3利率及其衍生产å“

3利率及其衍生产å“

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Unformatted text preview: | Ç 9 Ù û ) ¬ 5 û ) 7 K ó ä 6 1 n ù ? µ U [email protected] Ü H ã ² Æ 7 K Æ 2010 c ¢ G Æ Ï | Ç Ú Å { / ± Æ ´ ] 7 Ñ Ú / \ ü m ' u X Û 7 Ú G | E Ü Ó " | Ç ´ ] 7 / \ « ì ] 7/ Ñ ] 7 ' ~ " Å ´ ] 7/ \ u 1 « ì 3 5 A ½ m | G Å © ï ö £ ] 7/ Ñ ¤ A ½ ê £ ] 7 ¦ â " Å ± k ö Ø7 ± k Å ¼ u 1 « ì | G ] 7 § ¦ ± 3Å ½ | þ J c Ñ È Å ± ¼ 6 Ä 5 " Ú ± ' § Å ¦ Å < ¼ 6 Ä 5 " | Ç « a | E µ / Ñ ] 7 ¤ ¼  à ½ ö / \ ] 7 ¤ G Ñ ¤ £ d ¤ " | Ç Ò ´ ï þ ù  à ½ ¤ ¢ I " | Ç a . û u / \ ] 7 ö & ^ º x ¢ § p ö j º x é A X p | Ç " I Å | Ç (treasury rate) ¶ LIBOR(London Interbank Offer Rate) Ú LIBID(London Interbank Bid Rate) ¶ Euribor(Euro interbank offered rate) Ú Euribid ¶ £ © | Ç (repo rate) µ £ © (overnight repo)/ Ï £ © (term repo) | Ç ¶ Å ^ ± Ï (maturity) § Ò ´ 7 8 F Ï ¶ A ~ µ [ È I Å (perpetual bond) ! © Ï ª (serial bond) ¡ (face value/par value) § ò 8 7 ê þ ¶ ¦ ¡ | E (coupon rate) Ú | G m £ ª Ç ¤§ Å 5 ½ 3 8 7 c | G ± m Ú ê þ § Fixed rate bonds § Floating rate notes § Inflation linked bonds(Treasury Inflation-Protected Securities) ¶ Å & ^ ' & E µ ) u 1 ö § G ` k ? O § ´ Ä k- Ù ú ¢ " ù & E û ½ Å & ^ µ ? ¶ ´ Ä ± × £ (callable or not); Ù ¦ & E µ ´ Ä ú m u 1 § ´ Ä P ¶ § é ú i Å 5 ù § k ´ Ä = (convertable) ¶ I Å ã 1 µ I Å § d ( 5 µ Ú Õ Å ) ~ Å U u 1 Ì N y © µ I [ Å (government bond: treasury bill,note and bond) § · II Å © ³ y ª § à P ¶ Ú P â ª I Å ¶ ú i Å (corporate bond) · I 1 g u 1 ú i Å µ 07 > ú i Å ¶ / ? Å (municipal bond) Å ~ £ E ¦ Ú 7 © l ¢ ´ (Separate Trading of Registered Interest and Principal Securities (or STRIPS)) ¶ Å d Ï À ) ä Ç Ú ² L / ³ r 3 X ' X " | Ç ÿ þ | Ç z c 10 % § Ø Ó E | O ª Ç Â Ã ( J ' µ ã 2 µ Ø Ó E | O ª Ç ( J ' ë Y E | í e c | Ç r , ( ≤ r ≤ 1 ) § ± E | O E t c § E | ª Ç z c O E n g § K k ( 1 + r n ) nt 4 lim n →∞ ( 1 + r n ) nt lim n →∞ ( 1 + r n ) n r rt = e rt ù ´ « ~ Ñ ë Y E | { " ë Y E | í £ Y ¤ , Ñ ë Y E | { µ P x = ( 1 + r n ) nt ln x = nt ln ( 1 + r n ) ln x = nt ln ( 1 + r n ) r n r n ln x = rt ln ( 1 + r n ) r n Ï lim n →∞ ln ( 1 + r n ) r n = 1 § ¤ ± lim n →∞ ln x = rt lim n →∞ x = e rt d E | b R c ´ ½ ë Y E | c | Ç § N ¦ Ñ d z c O E m g E | c | Ç R m º Ä l £ 7 m © § n c   k 1 × e Rcn = 1 × ( 1 + R m m ) mn e Rc = 1 × ( 1 + R m m ) m R c = m ln ( 1 + Rm m ) R m = m ( e Rc / m- 1 ) d E | £ Y 1 ¤ ~ 1 µ c | Ç 10 % U c O E | d ë Y E || Ç ´ õ ¨ º R c = m ln ( 1 + R m m ) = 2 ln ( 1 + . 1 2 ) = 9 . 758 % ~ 2 µ § d ´ / z c 8 % ë Y E | / z c O E 4 g c | Ç ´ õ ¨ º R m = m ( e Rc / m- 1 ) = 4 ( e . 08 4- 1 ) = 8 . 08 % d E | £ Y 1 ¤ ~ 1 µ c | Ç 10 % U c O E | d ë Y E || Ç ´ õ ¨ º R c = m ln ( 1 + R m m ) = 2 ln ( 1 + . 1 2 ) = 9 . 758 % ~ 2 µ § d ´ / z c 8 % ë Y E | / z c O E 4 g c...
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This note was uploaded on 06/12/2011 for the course ECON 101 taught by Professor Dee during the Spring '10 term at Andhra University.

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3利率及其衍生产å“

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