the market yield curve and fitting the term structure of interest rates

the market yield curve and fitting the term structure of interest rates

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时间:2018-02-10

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1、CHAPTERFORTY-ONETHEMARKETYIELDCURVEANDFITTINGTHETERMSTRUCTUREOFINTERESTRATESMOORADCHOUDHRYHeadofTreasuryKBCFinancialProductsInthischapterwediscussfittingthetermstructureofinterestrates.Thetermstructureiscommonlyknownastheyieldcurve,buttheformerexpressionrefersonlytoacurveofsp

2、otorzero-couponinterestrates.Foranunderstand-ingofthemethodologyusedinfittingthetermstructure,itisnecessarytoreviewcertainbasicconcepts.Thusweconsiderfirstspotandforwardinterestratesandtheconceptoftheyieldcurveitself.Wediscusskeyissuesonyield-curveanalysisbeforelookingatmethod

3、sbywhichwecanconstructthetermstructureofinterestratesfrommarketpricesandyields.Thisisknownasfittingthetermstructure.BASICCONCEPTSTherearetwotypesoffixedincomesecurities,zero-couponbonds,alsoknownasdiscountbondsorstrips,andcouponbonds.Azero-couponbondmakesasinglepaymentonitsmat

4、uritydate,whereasacouponbondmakesregularinterestpaymentsatregulardatesuptoandincludingitsmaturitydate.Acouponbondmayberegardedasasetofstrips,witheachcouponpaymentandtheredemptionpaymentonmaturitybeingequivalenttoazero-couponbondmaturingonthatdate.Thisisnotapurelyacademicconc

5、ept;witnesseventsbeforetheadventoftheformalmarketinU.S.Treasurystrips,whenanumberofinvestmentbankshadtradedthecashflowsofTreasurysecuritiesasseparatezero-couponsecurities.Theliteraturewereviewinthissectionissetinamar-ketofdefault-freebonds,whethertheyarezero-couponbondsorcoup

6、onbonds.Themarketisassumedtobeliquidsothatbondsmaybefreelyboughtandsold.939Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.940PART5ValuationandAnalysisPricesofbondsaredeterminedbytheeconomy-widesupplyanddemandforthebondsatanyt

7、ime,sotheyaremacroeconomicandnotsetbyindividualbondissuersortraders.Zero-CouponBondsAzero-couponbondisthesimplestfixedincomesecurity.Itisanissueofdebt,theissuerpromisingtopaythefacevalueofthedebttothebondholderonthedatethebondmatures.Therearenocouponpaymentsduringthelifeofthe

8、bond,soitisadiscountinstrument,issuedatapricethatisbelowthefaceorprincipala

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