财务金融师-资产估值债券！.pptVIP

* Forward rate = 9.18% i.e Investor can either place money for two years and get 7.07% each year or get 5% for 1 year and 9.18% for year 2. He will be indifferent between the two choices NB: Spot rates are made up of a series of forward rates * * PURE EXPECTATION – upshot is that forward rates are a function of expected future spot rates Implications: upward sloping y/c means that rates are expected to rise etc Problem with pure expectations is that ignores risk: There is actually a difference between investing in 1 year bond or two 6 monthly bonds Price risk – risk that future bond price