1、章章 贤贤 军军1 1Present Value(PV)Internal Rate of Return(IRR)Cash Flow EvaluationDiscount factorSpot and forward rate2 2用用 x=(x0,x1,.,xn)表示一个现金流表示一个现金流timex0 x1x2x3x4x5x6timePV3 3现值 present value.timex0 x1x2x3x4x5x6timePV终值 final value.timex0 x1x2x3x4x5x6timeFV4 4Present Value(PV)Internal Rate of Return(
2、IRR)Cash Flow EvaluationDiscount factorSpot and forward rate5 56 67 7218.75218.75218.75218.7510218.7594.2.1594.8.1595.2.1595.8.1596.2.1596.8.158 89 9201101(1006.875)(0.5)322(0.5)0.9825dd18101=2.75 d(0.5)+102.75 d(1)32101021100=2.3125 d(0.5)+2.3125 d(1)32 +102.3125 d(1.5)111112121313Present Value(PV)
3、Internal Rate of Return(IRR)Cash Flow EvaluationDiscount factorSpot and forward rate14141515()r tAA(1+r/2)2ttime0t面值:100元小于100元1616121()2()1()tr tdt已知折现因子d(t)表示t年之后的1元的现值，因此有：2()112trdtAA(1+r/2)2ttime0t1717()r t18181919根据图3.2显示，即期利率最初具有斜率向上的期限结构，但大约到第23年后，即期利率具有斜率向下的趋势 downward sloping2020212152.552
4、.5 52.5 100094.2.1594.8.1595.2.1595.8.152222价格:票息:面值:120 xPyPP120 xCyCC120 xFyFF可以组合一个 zero coupon bond,使C0=0,F0=$100这个组合要满足3个公式:解出x和y.组合而成的零息债券的价格 xP1+yP22323Bond 1:10 year,10%coupon,P1=98.72元Bond 2:10 year,8%coupon,P2=85.89元 面值100元Portfolio:x Bond 1,y Bond 2.构建的零息债券价格:x=-4,y=5Coupon:x(10)+y(8)=0Fa
5、ce:x(100)+y(100)=100Create a zero:Spot Rate:201010034.57(1/2)r100.11r xP1+yP2=34.57元2424使用即期利率，则债券现值又可以表示为232.3 1 2 52.3 1 2 51 0 2.3 1 2 5(0.5)(1)(1.5)111222rrr2525以这种方式表示，说明现金流量根据发生当时的即期利率来折现。换句话说，投资者对于不同时期发生的现金流量，将赚取不同的报酬率2626()r t2727 A(1+)A(1+)（二）（二）一年期债券一年期债券 收益率收益率 A(1+)2 两年期债券两年期债券 第一年第一年的收益
6、率的收益率 A(1+)228282929(1.5)r r(0.5)94.2.1594.8.1595.2.1595.8.15 r(1)r(1.5)(1)r(2)r 96.2.15 r(2)3030r(0.5)=(0.5)=3.567%r 2(0.5)(1)(1)111222rrr3(0.5)(1)(1.5)(1.5)1 1 112222rrrr2(0.5)(1)()()1 1.112222trrr tr t(1)(2)(3)(4)3131()r t323233332.31252.3125102.3125(0.5)(0.5)(1)(0.5)(1)(1.5)111111222222rrrrrr232
7、.31252.3125102.3125(0.5)(1)(1.5)111222rrr3434Present Value(PV)Internal Rate of Return(IRR)Cash Flow EvaluationDiscount factorSpot and forward rate3535用 x=(x0,x1,.,xn)表示现金流.内部收益率指能够满足下式的r1202.01(1)(1)nnxxxxrrr为了解出 r,通常会设:1(1)crand solve2012.0nnxxcx cx c(,)0PV x r 3636对现金流(-2,1,1,1)，它的内部收益率是多少?Solve:2
8、302ccc Question:这个多项式只有惟一的正解吗?Answer:This can be a problem.0.81c 0.23r11cr37372012.0nnxxcx cx cProof:plot2012().nnf cxx cx cx cf(c)cx0increasing.如果现金流 x=(x0,x1,.,xn)有x0 0 至少有一项是正的.那么对以下方程式就有惟一的正解:0kx 3838393922111222TtTtcyyP上式又可以表示为，221(1)(1)22TTcyyPy4040221(1)(1)22TTcyyPy4141Present Value(PV)Intern
9、al Rate of Return(IRR)Cash Flow EvaluationDiscount factorSpot and forward rate4242When to cut a tree？种树为了卖木材赚钱，有两种砍伐方案:(1)After 1 year:Cash Flow:(-1,2)(2)After 2 years:Cash Flow:(-1,0,3)如果r1 is 10%r2 is 12%,你会选哪个?4343(1)NPV=-1+2/1.1=0.82(2)NPV=-1+3/(1.12)2=1.392NPV says choose option(2).4444Choose t
10、he one with the greatest internal rate of return.Solution:IRR says choose option(1)(1)IRR:-1+2c=0 c=0.5 r=1.0(2)IRR:-1+3c2=0 c=0.577 r=0.7454546463510011100.080.036280.036280.036281112224747484849492342.31252.31252.3125102.3125100.37511112222yyyy4100.375(1)2y50503242.3125(1)2.3125(1)2.3125(1)102.312
11、5222100.375(1)2yyyy这个式子的左侧可以解释为，在94.8.15获得第一笔票息2.3125元，根据到期收益率y再投资至到期日，收益为2.3125(1+y/2)3。以次类推，假定再投资利率为y，在到期日收取的所有金额就是100.375(1+y/2)4 ，如此则到期收益率代表了实现的债券收益率。51512.312594.2.1594.8.1595.2.1595.8.1596.2.152.31252.3125102.31255252比例变化 Scaling:IRR 体现不了变化,NPV可以 5353重复 RepetitionNPV可以区分现金流是否重复,IRR 不能5454NPV和I
12、RR不一定得到相同的结论。IRR也并不能有效区分债券的收益高低。NPV可以体现现金流的多种情况，所以在评价现金流的时候比IRR更好。55555656下表是各年期零息债券（面值1000元）的报价1、请填写表中空格。此处均为半年复利一次的名义利率。2、现金流x=(x0,x0.5,x1,x1.5)为(-1020,85,85,1085)根据上表计算它的净现值和内部收益率。57571.585818%987.3102018%14%987.31039.3615.4%yy5959606023nSxxxx2341.nnxSxxxxx1(1)nxSxx11/2xy61616262Q:Why does the te
13、rm structure shape like this?Three Explanations1 期望理论 Expectations Theory2 流动性偏好 Liquidity Preference3 市场分割 Market Segmentation6363即期利率是由对利率的市场预期决定的。Spot rates are determined by the expectations of what interest rates will be.Ex:If the spot rate curve slopes upward,that is because people expect inte
14、rest rates to increase in the future.6464Investors prefer short term securities over long term securities because long term securities“tie-up”capitalthat may be needed before maturity.However,there are well developed markets for short and long term securities.Hence investors can easily get out.More
15、likely,long term investments are more sensitive to interest rates.To lessen risk,investors would prefershort term securities.6565Fixed income market is segmented by maturity dates.The rate for each maturity date is determined by the group of investors interested in that maturity date.Hence,simple su
16、pply and demand among those investors determines the interest rate.66666767财富/资产 收入 资本收入的市值金融理论金融理论价格理论产权理论产权理论6868696970707171727273737474262.8238.911.102306.2253.06(1.10)3322.3242.15(1.10)4222.2151.7(1.10)5152.894.88(1.10)75752345262.8306.2322.3222.2152.8510(1 10%)(1 10%)(1 10%)(1 10%)(1 10%)NPV 7676234510101010110100(1 10%)(1 10%)(1 10%)(1 10%)(1 10%)7777NPV2345252.8296.2312.3212.242.8410(1 10%)(1 10%)(1 10%)(1 10%)(1 10%)470.7678787979
