Ch05Interest Rate Markets(期权,期货和其他衍生物-第五版).ppt

Interest Rate MarketsChapter 5 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 (Table 5.1, page 101) 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 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%. Par Yield 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 Sample Data (Table 5.2, page 102) Bond Time to Annual Bond Principal Maturity Coupon Price (dollars) (years) (dollars) (dollars) 100 0.25 0 97.5 100 0.50 0 94.9 100 1.00 0 90.0 100 1.50 8 96.0 100 2.00 12 101.6 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 10.127% with continuous compounding Similarly the 6 month and 1 year rates are 10.469% and 10.536% with continuous compounding The Bootstrap Method continued To calculate the 1.5 year rate we solve to get R = 0.10681 or 10.681% Similarly the two-year rate is 10.808% Zero Curve Calculated from the Data (Figure 5.1, page 104) Zero Rate (%) Maturity (yrs) 10.127 10.469 10.536 10.681 10.808 For