投资学第15章利率期限结构.pdf

CHAPTER 15CHAPTER 15 The TermThe Term Structure ofStructure of Interest RatesInterest Rates Investments, 8th edition Bodie, Kane and Marcus Slides by Susan HineSlides by Susan Hine McGraw-Hill/Irwin Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Overview of Term Structure • InformationInformation onon expectedexpected futurefuture shortshort termterm rates can be implied from the yield curve • ThThe yiieldld curve iis a graphh ththatt didispllays ththe relationship between yield and maturity • Three major theories are proposed to explain the observed yyield curve 15-2 Figure 15.1 Treasury Yield Curves 15-3 Bond Pricing • YieldsYields onon differentdifferent maturitymaturity bondsbonds areare notnot allall equal – NNeedd tto considider eachh bbondd cashh flflow as a stand-alone zero-coupon bond when valuing coupon bonds 15-4 Table 15.1 Yields and Prices to MMatturitiities on ZZero-CCoupon BBondds ($1,000($1,000 FaceFace Value)Value) 15-5 Yield Curve Under Certainty • AnAn upwardupward slopingsloping yieldyield curvecurve isis evidenceevidence that short-term rates are going to be higher nextnext yearyear (1y )2 (1r )x (1r )