3.货币时间价与利率期限结构 清华大学绝版金融工程课件.pptVIP

Term Structure of Interest Rates Our objective is to value riskless cash flows. Given the rich set of fixed-income securities traded in the market, their prices provide the information needed to value riskless cash flows at hand. Forms of Interest Rates In this market, this information on the time value of money is given in several different forms: Spot interest rates Price of discount bonds (e.g., zero-coupon bonds and STRIPS) Prices of coupon bonds Yield-to-maturity (an average of spot interest rates) Forward interest rates The form in which this information is expressed depends on the part