岭金融市场基础201009课件.ppt

金融市场基础(第3章-第5章);利率是什么?;利率的衡量;有关YTM;Yield to Maturity: Loans;Present Value of Cash Flows: Example;Present Value Concept: Fixed-Payment Loan Terms;Yield to Maturity: Loans;Yield to Maturity: Bonds;Yield to Maturity: Bonds;Relationship Between Price and Yield to Maturity;Current Yield ;Two Characteristics Understates yield to maturity; longer the maturity, greater is understatement Change in discount yield always signals change in same direction as yield to maturity;计算某担保贷款的YTM;计算某“财智金”计划的YTM;YTM、HPY;名义利率和实际利率;Inflation-indexed securities ;an example of how inflation-indexed securities work ;利率风险的衡量;Calculating Durationi =10%, 10-Year 10% Coupon Bond;Calculating Durationi = 20%, 10-Year 10% Coupon Bond;Formula for Duration;Formula for Duration;Duration and Interest-Rate Risk;Duration and Interest-Rate Risk (cont.);The greater is the duration of a security, the greater is the percentage change in the market value of the security for a given change in interest rates Therefore, the greater is the duration of a security, the greater is its interest-rate risk;Determinants of Asset Demand ;Figure 4.1 Supply and Demand for Bonds;Market Demand Conditions;Loanable Funds Terminology;Factors That Shift Demand Curve;Shifts in the Supply Curve;Factors That Shift Supply Curve;Summary of Shifts in the Supply of Bonds;Changes in πe: The Fisher Effect ;Figure 4.6 Expected Inflation and Interest Rates (Three-Month Treasury Bills), 1953–2004;Summary of the Fisher Effect;Business Cycle Expansion;Evidence on Business Cycles and Interest Rates;Profiting from Interest-Rate Forecasts;Profiting from Interest-Rate Forecasts (cont.);利率的风险结构;Factors Affecting Risk Structure of Interest Rates;利率的期限结构;什么是利率的期限结构?;YTM和利率的期限结构;Term Structure Facts to Be Explained;Three Theories of Term Structure;Pure Expectations Theory;Pure Expectations Theory;Pure Expectations Theory;Since (i2t)2 is extremely small, expected return is approximately 2(i2t);Pure Expectations Theory;More generally for n