mpf5_定价Bond_yield curve_Spot coupon_duration_有效利率_连续复利_远期_Vasicek短期_CIR模型Derivatives_Tridiagonal_ppf

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分类专栏： pythonForFinance2 文章标签： big data

于 2022-08-02 05:41:32 首次发布

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本文介绍了固定收益证券，如政府和企业发行的债券，作为筹集资金的手段。内容涵盖收益率曲线、零息债券的估值、远期利率的计算、债券的到期收益率和价格、债券的久期和凸性，以及Vasicek短率模型在可赎回债券期权定价中的应用。此外，讨论了不同经济环境下收益率曲线的形态以及各种因素如何影响债券价格。

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Interest rates affect economic activities at all levels. Central banks, including the Federal Reserve (informally known as the Fed), target interest rates as a policy tool to influence economic activity. Interest rate derivatives利率衍生品 are popular with investors who require customized cash flow needs or specific views on interest-rate movements.

One of the key challenges that interest-rate derivative traders face is to have a good and robust pricing procedure for these products. This involves understanding the complicated behavior of an individual interest-rate movement. Several interest-rate models have been proposed for financial studies. Some common m