When yields in the marketplace rise above the coupon rate at a given point in time, the price of the bond falls so that an investor buying the bond can realizes capitalappreciation. The appreciation represents a form of interest to a new investor to compensate for a coupon rate that is lo...
Each bond must come with apar valuethat is repaid at maturity. Without the principal value, a bond would have no use. The principal value is to be repaid to the lender (the bond purchaser) by the borrower (the bond issuer). A zero-coupon bond pays no coupons but will guarantee the pr...
The Zero-Coupon bond pricing models are studi... Y Zhang,W Gao - 《Basic Sciences Journal of Textile Universities》 被引量: 1发表: 2009年 An inverse problem of zero-coupon bond pricing The problem of zero-coupon bond pricing can be converted into a partial differential equation.However,...
Lie-Algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. Journal of Applied Mathematics, 2013, http://dx.doi.org/10.1155/2013/276238.Lo, C.F.: Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models. J. Appl. Math. 2013...
也就是说,11.8%是这笔投资承诺的潜在回报率。需要注意的是,定义中的“内部”的意思是不包括金融风险等外部因素,而现实中存在违约风险。 spot rate: the annualized YTM on a zero-coupon government bond. 即期利率针对于零息债券,利随本清,只在债券到期时本息一起支付,期间不支付利息。
A zero-coupon convertible is a fixed income instrument that combines a zero-coupon bond and a convertible bond.
We propose a pricing formula for a defaultable zero-coupon bond with imperfect information under a regime switching model using a structural form of credit risk modelling. This paper provides explicit representations of risky debt under regime switching with a constant interest rate and risky debt ...
1) Zero-Coupon bond pricing equations Zero-Coupon bond pricing方程2) Bond number Bond数 1. In this paper,an analytical solution is presented for the Rayleigh-Taylor instability of a viscous liquid drop at high Bond numbers. 给出了高Bond数下黏性液滴表面Rayleigh-Taylor线性不稳定性的分析解,...
Zero-Coupon Bonds A zero-coupon bond is a bond without coupons, and its coupon rate is 0%. The issuer only pays an amount equal to the face value of the bond at the maturity date. Instead of paying interest, the issuer sells the bond at a price less than the face value at any tim...
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of the price function by probabilistic methods. Then we ...