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1、金程教育FRM上海強化班講義市場風(fēng)險講師：甘潤日期：2009年10月地點：■上?！醣本跎钲?Thelogicof“fixed”incomesecuritiesConvexityPriceDuration:MD/MD/EDncashflowtP=∑tt1=()1discountrate+DiscountCashflowRate(types)Base:SpreadBond:IssuerTermNominalOptionfreestructureZero-volatilitywithoptionMBSOAS專業(yè)來
2、自百分百的投入Copyright2009ByGFEDU2PricinglogicP=∑(CFt×discountfactort)CFtP=∑t()1+discountratetSpotrateForwardrateCFCFCFCF12P=1+2+...P=++...2(1+f)(1+f)(1+f)(1+z1)(1+z2)101110專業(yè)來自百分百的投入Copyright2009ByGFEDU3Pricinglogic?Forwardratesareinterestratesthatspanfutureperi
3、ods.?2007-Q10?Thepriceofathree-yearzerocoupongovernmentbondis85.16.Thepriceofasimilarfour-yearbondis79.81.Whatistheone-yearimpliedforwardrateformyear3toyear4?A.5.4%B.5.5%C.5.8%D.6.7%專業(yè)來自百分百的投入Copyright2009ByGFEDU4PricinglogicExampleSupposea1000parvalueUScor
4、poratebondpaysasemi-annual10percentcoupononJanuary1andJuly1.AssumethatitisnowApril1,2005,andthebondmaturesonJuly1,2015.Computetheinvoice(full)priceofthisbondiftherequiredannualyieldis8percent.Computetheflat(clean)priceoftheabovebond（對于buyer而言，將要收到的金額中有一部份實際
5、是屬于seller的利息。支付的總價略高是由于seller把收取下筆利息的權(quán)利給了buyer）專業(yè)來自百分百的投入Copyright2009ByGFEDU5TermstructureShort-term(spot)rate(7%)ForwardrateLong-term(spot)rate(8%)z+f111Pureexpectation→z=22z+f111Liquiditypreference→z=+liq.premium22專業(yè)來自百分百的投入Copyright2009ByGFEDU6Example?W
6、heninvestorsanticipatestablefutureinflationrate,thepureexpectationtheoryandtheliquiditypreferencetheory,respectively,suggestthatshortterminterestratenowwillbe:PureexpectationtheoryLiquiditypreferencetheoryAEqualtolongtermrateEqualtolongtermrateBEqualtolongt
7、ermrateLowerthanlongtermrateCLowerthanlongtermrateEqualtolongtermrateDLowerthanlongtermrateEqualtolongtermrate專業(yè)來自百分百的投入Copyright2009ByGFEDU7TermstructureMarketsegmentationtheory?Thistheorysaysthatdifferentmaturitysectorsrepresentdistinctmarketswiththeirown
8、demandsandsupplyforces.Market1SupplyandInterestdemand1rate1DifferentSupplyandInterestMarket2maturitydemand2rate2@@@?This,therefore,impliesthattheshapeandleveloftheyieldcurve,aswellasbeingdeterminedbyli
