quan tâm đến các khái niệm về thị trường thu nhập cố định và ứng dụng của họ. Trong suốt cuốn sách, những khái niệm cơ bản được minh họa với các ví dụ số mà làm cho họ dễ dàng hơn để áp dụng từ một quan điểm thực tế. "Marti G. Subrahmanyam Charles E. Merrill Giáo sư Tài chính, Kinh tế và | Treasury STRIPS Continued 37 ward rate curve with views on rates by inspection or by more careful computations will reveal which bonds are cheap and which bonds are rich with respect to forecasts. It should be noted that the interest rate risk of longterm bonds differs from that of short-term bonds. This point will be studied extensively in Part Two. TREASURY STRIPS CONTINUED In the context of the law of one price Chapter 1 compared the discount factors implied by C-STRIPS P-STRIPS and coupon bonds. With the definitions of this chapter spot rates can be compared. Figure graphs the spot rates implied from C- and P-STRIPS prices for settlement on February 15 2001. The graph shows in terms of rate what Figure showed in terms of price. The shorter-maturity C-STRIPS are a bit rich lower spot rates while the longer-maturity C-STRIPS are very slightly cheap higher spot rates . Notice that the longer C-STRIPS appear at first to be cheaper in Figure than in Figure . As will become clear in Part Two small changes in the spot rates of longer-maturity zeros result in large price differences. Hence the relatively small rate cheapness of the longer-maturity C-STRIPS in Figure is magnified into large price cheapness in Figure . ----Spot from C-STRIPS Spot from P-STRIPS FIGURE Spot Curves Implied by C-STRIPS and P-STRIPS Prices on February 15 2001 38 BOND PRICES SPOT RATES AND FORWARD RATES The two very rich P-STRIPS in Figure one with 10 and one with 30 years to maturity derive from the most recently issued bonds in their respective maturity ranges. As mentioned in Chapter 1 and as to be discussed in Chapter 15 the richness of these bonds and their underlying P-STRIPS is due to liquidity and financing advantages. Chapter 4 will show a spot rate curve derived from coupon bonds shown earlier as Figure that very much resembles the spot rate curve derived from C-STRIPS. This evidence for the law of one price is deferred to that chapter which also .
