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目前流行的期限结构计算方法大都以附息债券的到期收益率作为计算的基础,这并不是一个精确的算法。本文提供了一种用固定利率债券收益率推导精确期限结构的方法,并说明了在当前环境下使用该方法的局限性。
At present, most of the calculation methods of term structure are based on the calculation of the maturity rate of the coupon bonds, which is not an accurate algorithm. This article provides a way to derive an accurate deadline structure using fixed-rate bond yields and illustrates the limitations of using this method in the current environment.