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《the term structure of interest rates》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫(kù)。
1、Chapter15:TheTermStructureofInterestRatesChapterOpenerp.480PART??IVIN??CHAPTER14weassumedforthesakeofsimplicitythatthesameconstantinterestrateisusedtodiscountcashflowsofanymaturity.Intherealworldthisisrarelythecase.Wehaveseen,forexample,thatinlate2009short-termTreasurybond
2、sandnotescarriedyieldstomaturitylessthan1%whilethelongest-termbondsofferedyieldsofabout4.2%.Atthetimewhenthesebondpriceswerequoted,anyway,thelonger-termsecuritieshadhigheryields.This,infact,isatypicalpattern,butasweshallseebelow,therelationshipbetweentimetomaturityandyield
3、tomaturitycanvarydramaticallyfromoneperiodtoanother.Inthischapterweexplorethepatternofinterestratesfordifferent-termassets.Weattempttoidentifythefactorsthataccountforthatpatternanddeterminewhatinformationmaybederivedfromananalysisoftheso-calledtermstructureofinterestratesT
4、hepatternofinterestratesappropriatefordiscountingcashflowsofvariousmaturities.,thestructureofinterestratesfordiscountingcashflowsofdifferentmaturities.???WedemonstratehowthepricesofTreasurybondsmaybederivedfrompricesandyieldsofstrippedzero-couponTreasurysecurities.Wealsoex
5、aminetheextenttowhichthetermstructurerevealsmarket-consensusforecastsoffutureinterestratesandhowthepresenceofinterestrateriskmayaffectthoseinferences.Finally,weshowhowtraderscanusethetermstructuretocomputeforwardratesthatrepresentinterestrateson“forward,”ordeferred,loans,a
6、ndconsidertherelationshipbetweenforwardratesandfutureinterestrates.Chapter15:TheTermStructureofInterestRates15.1TheYieldCurveFigure14.1demonstratedthatbondsofdifferentmaturitiestypicallysellatdifferentyieldstomaturity.Whenthesebondpricesandyieldswerecompiled,long-termbonds
7、soldathigheryieldsthanshort-termbonds.PractitionerscommonlysummarizetherelationshipbetweenyieldandmaturitygraphicallyinayieldcurveAgraphofyieldtomaturityasafunctionoftimetomaturity.,whichisaplotofyieldtomaturityasafunctionoftimetomaturity.Theyieldcurveisoneofthekeyconcerns
8、offixed-incomeinvestors.Wewillseeinthischapterthattheyieldcurveiscentraltobondvaluationan
