Ichiue, Hibiki and Yoichi Ueno, 2007, "Equilibrium Interest Rates and the Yield Curve in a low Interest Rate Environment," Working Paper 2007-E-18, Bank of Japan.Ichiue, H. & Y. Ueno (2007). Equilibrium interest rates and the yield curve in a low interest rate environment. Working ...
Yield Curve and Interest Rate Swaps 4 μ-r γσ 2 μ-r γσ 2 μ-r γσ 2 Yield to Maturity and Prices on Zero- γσ 2 γσ 2 γσ 2 y Coupon Bonds 9 Yield Curve and Interest Rate Swaps 5 μ-r γσ 2 μ-r γσ 2 μ-r γσ 2 Two 2 Year Investment Programs γσ 2...
Over the past quarter century, mathematical modeling of the behavior of the interest rate and the resulting yield curve has been a topic of considerable interest. In the continuous-time modeling of stock prices, one only need specify the diffusion term, because the assumption of risk-neutrality f...
四、利率的影响因素:Inflation通货膨胀和Yield Curve收益曲线 1、Inflation and Real vs Nominal Rates 名义利率:是央行或其它提供资金借贷的机构所公布的未调整通货膨胀因素的利率,即指包括补偿通货膨胀(包括通货紧缩)风险的利率。 实际利率:是指剔除通货膨胀率后储户或投资者得到利息回报的真实利率,the rate of growth...
Heidari, M., and Wu, L., (2003), "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives", working paper, City University of New York.Term structure of interest rates, yield curve residuals, and the consistent pricing of interest ...
A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, using different yield curves at the same time requires a reformulation of most of the basic assumptions made in interest rate models. In this paper we discuss market ...
This premium reflects the risk of buying a long term bond. This is the risk relating to future interest rate changes, and therefore price changes in the bond. There is seen therefore to be a risk-return trade-off. This theory is used to explain the ‘normal’ shape of the yield curve....
economy. That interest-rate difference (also called the spread) is essentially a measure of the shape of the yield curve, as it represents the difference between a long-term interest rate (the 10-year treasury bond) and a short-term rate (the federal funds rate). If the spread is ...
Spot interest rate for maturity of X years refers to the yield to maturity on a zero-coupon bond with X years till maturity. They are used to (a) determine the no-arbitrage value of a bond, (b) determine the implied forward interest rates through the process called bootstrapping and (...
The Treasury yield curve reflects the cost of U.S. government debt and is therefore ultimately a supply-demand phenomenon. Supply-related factors such as central bank purchases and fiscal policy, and demand-related factors, such as the fed funds rate, the trade deficit, regulatory policies, and...