Chapter 4 Interest Rates and Duration(期权期货及其衍生市场-厦门大学,郑振龙).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 market price of the bond Suppose that the market price of the bond in our example equals its theoretical price of 98.39 The bond yield is given by solving to get y=0.0676 or 6.76%. 问题:请问投资者按市价购买该债券并持有到期,其实际收益率等于多少? Par Yield(平价收益率) The par yield for a certain maturity is the coupon rate that causes the bond price to equal its face value. In our example we solve Par Yield continued In general if m is the number of coupon payments per year, P is the present value of $1 received at maturity and A is the present value of an annuity of $1 on each coupon date,then 问题 假设你是财政部国债司司长,你的目标是使国债发行实际收入尽量等于计划收入,你应如何确定国债的票面利率? Determining Zero Rate Sample Data The Bootstrap Method An amount 2.5 can be earned on 97.5 during 3 months. The 3-month rate is 4 times 2.5/97.5 or 10.256% with quarterly compounding This is 10.13% with continuous compounding Similarly the 6 month and 1 year rates are 10.47% and 10.54% with continuous compounding The Bootstrap Method continued To calculate the 1.5 year rate we solve to get R = 0.1068 or 10.68% Similarly the two-year rate is 10.81% The Bootstrap Method continued The cash flows of the sixth bond are: 3 months later $5 9 months later $5 1.25 years later $5 1.75 years later $5 2.25 years later $5 2.