收益率和远期利率

An Introduction to Derivative Securities, Financial Markets, and Risk Management Pub Date : 1900-01-01 DOI:10.1142/9781944659561_0021

R. Jarrow, Arkadev Chatterjea

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引用次数: 0

摘要

以下部分包括:介绍延伸21.1:房屋所有权和衍生品收益率重新访问零收益率和收益率曲线延伸21.2:预期假设传统方法持续时间修改持续时间套期保值应用和局限性远期利率的定义理解远期利率使用远期利率延伸21.3:从票面债券价格计算远期利率基本利率衍生品合约简史远期利率协议利率期货延伸21.4:国债期货远期利率与联邦储备银行利率的等价性案例总结问题与问题

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Yields and Forward Rates

The following sections are included:IntroductionEXTENSION 21.1: Home Ownership and DerivativesYieldsRevisiting ZerosYields and the Yield CurveEXTENSION 21.2: The Expectations HypothesisThe Traditional ApproachDurationModified Duration HedgingApplications and LimitationsForward RatesThe DefinitionUnderstanding Forward RatesUsing Forward RatesEXTENSION 21.3: Computing Forward Rates from Coupon Bond PricesThe Basic Interest Rate Derivatives ContractsA Brief HistoryForward Rate AgreementsInterest Rate FuturesEXTENSION 21.4: Treasury FuturesThe Equivalence between Forward and FRA RatesSummaryCasesQuestions and Problems

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An Introduction to Derivative Securities, Financial Markets, and Risk Management

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