米什金货币金融学(商学院版)第4章课件

Copyright©2010PearsonAddison-Wesley.Allrightsreserved.Chapter4UnderstandingInterestRatesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-2PresentValue•Adollarpaidtoyouoneyearfromnowislessvaluablethanadollarpaidtoyoutoday•Why?–Adollardepositedtodaycanearninterestandbecome$1x(1+i)oneyearfromtoday.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-3DiscountingtheFuture23Let=.10Inoneyear$100X(1+0.10)=$110Intwoyears$110X(1+0.10)=$121or100X(1+0.10)Inthreeyears$121X(1+0.10)=$133or100X(1+0.10)Inyears$100X(1+)niniCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-4TimeLine$100$100Year01PV1002$100$100n100/(1+i)100/(1+i)2100/(1+i)nCannotdirectlycomparepaymentsscheduledindifferentpointsinthetimelineCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-5Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-6SimplePresentValuenPV=today's(present)valueCF=futurecashflow(payment)=theinterestrateCFPV=(1+)iiCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-7FourTypesofCreditMarketInstruments•1.Simpleloan•Lenderprovidestheborrowerwithanamountoffunds,whichmustberepaidtothelenderatthematuritydatealongwithanadditionalpaymentfortheinterest.•Ex:commercialloans•2.Fixed-paymentloan•Lenderprovidestheborrowerwithanamountoffunds,whichmustberepaidbymakingthesamepaymenteveryperiod.•Ex:MortgagesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-83.Couponbond•Paystheownerofthebondafixedinterestpaymenteveryyearuntilthematuritydate,whenaspecifiedfinalamountisrepaid.•Ex:Treasurybonds/notesandcorporatebonds•--Threepiecesofinformation:•(1)Issuer•(2)Maturitydate•(3)Couponrate4.Discount(zerocoupon)bond•Isboughtatapricebelowitsfacevalueandthefacevalueisrepaidatthematuritydate.•Ex:treasurybillsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-9YieldtoMaturity•Theinterestratethatequatesthepresentvalueofcashflowpaymentsreceivedfromadebtinstrumentwithitsvaluetoday.•Alsocalledinternalrateofreturn.•Mostaccuratemeasureofi.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-10SimpleLoan1PV=amountborrowed=$100CF=cashflowinoneyear=$110=numberofyears=1$110$100=(1+)(1+)$100=$110$110(1+)=$100=0.10=10%Forsimpleloans,thesimpleinterestrateequniiiialstheyieldtomaturityCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-11FixedPaymentLoan23ThesamecashflowpaymenteveryperiodthroughoutthelifeoftheloanLV=loanvalueFP=fixedyearlypayment=numberofyearsuntilmaturityFPFPFPFPLV=...+1+(1+)(1+)(1+)nniiiiCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-12CouponBond23Usingthesamestrategyusedforthefixed-paymentloan:P=priceofcouponbondC=yearlycouponpaymentF=facevalueofthebond=yearstomaturitydateCCCCFP=...+1+(1+)(1+)(1+)(1nniiii+)niCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-13•Whenthecouponbondispricedatitsfacevalue,theyieldtomaturityequalsthecouponrate•Thepriceofacouponbondandtheyieldtomaturityarenegativelyrelated•TheyieldtomaturityisgreaterthanthecouponratewhenthebondpriceisbelowitsfacevalueTable1YieldstoMaturityona10%-Coupon-RateBondMaturinginTenYears(FaceValue=$1,000)Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-14ConsolorPerpetuity•Abondwithnomaturitydatethatdoesnotrepayprincipalbutpaysfixedcouponpaymentsforeverconsoltheofmaturitytoyieldpaymentinterestyearlyconsoltheofprice/ccciCPiCPccPCi/:thisasequationaboverewritecanForcouponbonds,thisequationgivesthecurrentyield,aneasytocalculateapproximationtotheyieldtomaturityCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-15DiscountBondForanyoneyeardiscountbondi=F-PPF=FacevalueofthediscountbondP=currentpriceofthediscountbondTheyieldtomaturityequalstheincreaseinpriceovertheyeardividedbytheinitialprice.Aswithacouponbond,theyieldtomaturityisnegativelyrelatedtothecurrentbondprice.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-16RateofReturnThepaymentstotheownerplusthechangeinvalueexpressedasafractionofthepurchasepriceRET=CPt+Pt1-PtPtRET=returnfromholdingthebondfromtimettotimet+1Pt=priceofbondattimetPt1=priceofthebondattimet+1C=couponpaymentCPt=currentyield=icPt1-PtPt=rateofcapitalgain=gCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-17Table2One-YearReturnsonDifferent-Maturity10%-Coupon-RateBondsWhenInterestRatesRisefrom10%to20%Copyright©2010PearsonAddison-Wesley.Allrightsreserved.4-18RateofReturnandInterestRates•1.Thereturnequalstheyieldtomaturityonlyiftheholdingperiodequalsthetimetomaturity•2.Ariseininterestratesisassociatedwithafallinbondprices,resultinginacapitallossiftimetomaturityislongerthantheholdingperiod•3.Themoredistantabond’smaturity,thegreaterthesizeofthepercentagepricechangeassociatedwithaninterest-ratechangeCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-19RateofReturnandInterestRates(cont’d)•4.Themoredistantabond’smaturity,thelowertherateofreturnthatoccursasaresultofanincreaseintheinterestrate•5.Evenifabondhasasubstantialinitialinterestrate,itsreturncanbenegativeifinterestratesriseCopyright©2010PearsonAddison-Wesley.Allrightsreserved.4-20Interest-RateRisk•Interest-raterisk:theriskinessofanasset’sreturnthatr