课件货币金融学7版英文课件4大学课件.ppt

Chapter 4UnderstandingInterest Rates? 2005 Pearson Education Canada Inc.第一页，共十五页。 Four Types of Credit Instruments1. Simple loan2. Fixed-payment loan3. Coupon bond4. Discount (zero coupon) bondConcept of Present ValueSimple loan of $1 at 10% interestYear 1 2 3 n $1.10 $1.21 $1.33 $1x(1 + i)n $1PV of future $1 = (1 + i)nPresent Value2第二页，共十五页。 Yield to Maturity: LoansYield to maturity = interest rate that equates today’s value with present value of all future payments1. Simple Loan (i = 10%) $100 = $110/(1 + i) ? $110 – $100 $10 i = = = 0.10 = 10% $100 $1002. Fixed Payment Loan (i = 12%) $126 $126 $126 $126$1000 = + + + ... + (1+i) (1+i)2 (1+i)3 (1+i)25 FP FP FP FPLV = + + + ... + (1+i) (1+i)2 (1+i)3 (1+i)n3第三页，共十五页。 Yield to Maturity: Bonds?4. Discount Bond (P = $900, F = $1000), one year $1000$900 = (1+i) $1000 – $900i = = 0.111 = 11.1% $900 F – Pi = P3. Coupon Bond (Coupon rate = 10% = C/F) $100 $100 $100 $100 $1000P = + + + ... + + (1+i) (1+i)2 (1+i)3 (1+i)10 (1+i)10 C C C C FP = + + + ... + + (1+i) (1+i)2 (1+i)3 (1+i)n (1+i)n Consol: Fixed coupon payments of $C forever C CP = i = i P4第四页，共十五页。 Relationship Between Price and Yield to MaturityThree Interesting Facts in Table 11. When bond is at par, yield equals coupon rate2. Price and yield are negatively related3. Yield greater than coupon rate when bond price is below par value5第五页，共十五页。 Current Yield C ic = PTwo Characteristics1. Is better approximation to yield to maturity, nearer price is to par and longer is maturity of bond2. Change in current yield always signals change in same direction as