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博迪投资学第九版课件

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INVESTMENTS | BODIE, KANE, MARCUS
15-8
Yield Curve Under Certainty
• Suppose you want to invest for 2 years. – Buy and hold a 2-year zero -or– Rollover a series of 1-year bonds
• Price = $1082.17 and YTM = 6.88% • 6.88% is less than the 3-year rate of 7%.
INVESTMENTS | BODIE, KANE, MARCUS
15-7
Two Types of Yield Curves
Pure Yield Curve
• A spot rate is the geometric average of its component short rates.
INVESTMENTS | BODIE, KANE, MARCUS
15-12
Short Rates and Yield Curve Slope
• When next year’s short rate, r2 , is greater than this year’s short rate, r1, the yield curve slopes up.
15-来自百度文库0
Yield Curve Under Certainty
• Buy and hold vs. rollover:
(1 y2 )2 (1 r1 )x(1 r2 )
1
1 y2 (1 r1)x(1 r2 ) 2
• Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond.
• The pure yield curve uses stripped or zero coupon Treasuries.
• The pure yield curve may differ significantly from the on-the-run yield curve.
On-the-run Yield Curve
CHAPTER 15
The Term Structure of Interest Rates
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
• The on-the-run yield curve uses recently issued coupon bonds selling at or near par.
• The financial press typically publishes onthe-run yield curves.
INVESTMENTS | BODIE, KANE, MARCUS
15-11
Spot Rates vs. Short Rates
• Spot rate – the rate that prevails today for a given maturity
• Short rate – the rate for a given maturity (e.g. one year) at different points in time.
15-2
Overview of Term Structure
• The yield curve is a graph that displays the relationship between yield and maturity.
• Information on expected future short term rates can be implied from the yield curve.
• Equilibrium requires that both strategies provide the same return.
INVESTMENTS | BODIE, KANE, MARCUS
15-9
Figure 15.2 Two 2-Year Investment Programs
INVESTMENTS | BODIE, KANE, MARCUS
• We need to consider each bond cash flow as a stand-alone zero-coupon bond.
• Bond stripping and bond reconstitution offer opportunities for arbitrage.
INVESTMENTS | BODIE, KANE, MARCUS
15-6
Example 15.1 Valuing Coupon Bonds
• Value a 3 year, 10% coupon bond using discount rates from Table 15.1:
$100 $100 $1100 Price 1.05 1.062 1.073
INVESTMENTS | BODIE, KANE, MARCUS
15-3
Figure 15.1 Treasury Yield Curves
INVESTMENTS | BODIE, KANE, MARCUS
15-4
Bond Pricing
• Yields on different maturity bonds are not all equal.
• The value of the bond should be the sum of the values of its parts.
INVESTMENTS | BODIE, KANE, MARCUS
15-5
Table 15.1 Prices and Yields to Maturities on Zero-Coupon Bonds ($1,000 Face Value)

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