Chapter 4 Interest Rates and Duration(期权期货及其衍生市场-厦门大学,郑振龙)要点.pptVIP

Chapter 4 Interest Rates and Duration Types of Rates Treasury rates LIBOR rates Repo rates Zero Rates A zero rate (or spot rate), for maturity T, is the rate of interest earned on an investment that provides a payoff only at time T Example Bond Pricing To calculate the cash price of a bond we discount each cash flow at the appropriate zero rate In our example, the theoretical price of a two-year bond providing a 6% coupon semiannually is Bond Yield(到期收益率) The bond yield is the discount rate that makes the present value of the cash flows on the bond equal to the m