1、 q K LBa L! B L lm q wL q K = L “1 pXgg$ M g SO lm q wLm iYVy Vasicek i P H L_ M Vasicek l m wLYb L = aSO lm q wLay Vasicek i H L LHqa Wa8*/%a 2 o q aM g V q ISbm 10-1 Be (b)m lm q wL | q . y g q“ - qT 7 (c)m lm q wLC| q5V U q/ t b s V g q|/ H O lm q|/ O lm q|M lm q wLy7M| q MQ g q 5 O lm q|/ O lm q
2、M lm q wLy7M| q Be lm q wL AEb 2 Be i I ng B 9 L !g q Tg % cg B b Liquidity Theory5 y K gBY7g B# a O lm q M g A 4 O gb yN1g g O A1M nLiquidity Premiumb K n O lm q O lm q 7c n =b 3 lm q = lm q + n #Y lm q wLy = q nb yN lm qwL| q iBV U q| V ? y n P lm q lm qb 3 z z Preferred Habitat Theory M g lm q lm
3、 qF Bn i BnA “ K9F7 6b yg 7 V ?y y7 ! g W N H1 z g WMO E gB qB 3 p7 “9 + p W z OZ M z “dM inbyN KO Z 7B ? b 5 M SO pv7 10 M SO v p5 5 MSO g lm q/ yN h 710 M SO g lm q5 6 yN/ P lm q wL| qb s V z AE lm q wL“ | % q j KO Z z*7# lm q wLi% b z Be (Biased Expectations Theory)y c qBe I n Bn zMBb 2a g u g u
4、Market Segmentation Theoryf O 4M |O p 4N uO g 7 g % KO lm qb O g pv H lm q / Y O “ O gY O g # lm q wLi j WO Yvl7b 1 g u lm qi I n y = Kvb = lm q wL V O V$ ATB“ C Fb 7B“ C V ABF , t , N VO Nb t , NLC q? , O 1 p lm q 4SO lm qb N q LCO C V? O NLC q V ? dBB 7 C BLCqb 8 tLC q ;$ V lm wL 7 Sb lm wL O lm q
5、 KW1“ wLb 1 B?8?O Wy K7 lm qs #tO B y sv ?SO Hq lm wLBSO lm wLb SO lm wL K?SO N$9 lm q Q1 “Hf ZEb SO? H |Bt: MK M ( H V ?z M )7 O1 d?O 9b 9t O H Y lm q LE MK lmqb LE T lm q H W/ W HWX lm qX/ lm qW lm q +=L9 MKO lm q Q1 “Hf Elm wLb I uS 1 SWO gO lm q9 1 YYv O N QW O gO lmM SO lm q wL s?WO gN?C ? 1“dd
6、BO lm q9 ZE O lmba aSWO gO lm qO lm q 9 ZE aWO gN“da J O “da 7 g“dS O?“dbaO lm q9 T )K O % qO qO aL CO : Y KB M = cB M BQO lm q | 9 b9 T365DPVPVFVy = TZ lm q 517O N N9 / %O O L=? 7 LCO 7 BQO 7. /$O 7. $G.O / O K M $O M G O M qb : Y KB M BQO lm q | 9b9 T 1+=LPVCNMy TZ lm q 17O N $ O M / O KM _ | O :
7、Y K M * / | O : Y K M * / | .O -O : Y K M O L=? “ b )K % qO qO lm q | 9 b9 T“+=1)/365()1()/365()1(fdfyfCfdfyfCPV1)/365()1(1)/365()1(+nfdfyMnfdfyfCTZ lm q 17O N G O M q .O %VO /BQ L=? O :Q O : $ O M 9 qO H 1 $M Tb6 qO lm q lm9 lm q lm Qb Vasicek Vasicek 19771K*Ly0 b L !By0 Vd lm q wL be y0 q rshort r
8、ate K d O qb H9$T W qinstantaneous short ratebVasicek L q r HW MH H iB B LM t b H rM iK HWW =V sb i H Y rS B b VA S I C E K pB HW TB|CON P lm q YsY BAeP=rTBTAY+= SeBST=1SSLY/66+=222()2422SBYTBA = P=O N ( Bond Price ) T=O HWTime To Maturity ) r= qy0Short Rate L= q (Long-Run Mean Lever S= Speed Of Adj
9、ustment e=1 6 =SStandard Deviation / = qB gNMarket Price Of Interest Rate RiskBnN a L BSO lm q wL 10-1 o _ V Z a S1Vasicek, Oldrich, “An Equilibrium Characterization of the Term Structure“, Journal of Financial Economics, Vol. 5, No. 2, (November 1977), pp. 177-188. 7SON9 M lm qiN$SSO lm q wL 1aS SO
10、 b V 10.1 o2009 M 4 7 SSO gM1 p Ub 2a V 10.1 9 O lm q 9 lm qZEb nB V lm ql? 9 b lm q P C CO H N lm qb c S g8 O O N Nb lm q9 T C C9 Nb9 T =+=niiirCFP1)1( P N NF O Z CFi C r lm qb v E C p TO K 59 N b Excelf Yield f V 9 lm qb 7 O9 T Bb f m 10-2 O O NK q? :MKSO SO SO SO SO SO SO SO SO SO SO SO SO SO SO
11、SO SO SO SO SO SO S 7 SO SO SO SO SO SO SO 8SO SO SO SO SO 9m 10.2 YIELDf J2 o =YIELD(H2,G2,E2,C2,100,1)p 89 SO lm qb 1i YIELDf PN PrNb J2/ E3 V SO lm qb 9 T m 10.2 Ub 3aLE9 10YVL KsY 1a2a3a4a5a6a7a10a11a12a13 M lm qb K 1 M9 T o=(1-I11)*(J12-J11)/(I12-I11)+J11p L2 = b K GQ 9 Vb9 T m 10.3 Ub m 10.3 4
12、a Q“H f Tm Q“Hf L !O lm qO HWW /f 1“ 32dxcxbxaY += T V9 H lm q YY-Y ZKl H d9 V lm qKlb Excel? p V9 aabacad b t L=W M VO lm q wLmb L=V “Hf E_ | lm q wL H T11LE 4 qb “H wLY L= g 4jL M b 8 EXCEL T / 1yB sheet| 3 LO lm q EXCEL Vb m 10.4 11m 10.4 2a| lm q lm q9 T V 9 9 YiH| Y-Y(Y-Y)2nm 10.5 m 10.4 123a?
13、pb? p m 10.5m 1.6 m 10.5 ? p m 10.6 ? p -op ? p 9F 9FQ 10000 m10.6b aabacad A U VM m 10.5Y-Y2 “S pKl m 10.5b“ V p aabacad bsY 0.009617451a0.004343999a-0.000144208a-0.000002717bV7 pSO lm q HWWf Vr T Y=0.009617451+0.004343999x-0.000144208 x2-0.000002717 x24a pf Vr T$ sY9 0.5 M 15 M M lm q lm q wLmb m 10.17 Ub 13m 10. 7 SO lm q wL = VA S I C E K / y VA S I C E K 8 By VM 2 1a ! u A 1 = S5 oVasicek p A3 o INPUTp | A4-C8 u ub m 10.8 Ub 2a dM A4-A8 =sY M oShort Rate (r )p q o Long-Run Mean Lever ( L)p ( aoSpeed Of Adjustment (S)p aoStandard Deviation (
