2、现在S1<S2,那分子的par rate可以看成是S1和S2的平均数,换句话说介于S1和S2之间,否则永远取不到100,比如:S1<S2<Par rate,那折现求和一定大于100;或者par rate<S1<S2,那折现求和一定小于100。 3、所以par rate介于S1和S2之间,换句话说S1<par rate2<S2,你可以把par rate看成是各期spot rate的平均值,...
嗨,努力学习的PZer你好: 当spot rate期限结构是downward时,YTM会大于spot rate。 par rate是使债券价格恰好等于面值的折现率,走势和spot rate是一致的,在spot rate期限结构向下倾斜时,par rate会比spot rate高一些,但也是向下倾斜。 ---努力的时光都是限量版,加油!添加评论 0 0 1 回答 0 关注 674 浏览 我...
零息利率(zero rate)/即期利率(spot rate):今天投入资金并保持n年后所得的收益率 平价收益率(par rate):使债券价格等于面值的收益率。 远期利率(forward rate):当前零息利率所隐含的对应于将来时间区间的利率 详细举例: n年零息利率:有时候也称为n年期的即期利率(spot rate),或者n年期的零息率(zero rate...
都不是。 因为S1<par rate3<S3,所以可以将par rate看成是spot rate的一个平均数,具体数值更靠近S3,因为第三期现金流最多,其权重占比最大,仅此而已。 ---加油吧,让我们一起遇见更好的自己!添加评论 0 0 1 回答 0 关注 408 浏览 我要回答 关注问题 相关问题 证书课 CFA Level I CFA Level II CFA...
你如果认真看了我解释的定义完全可以明白其中的数学关系。
一、Term StructureSpot rate:从现在看未来的rate,又叫zero-coupon rate或者zero-rate。Discount factor: P(j)=\frac{1}{(1+s(j))^j}2. Forward rate: f(j,k) :j为起点,时间跨度为k的forward rate。Discount…
then solve for the one-year discount rate (remember that these yields are BEY, that we’re discounting each individual payment by the spot rate for its maturity, and that a bond that pays a par coupon rate sells at par ($1,000)). If the annual coupon rate is 2.40%, then the annual...
Lights that utilize sub-standard materials and have poor heat dissipation tend to degrade at a faster rate. Nonetheless, it is difficult to determine precisely when this shift will begin to occur. Therefore, a spectral device is employed to monitor any color shift in the LED. Photo by Vlad ...
between the forward foreign exchange rate and the spot rate. Intrinsic value of an option The amount by which an option is in-the-money. An option which is not in-themoney has no intrinsicvalue. Related: in-the-money. Intrinsic value of a firm ...
1 + (x/2) = √1.0232 x/2 = 1.0115 – 1 x = 2.302% This is the zero-coupon rate for a one-year bond or the one-year spot rate. We can calculate the spot rate for the other bonds maturing in 18 months and two years using this process....