博迪投资学第九版课件.ppt

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1、CHAPTER15TheTermStructureofInterestRatesTheyieldcurveisagraphthatdisplaystherelationshipbetweenyieldandmaturity.Informationonexpectedfutureshorttermratescanbeimpliedfromtheyieldcurve.OverviewofTermStructure2Figure15.1TreasuryYieldCurves3BondPricingYieldsondifferentmaturitybondsarenotal

2、lequal.Weneedtoconsidereachbondcashflowasastand-alonezero-couponbond.Bondstrippingandbondreconstitutionofferopportunitiesforarbitrage.Thevalueofthebondshouldbethesumofthevaluesofitsparts.4Table15.1PricesandYieldstoMaturitiesonZero-CouponBonds($1,000FaceValue)5Example15.1ValuingCouponBo

3、ndsValuea3year,10%couponbondusingdiscountratesfromTable15.1:Price=$1082.17andYTM=6.88%6.88%islessthanthe3-yearrateof7%.6TwoTypesofYieldCurvesPureYieldCurveThepureyieldcurveusesstrippedorzerocouponTreasuries.Thepureyieldcurvemaydiffersignificantlyfromtheon-the-runyieldcurve.On-the-runYi

4、eldCurveTheon-the-runyieldcurveusesrecentlyissuedcouponbondssellingatornearpar.Thefinancialpresstypicallypublisheson-the-runyieldcurves.7YieldCurveUnderCertaintySupposeyouwanttoinvestfor2years.Buyandholda2-yearzero-or-Rolloveraseriesof1-yearbondsEquilibriumrequiresthatbothstrategiespro

5、videthesamereturn.8Figure15.2Two2-YearInvestmentPrograms9YieldCurveUnderCertaintyBuyandholdvs.rollover:Nextyear’s1-yearrate(r2)isjustenoughtomakerollingoveraseriesof1-yearbondsequaltoinvestinginthe2-yearbond.10SpotRatesvs.ShortRatesSpotrate–theratethatprevailstodayforagivenmaturityShor

6、trate–therateforagivenmaturity(e.g.oneyear)atdifferentpointsintime.Aspotrateisthegeometricaverageofitscomponentshortrates.11ShortRatesandYieldCurveSlopeWhennextyear’sshortrate,r2,isgreaterthanthisyear’sshortrate,r1,theyieldcurveslopesup.Mayindicateratesareexpectedtorise.Whennextyear’s

7、shortrate,r2,islessthanthisyear’sshortrate,r1,theyieldcurveslopesdown.Mayindicateratesareexpectedtofall.12Figure15.3ShortRatesversusSpotRates13fn=one-yearforwardrateforperiodnyn=yieldforasecuritywithamaturityofnForwardRatesfromObservedRates14Example15.4ForwardRatesTheforwardinterestr