Booth, Smith, and Stolz (1984).5 4 3 2

C M . Jensen and Meckling (1976). ., , Lee (1986).

6

., , McCullum (1987) Hand and Hughes (1990). ^ Finnerti (1988) .

7

Black, F. and . Scholes. The Pricing of Options and Corporate Liabilities*, Journal of Political Economy, 81, pp. 637659, 1973. Block, S.B. and T.J. Gallagher. The Use of Interest Rate Futures and Options by Corporate Financial Managers*, Financial Management, Autumn 1986. Booth, J.R., R.L. Smith, and R.W. Stolz. The Use of Interest Rate Futures by Financial Institutions*, Journal of Bank Research, Spring 1984. Ederington, L. The Hedging Performance of the New Futures Markets*, Journal of Finance, pp. 157-170, 1979. Edwards, F.R. Studies of the 1987 Stock Market Crash: Review and Appraisal*, Columbia Center for the Study of Futures Markets: WP 168, 1988. Finnerty, J.D. Financial Engineering in Corporate Finance: An Overview*, Finan cial Management, Winter 1988. 88

Fisher, I. Appreciation and interest, American Economic Association Third Series, August 1896. Fremault, A. Stock Index Futures and Index Arbitrage in a Rational Expectations Model*, Columbia Center for the Study of Futures Markets: WP 195, 1989. Graham, B. and D. Dodd. Securities Analysis, New York: McGraw-Hill Book Company, Inc., 1934. Grossman, S.J. An Analysis of the Implications for Stock and Futures Price Vola tility of Program Trading and Dynamic Hedging Strategies*, Journal of Busi ness, 61, pp. 275-298, 1988. Hand, J.R.M. and P. Hughes. The Motives and Consequences of Debt/Equity Swaps and Defeasance: More Evidence that it Does Not Pay to Manipulate Earnings*, Journal of Applied Corporate Finance, 3(3), pp. 7781, 1990. Hill, J.M. and F.J. Jones Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That, Financial Analysts Journal, JulyAugust, pp. 29-38, 1988. Jensen, M.C. and W.H. Meckling. Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure*, Journal of Financial Economics, 3(4), pp. 505 360, 1976. Johnson, L.L. The Theory of Hedging and Speculation in Commodity Futures*, Review of Economic Studies, 27(3), pp. 139-151, 1960. Kapner, K.R. and J.F Marshall, The Swaps Handbook: Swaps and Related Risk Management instruments, New York: New York Institute of Finance, 1990. Lee, S. What's with the Casino Schools?*, Forbes, 138(6), September 22, pp. 150-158, 1986. Lintner, J. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets*, Review of Economics and Statistics, 1965. Macaulay, F.R. Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856, New York: National Bureau of Economic Research, 1938. Markowitz, H. Portfolio Selection*, Journal of Finance, pp. 77-91, March 1952. McCullum, J.S. Our Las Vegas Style Financial Markets: Madness or Marvelous*, Business Quarterly, 52(1), pp. 20-23, Summer 1987. Merrick, J.J. Volume Determination in Stock and Stock Index Futures Markets: An Analysis of Arbitrage and Volatility Effects*, Journal of Futures Markets, 7, pp. 483-496, 1987. Mossin, J. Equilibrium in a Capital Asset Market, Economertica, pp. 768783, 1966. Sharpe, W.F. Capital Asset Prices: A Theory of Market Equilibrium Under Con ditions of Risk*, Journal of Finance, pp. 425-442, 1964. Stein, J. The Simultaneous Determination of Spot and Futures Prices*, American Economic Review, 51(5), pp. 223-235, 1961.

3 , , , . , , , . , , . , , , . , , , , . , , . , , I I , , , I I I .

. , , . , 90

, , , , , , , , , , , . , . , , , , . , , . , . , , , , . , , . . , , . , .1

, . , , . , , , . , , 91

- . , , . , , . , , . ( ) . .2

, , , , . , , , , . , - , . , . .3

. , , , . , . . , . , . 92

, . , . . , . (spreadsheet). , . (sensitivity analysis). , (what if).

. , . , - . , , . , , , , . , , ( ). , , . , , , () . , . ( ), 93

, . , , (synthetic security). . .

, , , , , , . , . , , , . . , , . . () . , MIPS (millions of instructions per second ( ). , MIPS . , , . ( ) . , , . , , 94

, . , . , , , , , , . , . (mainframe). , (jb control language). . . , . , , -Pack: An Analytical Package for Business*. , , . , . . . , , , -Pack . , , , .5

, , , , . 95

, , - , , , , . , - . , . , , . , , , , - . , , .

1990-1991 . - , , . , (American Association of Financial Engineers (AAFE), 1991 . . , , . AAFE , , , . A A F E , : 1) ; 2) ; 3) ; 4) ; 5) . , . 96

, A A F E , : John F.Marshall, Ph.D. Executive Director American Association of Financial Engineers Graduate School of Business St. John's University Jamaica, N Y 11439

. , , , . , , . . , . , . . . , , . ' Kolb (1991) Marshall (1989). Ritchken (1987) Jarrow and Rudd (1983). Ritchken (1987). , Mood, Graybill and Boes (1973). -Pack: An Analytical Package for Business : (Kolb Publishing, Miami, Florida) (MicroApplications, 516-821-9355, FAX: 516-744-1225). 414614 ? 2

97

, . : , , , . , . , . , -Pack 40 ., 200 . Jarrow, R.A. and A. Rudd. Option Pricing, Homewood, IL: Irwin, 1983. Kolb, R.W. Options: An Introduction, Miami, FL: Kolb Publishing, 1991. Marshall, J.F. Futures and Option Contracting, Cincinnati, OH: South-Western, 1989. Mood, A.M., FA. Graybill, and D.C. Boes. Introduction to the Theory of Statistics, New York: McGraw-Hill, 1973. Ritchken, P. Options: Theory, Strategy, andApplications,Glenview, IL: Scott Foresman, 1987.5

II

4 , . , . , , . , . , , , . . , . , , . , . , () , . , , , . , .

4*

99

. ( , ; cash flow) , . . , . . . . , . . ( , , . , , .) ( ), ( ) . ( ) . , , (cash flow stream) (payment stream). . . , , . , , . . , /?, . . 4.1. . 4.1. ( .) 1 2 3 4 100 500 600 700 800 2600 1 2 3 4 900 600 500 400 2400

, . ( , , , ), ( ). , .

, , . , , , , . , . () (present value). () , . , , . , ( ) , , , , . , , , . , . , ( ) . , /, CF , , /, 4.1 4.1b.t

(4.1 )

101

(4.16) . , , . . 10%. :

:

, . . 4.2.

4.2. , 10% ( .) 1 2 3 4 500 600 700 800 2600 454,55 495,87 525,92 546,41 2022,75 1 2 3 4 900 600 500 400 2400 818,18 495,87 375,66 273,21 1962,92

. ( ), , , . . 102

( 4.2 ) .

(4.2)

4.2 , . . 4.2, 2022,75 ., 1962,92 . . , 2022,75 ., . , 1962,92 ., . . , , ( 0). , 0 1200 . 1200 . 1200 . , , 0, , , , , , , , . , ( ) ( ) . , , () (net present value). , NPV, . , NPV 822,75 ., NPV 762,92 . , . , , , ( ) ( ) (present value arithmetic). . , , , , - 103

, . (future value) (terminal value). ( FV) ( PV, 0 ) 4.3. (4.3) 4.3 , t , . 4.3 , 4.1. , 4 4.3 4.16 PV CF, , . , . . . , . , . (yield). , ( ) (valuation arithmetic).

. , , NPV . , , NPV , 10, 25%. . 4.3. 104

4.3. 10 25% ( .) 06beiv 10% 25% 500 600 700 800 2600 NPV 454,55 495,87 525,92 546,41 2022,75 822,75 400,00 384,00 358,40 327,68 1470,08 270,08 10% 25% 818,18 495,87 375,66 273,21 1962,92 762,92 720,00 384,00 256,00 163,84 1523,84 323,84

1 2 3 4

1 2 3 4

900 600 500 400 2400 NPV

1200 . , , NPV, , 25%- NPV, 270,08 ., 323,84 . , 10%- , 25%- . NPV , . . . , 10 25%. ( ) , ( ) . . . 4.1 0 40%. . , , . , , . , , NPV , 105

. 4.1. NPV

. NPV, , , , .

, , , . , , , , . , . . , , , . 106

. 1 . . , ( 1 % , 2%, 3% 1, 2, 3 . . . ) . , , , , . ( ) , , . ( ) . . \ ^ , . . , , 1 . . , . . . , , . 4.2. , 1000 . 8% 9% 10 . , , 1000 . 8 9%. , . , , 8,5%. 8,5% , 8 9%. , , 8 9%. , . 107

. 4.2.

, , . , . , , , . . . (present value annuity (PVA) : -, ( , ); -, 108

; -, ; -, . , : (4.4) CF . , 4.4 , 4.2, . , , 4.2 40, . . n = 40. 4.2 40 . 4.4 . (future value annuity (FVA). , . , . . , : (4.5) , , g. , , . , :

(4.6)

109

4.6 . , CF 4.6, , g . g = 0, , , . 4.6 4.7.t

(4.7) , . , .

() . , Lotus 1-2-3 (Lotus Development Corporation) Excel (Microsoft), . . . , , . , , , . 4.1, .

, , . , , , . ( ) , , . 110

, . , , . , . () , . . , ( ). . , 10% ( ) . , (effective annual rate), (simple rate of interest), 10%. ( ). , 5% . ? , , , , . , 10%. , . , ER, , NR, , , : (4.8) , . . 4.3. , . ( ) . . 4.8, 111

. 4.3.

. : (4.9) 4.9 exp , , . . e NR. , . . \ , 10% (0,1) \ 1,1051709. 1 ( 4.9) 10,517%. , . 4.3. , , . ,

(semiannual rate), sa. . . , . , . , , . ( .) , , 8,5%, , 8,5% . , , , . , , .

. , , , . , ( ) . , . , . . , () ( (premium bond). , , 108% . , - , , . , ( ), . , , , . 115

, , , , . , . , . . . - , , . -, . .

. , , . . , . (instrument's present value). . , . , . . , . , , (interest rate), 114

(yield). . , . . . , . , . , . . .

Brown, S.J. and Kritzman, . P. Quantitative Methods for Financial Analysis, Homewood, IL: Dow Jones-Irwin, FA, 1987. Kolb, B.A. and R.F. DeMong. Principles of Financial Management, 2nd ed., Piano, TX: Business Publications, Inc., 1988. Rao, R.K.S. Financial Management: Concepts and Applications, New York: Macmil lan, 1987. Van Home, J.C. Financial Management and Policy, 8th ed., Englewood Cliffs, N.J.: Prentice Hall, 1989. Weston, J.F. and .. Copeland. Managerial Finance, 8th ed., Chicago, Dryden, 1986.

5 , . . . , , , . . , , , . , , . , , (utility). , . . , , . , , , , , , , , . , , , 116

. . , , . , , .

, , , , . , , . , . , , , , . , , , , (utility function). , . , (well behaved), , , (rational). , : 1) (insatiability); 2) (diminishing marginal utility) 3) (diminishing marginal substitutability). , . . , , , . . : , , . , . . , , , 117

. , . , *| - - | . , , , . , , , . . : , , . . , , , , . (return), . . (profit) (rate). , , . : , , . , , . , , . . , , . , - . , , , , . , 118

. . , , U = In (Wealth), U , a In . , 100 . 4,605 . . 100 ., . , , 100 ., , , 100 . . , 100 ., , 100 . : , , , , ? , , . , , , . , , , . , , . , . , . . (risk aversion). , . , . . 119

, , . , , , , , . , , , . , , , , , , . , ( ), . , , , . , . . , , . . , , . , . , . .

. , , , . , , , . , . ( , .) 120

, . (profit). ( ), , , . , (rate o f return). , , . , , , , . , , 500 ., , ? 500 . 1000 . , 1 . . . 500 ., , , 500 ., 10 . . , , . . , , , , , , , . , . , . ? , , , , . , , . , ? , (Financial Accounting Standarts Board (FASB). , . 121

( , ) . . , ( ) . , , , . . ( ) . (rate of return) . . , , , , (holding period yield). ( , .) , , . ( , , , . ) , , , , , , , , . , . , , 2000 . 0 500 . 6 3 . , . . 5.1.

5.1. ( ) 0 0,5 1,0 1,5 2,0 2,5 3,0 0 1 2 3 4 5 6 ( .) (2000) 500 500 500 500 500 500

, (net present value ( N P V ) ( , , , , ).

(5.1)

, . , NPV. NPV . 5.1. NPV . NPV . , , NPV . , 12,978%. . (internal rate o f return), 1RR, , NPV . , , 12,978%. , . , , 6 , . , 12,978% 6- 1RR. 6- , . , 5.2, . 5.2 ER , a m . 125

. 5.1. NPV IRR

(5.2) , 27,64%. , 6- IRR . 25,96%. : (yield) (yield to maturity). , , . . , , IRR, NPV . ,

124

. IRR . IRR . IRR , , . , , , IRR. , , , , , . , , . , . IRR - , , , , , . IRR , . : , ? . . , , , . , , , . . . , . . , , . (realized compound yield). , , (modified internal rate of return); . 125

, . (callable bonds). , (call price), , , . , . (yield-tocall). , , , , : . (promised yield).

, , . . , , . . , . 12%. 10,5%. , . , . , , . . , , , ( ) , , . , , , ( ). . , 5.3, ( r ) b

( r ). ( .) 5.3 mt , .a

(5.3) . 30%- ( , ) , 10%-. , 5.3. . 5.2. 5.2. ( %) 12,00 10,50 1 2 (mt = 30%) (mt = 10%) 8,40 10,50 10,80 10,50

, , . . 1- , , , 2- . ( . .) , (profit and loss statements ( P & L ) . IRR. , , , , . IRR . , , 1000 . , 3- 4 . 127

, 333,33 . 500 . (earnings before depreciation and taxes ( E B D T ) , 25%. . 5.3.1

5.3. ( ) 1 EBDT = EBT = EAT = 500,00 333,33 166,67 41,67 125,00 333,33 458,33 2 500,00 333,33 166,67 41,67 125,00 333,33 458,33 3 500,00 333,33 166,67 41,67 125,00 333,33 458,33 4 500,00 0,00 500,00 125,00 375,00 0,00 375,00

1750,00

. 5.3 , . , , . 5.1. , , IRR . , IRR, , 27,764%. , . 45% , 35% 20% . . 5.4. 5.4. ( ) 1 EBDT = = EAT = 500,00 450,00 50,00 12,50 37,50 450,00 487,50 2 500,00 350,00 150,00 37,50 112,50 350,00 462,50 3 500,00 200,00 300,00 75,00 225,00 200,00 425,00 4 500,00 0,00 500,00 125,00 375,00 0,00 375,00

1750,00

, . 5.4, . 5.3, , 4- 128

. . IRR . 5.4, , 28,335%. , 27,764%, . . -, . , , . 70- 80- . , . , , , . , (, ). , , , . . , . 7 . . , . , - , , . , , . . , , . , 17Q

, . , , . , , 80- . . (, , , .) , , ( , , ) . , , . 1986 . (Tax Equalization and Fiscal Responsibility Act (TEFRA) , , . , 1 , , - . , . . . , , , , , (non-cash) . , , .