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TheStructureofInterestRates
2FromOneInterestRatetoManyNumeroustypesoffinancialclaimsaretradedinfinancialmarketsInterestratesgenerallymoveupanddowntogether
3FromOneInterestRatetoManyTherearefourprimarydeterminantsoftherelationshipsamonginterestratestermtomaturitycreditriskliquiditytaxtreatment
4TermtoMaturityThemajorcharacteristicdistinguishingonetypeofTreasurysecurityfromanotheristhetermtomaturityTreasurybillshaveshorttermstomaturityofoneyearorlessTreasurynotesandbondshavelongmaturitiesofoneyearormore
5TermtoMaturityThepatternofrelationshipsamonginterestratesandthetimetomaturityarereferredtoinfinancialmarketsasthetermstructureofinterestrates
6TheYieldCurveAyieldcurvevisuallyrepresentsthetermstructureofinterestratesshowstherelationshipbetweeninterestrates(yields)onparticularfinancialinstruments(securities)andtheirtermstomaturityEachtypeofassetisrepresentedonasingleyieldcurvecontrolsforfactorsotherthantermtomaturity
7InterestRatesonTreasurySecurities
8YieldCurves
9TheExpectationsTheoryTheexpectationstheorypostulatesthattheyieldcurveisdeterminedbyborrowers’andlenders’expectationsoffutureinterestrateschangesintheslope(shape)ofthecurveresultfromchangesintheseexpectations
10ExampleSupposeyouhavefundstolendforatwo-yearperiodandthecurrentyieldoneaone-yearbill(i1)is5%andthecurrentyieldonatwo-yearnote(i2)is5.99%Supposeyouexpectthattheyieldonone-yearsecurities(ie1)willbe7%oneyearfromnow
11ExampleYouhavetwooptionsbuyaone-yearsecuritytodayandanotheroneyearfromnowbuyatwo-yearsecuritytodayWhichoptionwillgiveyouahigherexpectedrateofreturn?
12ExampleTocalculatetheexpectedreturnofthefirstoption,wefindthegeometricaverageofthetworatesweassumethattheinterestearnedduringthefirstyearwillearninteres
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