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, . .-.

E-mail: okulov@gsom.pu.ru
1

- 1
2.




: , , . 2, 3



: , , , , ,
: , ,
???
( ,
)

=


: CYNC Technology,


, ..
(, ):
?
?
( ) =

-


:
= ,
, T
() present value, PV
PV

1
=
= 1 1
0
1
T
1+
DF:
. 1 ,
R:
, ,
,
, ,


() present value, PV
T

PV

=
1+
:
R:

. T ,
( % !) T

,
()
(?)


T future value, FV

= 1 +
R:

FVT

PV
0

( % !)

1626. Peter Minuit, (60 . ) $24


387 :
2%
$50 .
7%
$5 .



(net present value, NPV)

1

1
= 0 = 0 +
1+

1 0
=
0



NPV:
> 0
:
>

> 0 , >

= 0 ???
= ???

1
0 1 +

= 0 +
= 0 +
= 0
1+
1+
1+
> 0 ( ) > 0


NPV ( NPV)
1. S0* S1* .
.
: S0 S1 ().
R.
= 0: 0 = 0 + 0
= 1: 1 + 0 (1 + ) = 1

0 /

0 , : 0 = 0 + 1 (1 + ) 1 (1 + )


NPV ( NPV)
2. 0 1 > 0

0() ;

1() = 1

= 0: 0 = 0() + 0 + 0
= 1: 1 + 0 (1 + ) + 1 = 1
0() = 0 + 1 (1 + ) 1 1 + + +

0() = 0 +

() > ,

>



PV

2
2

3
3


1
2
3
=
+
+
+
2
3
1 + 1
1 + 2
1 + 3

= 1 1 + 2 2 + 3 3 +
NB. ( % )
( % ) ( )
1
2
3
=
+
+
+
2
3
1+
1+
1+



= 1 1 + 2 2 + 3 3 +
(
):
, 2 > 1 ? 3 > 1 ?

: 1 = 0,893 (1 = 12% . ); 2 = 0,907 (2 = 5% .)


!
( $1000 2 1 $17,5)



(, )
.
:

=
+
+
+
2
3
1+
1+
1+
:
1 + = ; 1 1 + = .
: = 1 + + 2 +
(1)
, : = + 2 +
(2)
(2) (1) : 1 = .
:
1

1
=
1+
1+

1 + : = .


(, )
.
T.
():

=
+
+

+
1+
1 + (1 + )2

():

= +
+
+ +
1+
1 + (1 + )2

1
1
1+

(1 + )
1
=
1
1+


:
1
2
3

=
+
+
+=
1+
1+ 2
1+ 3

:
1
2
3
= +
+
+
1+
1+ 2
1+

+=+
3

: +1 = (1 + )
= 0:
=1
=

=1 () : =1 = (1 + ) =0
=0 ()


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


( )


()


:

2 3


( )

P=

C3
Cn + N
C1
C2
+
+
+
+

1 + R1 (1 + R2 ) 2 (1 + R3 ) 3
(1 + Rn ) n

R1, R2, .. 1, 2 ..
R1, R2, ..
( -, , zero rate curve).
( ) Y

C3
Cn + N
C1
C2
P =
+
+
++
2
3
1 + Y (1 + Y )
(1 + Y )
(1 + Y ) n
Y


P=

C3
Cn + N
C1
C2
+
+
+

+
1 + Y (1 + Y ) 2 (1 + Y ) 3
(1 + Y ) n

Y (,
), % . ,

Y Y
(% ) . :
.. = .. +

-

-


Y 10-

, ?


(2014.)
4

, %

3
2
1
0
0

10
15
20
,

25

30

?
( ; )

: 1 + = (1 + ) (1 + )


(1900-2008)



S&P:
AAA; AA; A; BBB; BB; B; CCC; CC; C; D
: + ,
: BBB-
: BB+


():

(T1 1- , ..):
P=

C T1
(1 + Y )T1 / 365

C T2
(1 + Y )T2 / 365

++

C Tn + N
(1 + Y )Tn / 365

P , Y

= + ,
Ti-1 < t < Ti
=

i
( t Ti1 )
Ti Ti1


: ,
: 1000, 2 ,
10%
t=0
(.)
12
24

=0

100
1100


Y=0,08
Y=0,10
Y=0,12
92,59
90,91
89,29
943,07
909,09
876,91
1035,67
1000,00
966,20

1 : =8,33
(.)

11
100
23
1100


Y=0,08
Y=0,10
Y=0,12
93,19
91,63
90,13
949,14
916,34
885,23
1042,33
1007,97
975,37
1034,00
999,64
967,03


( )

P
C1

C2

N+Cn
t

T1

T2

: = ,
:
R < Y

P < N;

R > Y

P > N;

R = Y

P = N


( )

1

=
1+

=1

.


( )
= 1 +

,
. , ( %)
1 .

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