公司理财培训资料英文版(ppt27).pptxVIP

Bond Market and Alternative Investment Rules3.1 Valuation of Bonds3.2 The Term Structure of Interest Rates3.3 Alternative Investment Rules (1) The Payback Period Rule (2) The Average Accounting Return (3) The Internal Rate of Return (4) The Profitability Index3.4 Why Use Net Present Value? (RWJ Ch.5,6)3.1 Valuation of BondsExample 1： Suppose we observe the following bond prices for default-free zero coupon bonds (pure discount bond, with face value $1,000)： How are the bond prices related with interest rates? i1i2?i3?i4?y11 year zero: Price = 9262 year zero: Price = 8423 year zero: Price = 7584 year zero: Price = 6831 year bond2 year bond3 year bond4 year bondy2y3y4(maturity date)The Present Value Formulas for BondsPure Discount Bonds‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥(3.1)for T-maturity bonds with face value F.Level Coupon Bonds‥ ‥(3.2)Consols‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥ ‥(3.3)Such a rate y is known as the yield to maturity (YTM). The yield to maturity is a complicated average of different rates of interest. It can be a useful summary measure. Yield to MaturityExample 1.(continued): we can convert bond prices into “yield to maturity” ( ) hence, yn= yield of bonds with n periods as time to maturity, also called “spot rates.” Plot yn against time to maturity (n) ?” yield curve” to summarize information about bond prices (diagram 1). 3.2 The Term Structure of Interest RatesFrom bond prices, we can compute yields , plot the “yield curve”, and compute the implied forward rates, . implied “forward rates”yield curve or “spot rates”Forward Rates is the “break-even” interest rate that equates the returns on a n-period bond to that of a (n – 1) period bond rolled over into a one-year bond in year n. For example, , (geometric mean) or , so as an approximation (arithmetic mean).Similarly, Forecast of Future InterestCan we use forward rates fn to forecast future short-term interest rates in, also called “short rates”？ Assume tha