INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap015 The Term Structure of Interest Rates.ppt

CHAPTER 15 The Term Structure of Interest Rates INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin The yield curve is a graph that displays the relationship between yield and maturity. Information on expected future short term rates can be implied from the yield curve. Overview of Term Structure Figure 15.1 Treasury Yield Curves Bond Pricing Yields on different maturity bonds are not all equal. We need to consider each bond cash flow as a stand-alone zero-coupon bond. Bond stripping and bond reconstitution offer opportunities for arbitrage. The value of the bond should be the sum of the values of its parts. Table 15.1 Prices and Yields to Maturities on Zero-Coupon Bonds ($1,000 Face Value) Example 15.1 Valuing Coupon Bonds Value a 3 year, 10% coupon bond using discount rates from Table 15.1: Price = $1082.17 and YTM = 6.88% 6.88% is less than the 3-year rate of 7%. Two Types of Yield Curves Pure Yield Curve The pure yield curve uses stripped or zero coupon Treasuries. The pure yield curve may differ significantly from the on-the-run yield curve. On-the-run Yield Curve The on-the-run yield curve uses recently issued coupon bonds selling at or near par. The financial press typically publishes on-the-run yield curves. Yield Curve Under Certainty Suppose you want to invest for 2 years. Buy and hold a 2-year zero -or- Rollover a series of 1-year bonds Equilibrium requires that both strategies provide the same return. Figure 15.2 Two 2-Year Investment Programs Yield Curve Under Certainty Buy and hold vs. rollover: Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond. Spot Rates vs. Short Rates Spot rate – the rate that prevails today for a given maturity Short rate – the rate for a given maturity (e.g. one year) at different points in time. A spot rate is the geometric aver