期货之利率换算.pptVIP

4.* Modified Duration, p.91 When the yield y is expressed with compounding m times per year (see slide 4.27) The expression is referred to as the “modified duration” Example 4.6 4.* 4.9 Convexity, p.92 Figure 4.2, p.93 (?y, ?B/B) Portfolio X has more curvature in its relationship with yields than portfolio Y. The convexity of a bond is defined as: p.93 By matching convexity as well as duration, a company can make itself immune to relatively large parallel shifts in the zero curve. 4.* 4.* B = $94.213 D = 2.653 years If y increases from 0.12 to 0.14 (i.e., ?y = 0.02) Exact ?B = -$4.859 4.* 4.* 4.10 Theories of the Term Structure of Interest Rates, p.93 Expectations Theory: forward rates equal expected future zero rates Market Segmentation: short, medium and long rates determined independently of each other Liquidity Preference Theory: forward rates higher than expected future zero rates It is consistent with the empirical result that yield curves tend to be upward-sloping more often than they are downward-sloping * * * * * * * * * * * * * * * * * * * * * * * 4.* Interest Rates Chapter 4 4.* 4.1 Types of Rates The higher the credit risk, the higher the interest rate that is promised by the borrower. Treasury Rates instruments used by a government to borrow in its own currency; risk-free 4.* LIBOR, London Interbank Offer Rate, p.76 Derivative traders usually use LIBOR rates (instead of Treasury rates) as short-term risk-free rates. This is because they regard LIBOR as their opportunity cost of capital. Traders argue that Treasury rates are too low to be used as risk-free rates. 4.* Repo Rates A repurchase agreement is a contract where an investment dealer who owns securities agrees to sell them to another company now and buy them back later at a slightly higher price. The other company is providing a loan to the investment dealer. The difference between the prices is the interest it earns. The inte