投资学,9e,精要版,48772,48760,英文PPT Chap010.ppt 29页

CHAPTER10TheTermStructureofInterestRates 15-2Theyieldcurveisagraphthatdisplaystherelationshipbetweenyieldandmaturity.Informationonexpectedfutureshorttermratescanbeimpliedfromtheyieldcurve.OverviewofTermStructure 15-3Figure10.1TreasuryYieldCurves 15-4BondPricingYieldsondifferentmaturitybondsarenotallequal.Weneedtoconsidereachbondcashflowasastand-alonezero-couponbond.Bondstrippingandbondreconstitutionofferopportunitiesforarbitrage.Thevalueofthebondshouldbethesumofthevaluesofitsparts. 15-5Table10.1PricesandYieldstoMaturitiesonZero-CouponBonds($1,000FaceValue) 15-6Example10.1ValuingCouponBondsValuea3year,10%couponbondusingdiscountratesfromTable15.1:Price=$1082.17andYTM=6.88%6.88%islessthanthe3-yearrateof7%. 15-7TwoTypesofYieldCurvesPureYieldCurveThepureyieldcurveusesstrippedorzerocouponTreasuries.Thepureyieldcurvemaydiffersignificantlyfromtheon-the-runyieldcurve.On-the-runYieldCurveTheon-the-runyieldcurveusesrecentlyissuedcouponbondssellingatornearpar.Thefinancialpresstypicallypublisheson-the-runyieldcurves. 15-8YieldCurveUnderCertaintySupposeyouwanttoinvestfor2years.Buyandholda2-yearzero-or-Rolloveraseriesof1-yearbondsEquilibriumrequiresthatbothstrategiesprovidethesamereturn. 15-9Figure10.2Two2-YearInvestmentPrograms 15-10YieldCurveUnderCertaintyBuyandholdvs.rollover:Nextyear’s1-yearrate(r2)isjustenoughtomakerollingoveraseriesof1-yearbondsequaltoinvestinginthe2-yearbond. 15-11SpotRatesvs.ShortRatesSpotrate–theratethatprevailstodayforagivenmaturityShortrate–therateforagivenmaturity(e.g.oneyear)atdifferentpointsintime.Aspotrateisthegeometricaverageofitscomponentshortrates. 15-12ShortRatesandYieldCurveSlopeWhennextyear’sshortrate,r2,isgreaterthanthisyear’sshortrate,r1,theyieldcurveslopesup.Mayindicateratesareexpectedtorise.Whennextyear’sshortrate,r2,islessthanthisyear’sshortrate,r1,theyieldcurveslopesdown.Mayindicateratesareexpectedtofall. 15-13Figure10.3ShortRatesversusSpotRates 15-14fn=one-yearforwardrateforperiodnyn=yieldforasecuritywithamaturityofnForwardRatesfromObservedRates 15-15Example10.4ForwardRatesTheforwardinterestrateisaforecastofafutureshortrate.Ratefor4-yearmaturity=8%,ratefor3-yearmaturity=7%. 15-16InterestRateUncertaintySupposethattoday’srateis5%andtheexpectedshortrateforthefollowingyearisE(r2)=6%.Thevalueofa2-yearzerois:Thevalueofa1-yearzerois: 15-17InterestRateUncertaintyTheinvestorwantstoinvestfor1year.Buythe2-yearbondtodayandplantosellitattheendofthefirstyearfor$1000/1.06=$943.40.0r-Buythe1-yearbondtodayandholdtomaturity. 15-18InterestRateUncertaintyWhatifnextyear’sinterestrateismore(orless)than6%?Theactualreturnonthe2-yearbondisuncertain! 15-19InterestRateUncertaintyInvestorsrequireariskpremiumtoholdalonger-termbond.Thisliquiditypremiumcompensatesshort-terminvestorsfortheuncertaintyaboutfutureprices. 15-20ExpectationsLiquidityPreferenceUpwardbiasoverexpectationsTheoriesofTermStructure 15-21ExpectationsTheoryObservedlong-termrateisafunctionoftoday’sshort-termrateandexpectedfutureshort-termrates.fn=E(rn)andliquiditypremiumsarezero. 15-22Long-termbondsaremorerisky;therefore,fngenerallyexceedsE(rn)TheexcessoffnoverE(rn)istheliquiditypremium.Theyieldcurvehasanupwardbiasbuiltintothelong-termratesbecauseoftheliquiditypremium.LiquidityPremiumTheory 15-23Figure10.4YieldCurves 15-24Figure10.4YieldCurves 15-25InterpretingtheTermStructureTheyieldcurvereflectsexpectationsoffutureinterestrates.Theforecastsoffutureratesarecloudedbyotherfactors,suchasliquiditypremiums.Anupwardslopingcurvecouldindicate:RatesareexpectedtoriseAnd/orInvestorsrequirelargeliquiditypremiumstoholdlongtermbonds. 15-26InterpretingtheTermStructureTheyieldcurveisagoodpredictorofthebusinesscycle.Longtermratestendtoriseinanticipationofeconomicexpansion.Invertedyieldcurvemayindicatethatinterestratesareexpectedtofallandsignalarecession. 15-27Figure10.6TermSpread:Yieldson10-yearvs.90-dayTreasurySecurities 15-28ForwardRatesasForwardContractsIngeneral,forwardrateswillnotequaltheeventuallyrealizedshortrateStillanimportantconsiderationwhentryingtomakedecisions:Lockinginloanrates 15-29Figure10.7EngineeringaSyntheticForwardLoan