Lecture 5 2012 yield curves

固定收益课题 5 ：利率的期限结构 / Term structure of interest rate 收益曲线策略 / Yield curve strategies 陈国辉博士／南洋理工大学商学院

现货利率 Spot Rate or cash market ,[object Object],[object Object],[object Object],[object Object],[object Object]

现货利率和到期收益率 Spot Rate and Yield to Maturity (YTM) ,[object Object],[object Object],[object Object],[object Object]

隐含现货曲线 Implied Spot Curve ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

从平价 YTM 曲线到隐含现货曲线 From Par Yield Curve to Implied Spot Curve

远期利率 Forward Rate ,[object Object],[object Object],[object Object]

现货利率和远期利率 Spot and Forward Rate 1-period forward rate Spot rate

计算远期利率 Calculate Forward Rate ,[object Object],[object Object]

如何理解远期利率 ,[object Object],[object Object],[object Object],[object Object]

利率曲线 Yield Curves ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

平价利率曲线 Par Yield Curve ,[object Object],[object Object],[object Object]

收益率曲线－正常曲线 ,[object Object],1M 3M 6M 1Y 2Y 5Y 10Y 30Y

收益率曲线－正常移动 ,[object Object],旧线新线 1M 3M 6M 1Y 2Y 5Y 10Y 30Y

收益率曲线－平型 ,[object Object],旧线新线 1M 3M 6M 1Y 2Y 5Y 10Y 30Y

收益率曲线－反向型 ,[object Object],旧线新线 1M 3M 6M 1Y 2Y 5Y 10Y 30Y

http://stockcharts.com/charts/YieldCurve.html

利率期限结构理论 Theories of Term Structure ,[object Object],[object Object],[object Object],[object Object],[object Object]

纯预期理论 Pure Expectation ,[object Object],[object Object]

纯预期理论 Pure Expectation ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

[object Object],[object Object],[object Object],纯预期理论 Pure Expectation

流动性理论 Liquidity Theory ,[object Object],[object Object],[object Object],[object Object]

流动性理论 Liquidity Theory ,[object Object],[object Object],[object Object],[object Object],[object Object]

流动性理论 Liquidity Theory ,[object Object],[object Object],[object Object]

流动性理论 Liquidity Theory ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],流动性理论 Liquidity Theory

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],流动性理论 Liquidity Theory

偏好理论 Preferred Habitat Theory ,[object Object],[object Object],[object Object]

市场分割理论 Market segmentation theory ,[object Object],[object Object]

凸性偏爱 Convexity Bias ,[object Object],[object Object],[object Object]

Yield Curve Strategies Parallel up flattening Positive butterfly

Yield Curve Strategies Parallel down steepening Negative butterfly

杠铃对子弹 Barbell vs Bullet ,[object Object],Bond Coupon Maturity Dirty price YTM $ Duration $ Convexity A 8.5 5 100 8.5 4.005 19.8164 B 9.5 20 100 9.5 8.882 124.1702 C 9.25 10 100 9.25 6.434 55.4506

杠铃对子弹 Barbell vs Bullet ,[object Object],[object Object],Strategy $ Duration $ Convexity Yield Bullet 6.434 55.4506 9.25% Barbell 0.502*4.005 + 0.498*8.882 = 6.434 0.502*19.8164 + 0.498*124.1702 = 71.7846 0.502*8.5 + 0.498*9.5 = 8.998%

杠铃对子弹 Barbell vs Bullet ,[object Object],[object Object],[object Object],[object Object],[object Object]

应用远期曲线交易 Using forward curve for trading ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

正向曲线 Upward Sloping Curve ,[object Object],[object Object],[object Object],[object Object],[object Object]

现货、远期和远期现货 Spot, Forward Rate, and F orward Spot Rate 1-period forward rate Spot rate 0 1 Spot rate 1 year forward

In this example, the forward curve implies flattening yield curve

杠铃式－子弹式（蝴蝶式） Barbell-Bullet Trade (Butterfly) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

杠铃式－子弹式（蝴蝶式） Barbell-Bullet Trade (Butterfly) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

信贷利差 Yield Spread Strategy – Credit Spread Treasuries Current non-treasury Expected non-treasury Spread between treasuries and non-treasuries tends to widen when economy is heading to recession. This is because non-treasury companies are likely to suffer credit downgrade in downturn.

Lecture 5 2012 yield curves

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Lecture 5 2012 yield curves