利率期限结构理论.pptVIP

投资学 第12章 证券分析（3）：利率期限结构理论 12.1 Overview of Term Structure of Interest Rates The relationship between yield to maturity and maturity. Information on expected future short term rates can be implied from yield curve. The yield curve is a graph that displays the relationship between yield and maturity. Three major theories are proposed to explain the observed yield curve. 利率期限结构：债券的到期收益率（Yield to maturity）与债券到期日（the term to maturity）之间的关系 把利率表示为到期日的函数，用以体现不同到期日利率的方式——利率的风险结构 到期收益率与未来短期利率有关系 12.1.1 未来的利率期限结构 2.求零息债券当前合理的价格假设零息债券面值为100元，则由表1可得该债券的合理价格，如表2所示 12.1.2 远期利率 未来的短期利率在当前时刻是不可知道的，所以以短