投资学第三讲现值以及内部收益率.ppt

Expectations Theory 即期利率是由对利率的市场预期决定的。 Spot rates are determined by the expectations of what interest rates will be. Ex: If the spot rate curve slopes upward, that is because people expect interest rates to increase in the future. Liquidity Preference Investors prefer short term securities over long term securities because long term securities “tie-up” capital that may be needed before maturity. However, there are well developed markets for short and long term securities. Hence investors can easily get out. More likely, long term investments are more sensitive to interest rates. To lessen risk, investors would prefer short term securities. Market Segmentation Fixed income market is segmented by maturity dates. The rate for each maturity date is determined by the group of investors interested in that maturity date. Hence, simple supply and demand among those investors determines the interest rate. 远期利率的计算方法： (1) (2) (3) (4) 表3.4 根据表3.3的即期利率推算远期利率 T % r(t) % 0.5 3.567 3.567 1 3.896 4.226 1.5 4.178 4.743 2 4.443 5.239 2.5 4.622 5.342 图3.3 即期利率与远期利率曲线 rate 10% 0 T 年 28 20 4% 4 12 即期利率 远期利率 面值100元－票息4.625－到期日95.8.15 的债券，在94.2.15日价格可以表示为 1、 2.3125×d(0.5)+2.3125×d(1)+102.3125×d(1.5) 2、 3、 Present Value and Internal Rate of Return Present Value (PV) Internal Rate of Return (IRR) Cash Flow Evaluation Discount factor Spot and forward rate 内部收益率 Internal Rate of Return 用 x=(x0, x1, ... , xn) 表示现金流. 内部收益率指能够满足下式的r 为了解出 r, 通常会设: and solve Example 对现金流 (-2,1,1,1)，它的内部收益率是多少? Solve: Question: 这个多项式只有惟一的正解吗? Answer: This can be a problem... 关于 IRR的一个重要结论 Proof: plot f(c) c x0 increasing... 如果现金流 x=(x0, x1, ..., xn) 有x0 0, 并且 对于 k 0 至少有一项是正的. 那么对以下方程式就有惟一的正解: 内部报酬率实际上就是到期收益率 (yield to maturity) 到期收益率的作用： 1、债券报价的另一种形式 2、判断债券是折价还是溢价