博迪投资学第八版课件Chap015.pptVIP

CHAPTER 15 The Term Structure of Interest Rates 15-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Information on expected future short term rates can be implied from the yield curve The yield curve is a graph that displays the relationship between yield and maturity Three major theories are proposed to explain the observed yield curve Overview of Term Structure Figure 15.1 Treasury Yield Curves Bond Pricing Yields on different maturity bonds are not all equal Need to consider each bond cash flow as a stand-alone zero-coupon bond when valuing coupon bonds Table 15.1 Yields and Prices to Maturities on Zero-Coupon Bonds ($1,000 Face Value) Yield Curve Under Certainty An upward sloping yield curve is evidence that short-term rates are going to be higher next year When next year’s short rate is greater than this year’s short rate, the average of the two rates is higher than today’s rate Figure 15.2 Two 2-Year Investment Programs Figure 15.3 Short Rates versus Spot Rates fn = one-year forward rate for period n yn = yield for a security with a maturity of n Forward Rates from Observed Rates Example 15.4 Forward Rates 4 yr = 8.00% 3yr = 7.00% fn = ? (1.08)4 = (1.07)3 (1+fn) (1.3605) / (1.2250) = (1+fn) fn = .1106 or 11.06% Downward Sloping Spot Yield CurveExample Zero-Coupon Rates Bond Maturity 12% 1 11.75% 2 11.25% 3 10.00% 4 9.25% 5 Forward Rates for Downward Sloping Y C Example 1yr Forward Rates 1yr [(1.1175)2 / 1.12] - 1 = 0.115006 2yrs [(1.1125)3 / (1.1175)2] - 1 = 0.102567 3yrs [(1.1)4 / (1.1125)3] - 1 = 0.063336 4yrs [(1.0925)5 / (1.1)4] - 1 = 0.063008 Interest Rate Uncertainty What can we say when future interest rates are not known today Suppose that today’s rate is 5% and the expected short rate for the following year is E(r2) = 6% then: The rate of return on the 2-year bond is risky for if next year’s interest rate turns ou