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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