(The par curve is important as the yields on bonds selling at par are likely to be more representative of the underlying term discounting rates implicit in the market. Bonds selling at a substantial discount or premium to par are often subject to special forces which distort their prices. )
请问市场认可的 1 年后的 1 年利率是多少？ At what expected rate can the market agree?
答案是 9.01 % （为什么？）
预期理论主张远期利率是预期未来利率 Rate expectation asserts that the forward rates represent the expected future rates.
Thus the entire term structure at a given time reflects the market ’s current expectations of the family of future short-term rates.
如果此理论成立的话，正向（反向）曲线意味市场预期利率将升高（下降） Under this view, upward (downward) slope curve indicates market expects short-term rates to rise (fall).
(Ans: If long-term bonds that have higher yields than the short-term bond yield then long-term bonds are expected to suffer capital losses that offset their yield advantage.)
如果是对的话，那么利率曲线的形状应该是有时正向有时成反向。那为什么我们一般观察到的利率曲线 90% 的时候是正向的？ If pure expectation is true, then sometimes the yield curves will be upward sloping and sometimes downward sloping. But why 90% of the time the yield curve is upward sloping.
如果是对的话，那么远期利率能准确的预测未来利率。可能吗？ If pure expectation is true, then forward rate is the perfect predictor of future interest rate. If this is the case, then holding any maturity of bonds is irrelevant. No risk!
纯预期理论 Pure Expectation
流动性理论 Liquidity Theory
投资偏好流动性，因此如果要他们持有长期债券，他们要求在回报上得到一些溢价 (premium) In order to induce these investors to hold longer term bonds, they must be compensated with a liquidity premium.
同样假设一投资者面对两只债券 : A: 1 年期 B: 2 年期
再假设他的投资期限为 2 年。
流动性理论 Liquidity Theory
虽然他的期限为 2 年，但他还是会选择 1 年期债券因为他不喜欢被“锁住” This is in case funds are needed in the middle of investment, ie., investors dislike being “lockup”.
因此如果要他买 B ， B 债券的回报率必须带有溢价。 He will choose Bond A unless he is compensated enough to buy Bond B.
假设他想在一年后把 B 债券卖出，他可能面对价格风险。 If the investor chooses Bond B and in case he wants to liquidate it in one year time, he will face price risk (the bond has another year to maturity).
A 债券提供了再投资的灵活性 Bond A gives flexibility (liquidity)
曲线必须平行来对冲负持有 For the trade to make money, capital gains caused by future flattening of the spot curve must offset the negative carry.
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.