2014 中央银行学 利率 3.ppt

Part two How to calculate the yield to maturity  Yield to maturity: simple loans Yield to maturity = interest rate that equates today’s value with present value of all future payments 1. Simple Loan (i = 10%) $100 = $110/(1 + i) ? $110 – $100 $10 i = = = 0.10 = 10% $100 $100 Yield to maturity: a fixed-payment loan Because it involves more than one payment, the present value of the fixed-payment loan is calculated as the sum of the present values of all payments: LV = FP/ (1+ i ) + FP/ (1+ i )2 + FP/ (1+ i )3 +······+ FP/ (1+ i )n LV = loan value FP = fixed yearly payment n = number of years until maturity Yield to Maturity: coupon bonds Coupon Bond (Coupon rate = 10% = C/F) where P = price of coupon bond (票息债券价格) C = yearly coupon payment (年利息支付额) F = face value of the bond (债券面值) n = years to maturity date (距到期日的年数 ) Yield to Maturity: Discount Bond Discount Bond (P = $900, F = $1000) $1000 $900 = (1+i) $1000 – $900 i = = 0.111 = 11.1% $900 F – P i = P ? Wealth (↑) expected interest rate (↑) expected inflation (↑) riskiness of bonds relative to other assets (↑) liquidity of bonds relative to other assets (↑) Shifts in the supply of bonds Factors affect the bond supply: Expected profitability of investment opportunities ?Expected inflation? Government activities Bond Market Overview Bond Market Overview from 8:32 a.m. EDT10/16/12 Bond Market Overview from EDT 05/12/14 Bond Market Overview from 8:32 a.m. EDT10/16/12 Bond Market Overview from EDT 05/10/13 Bond Market Overview from EDT 05/12/14 Bond Market Overview from EDT 05/09/14 Cambridge Sells Its First Bond 2012-10-11 Cambridge Sells Its First Bond 2012-10-11 The University of Cambridge sold its first-ever bond Wednesday, in a highly anticipated deal that could encourage other U.K. unive