InterestRateMarketsChapter5

《InterestRateMarketsChapter5》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、InterestRateMarketsChapter5ChapterOutline5.1TypesofRates5.2ZeroRates5.3BondPricing5.4Determiningzerorates5.5Forwardrates5.6Forwardrateagreements5.7Theoriesoftermstructure5.8DaycountconventionsChapterOutline5.9Quotations5.10TreasuryBondFutures5.11Eurodollarfutures5.12TheLIBORzerocurve5

2、.13Duration5.14Duration-basedhedgingstrategies5.1TypesofRatesTreasuryratesLIBORratesReporates5.2ZeroRatesAzerorate(orspotrate),formaturityTistherateofinterestearnedonaninvestmentthatprovidesapayoffonlyattimeTExample(Table5.1,page95)5.3BondPricingTocalculatethecashpriceofabondwediscoun

3、teachcashflowattheappropriatezerorateInourexample,thetheoreticalpriceofatwo-yearbondprovidinga6%couponsemiannuallyisBondYieldThebondyieldisthediscountratethatmakesthepresentvalueofthecashflowsonthebondequaltothemarketpriceofthebond.akaYTMSupposethatthemarketpriceofthebondinourexamplee

4、qualsitstheoreticalpriceof98.39Thebondyieldisgivenbysolvingtogety=0.0676or6.76%.ParYieldTheparyieldforacertainmaturityisthecouponratethatcausesthebondpricetoequalitsfacevalue.InourexamplewesolveParYieldcontinuedIngeneralifmisthenumberofcouponpaymentsperyear,disthepresentvalueof$1recei

5、vedatmaturityandAisthepresentvalueofanannuityof$1oneachcoupondate5.4DeterminingTreasuryZeroRatesTreasuryzeroratescanbecalculatedfromthepricesofinstrumentsthattrade.Onewaytodothisisthebootstrapmethod.Toseehowthisworks,considerthefollowingexample:SampleDataforDeterminingtheZeroCurve(Tab

6、le5.2,page97)BondTimetoAnnualBondPrincipalMaturityCouponPrice(dollars)(years)(dollars)(dollars)1000.25097.51000.50094.91001.00090.01001.50896.01002.0012101.6Halfthestatedcouponispaidevery6months.Anamount2.5canbeearnedon97.5during3months.The3-monthrateis4times2.5/97.5or10.256%withquart

7、erlycompoundingThisis10.127%withcontinuouscompoundingTheBootstrappingtheZeroCurveSimilarlythe6monthand1yearratesare10.469%and10.536%withcontinuouscompoundingBondTimetoAnnualBondPrincipalMaturityCouponPrice(dollars)(years)(dollars)(dollars)1000.25097.51000.50094.91001.00090.01001.50896

8、.0100