[经济学]Class6_827_termstructureratesetc.pptVIP

* * * * * * * * If future recession, the demand of long term bonds will go up, thus the long term yield will go down. ? inverted * * * * * * We use full price to construct. * Clean price/32 = quoted * LIBOR rates are all already annualized. So in order to get the period rate you’ve to divide the period by 360. * Solving for discount factor 3 (d3) d1 = 0.961538 d2 = 0.921895 Solving for discount factors – 3 period case We can see that the general notation for solving for d3 is (where c is the semi-annual coupon payment and par = $100) Solving for discount factors – 4 period case We can see that the general notation for solving for d4 is (where c is the semi-annual coupon payment and par = $100) Solving for discount factors – general case We can see that the general notation for solving for dn is (where c is the semi-annual coupon payment and par = $100) Discount Factors Time in Years Time in Periods Coupon Rate YTM Price Discount Factor Sum of current and prior period discount factors 0.5 1 0.00% 8.00% $96.15 0.96154 0.96154 1 2 0.00% 8.30% $92.19 0.92189 1.88343 1.5 3 8.50% 8.90% $99.45 0.87717 2.76061 2 4 9.00% 9.20% $99.64 0.83461 3.59522 2.5 5 11.00% 9.40% $103.49 0.79352 4.38874 3 6 9.50% 9.70% $99.49 0.75077 5.13951 3.5 7 10.00% 10.00% $100.00 0.70764 5.84716 4 8 10.00% 10.40% $98.72 0.66175 6.50891 4.5 9 11.50% 10.60% $103.16 0.62160 7.13051 5 10 8.75% 10.80% $92.24 0.58485 7.71536 5.5 11 10.50% 10.90% $98.38 0.54988 8.26524 6 12 11.00% 11.20% $99.14 0.50883 8.77406 6.5 13 8.50% 11.40% $86.94 0.47626 9.25032 7 14 8.25% 11.60% $84.24 0.44257 9.69289 7.5 15 11.00% 11.80% $96.09 0.40549 10.09838 8 16 6.50% 11.90% $72.62 0.38547 10.48386 8.5 17 8.75% 12.00% $82.97 0.35548 10.83933 9 18 13.00% 12.20% $104.30 0.31779 11.15712 9.5 19 11.50% 12.40% $95.06 0.29226 11.44938 10 20 12.50% 12.50% $100.00 0.26768 11.71707 Solving for spot rate, zn: Given dn, we can solve for the spot rate Example: Solving for z5 From the previous table, d5 = 0.79352 Spo