Derivative Markets 2nd Edition Robert L.Mcdonald 原版课件_CH07.pptVIP

Chapter 7 Interest Rate Forwards and Futures Bond Basics U.S. Treasury Bills (1 year), no coupons, sell at discount Notes (1–10 years), Bonds (10–30 years), coupons, sell at par STRIPS: claim to a single coupon or principal, zero-coupon Bond Basics (cont’d) Notation : interest rate from time to prevailing at time t : price of a bond quoted at t = to be purchased at t = maturing at t = Yield to maturity: percentage increase in dollars earned from the bond Bond Basics (cont’d) Zero-coupon bonds make a single payment at maturity One year zero-coupon bond: P(0,1)=0.943396 Pay $0.943396 today to receive $1 at t=1 Yield to maturity (YTM) = 1/0.943396 - 1 = 0.06 = 6% = r (0,1) Two year zero-coupon bond: P(0,2)=0.881659 YTM=1/0.881659 - 1=0.134225=(1+r(0,2))2=r(0,2)=0.065=6.5% Bond Basics (cont’d) Zero-coupon bond price that pays Ct at t: Yield curve: graph of annualized bond yields against time Implied forward rates Suppose current one-year rate r(0,1) and two-year rate r(0,2) Current forward rate from year 1 to year 2, r0(1,2), must satisfy Bond Basics (cont’d) Bond Basics (cont’d) In general Example 7.1 What are the implied forward rate r0(2,3) and forward zero-coupon bond price P0(2,3) from year 2 to year 3? (use Table 7.1) Bond Basics (cont’d) Coupon bonds The price at time of issue of t of a bond maturing at time T that pays n coupons of size c and maturity payment of $1 where ti = t + i(T - t)/n For the bond to sell at par the coupon size must be Forward Rate Agreements FRAs are over-the-counter contracts that guarantee a borrowing or lending rate on a given notional principal amount Can be settled at maturity (in arrears) or the initiation of the borrowing or lending transaction FRA settlement in arrears: (rqrtly- rFRA) x notional principal At the time of borrowing: notional principal x (rqrtly- rFRA)/(1+rqrtly) FRAs can be synthetically replicated using zero-coupon bonds Forward Rate Agreements (cont’d) Eurodollar F