利率的期限结构

利率的期限结构与经济增长预期

Term structure of interest rates and economic growth expectations

本文用无套利方法分析有摩擦金融市场中利率的期限结构。

In this paper we analyse the term structure of interest rates in frictional markets by using the no-arbitrage approach .

这样的发展路径必定会对利率的期限结构和风险结构产生独特的影响。

Such development path should impact on the term structure and risk structure of interest rates .

利用我国国债市场的数据对市场利率的期限结构进行了实证研究。

, utilizing Chinese bond market data and do a empirical research for term structure of market interest rate .

固定收益部分本文使用现金流贴现模型，其关键点在于贴现率的选取，这取决于利率的期限结构。

The fixed income portion of this article use the discounted cash flow model and the key points are the selection of the discount rate and the term structure of interest rate .

定价方法主要采用静态现金流收益率法和静态利差法，其中，静态利差法由于考虑了利率的期限结构更为准确。

About pricing fixing methods , static cash flow yield and static spread are both applicable , but the latter is a little bit precise for it considers the term structure of interest rate .

利率是经济中最为重要的变量之一，利率的期限结构是指不存在违约风险时不同期限的零息债券到期收益率之间的关系。

Interest is a most important variable in economics . The nature of the risk-free interest rate change with the term change is called the term structure of interest .

因为利率波动率与到期期限有关，所以我们有必要研究利率的波动率与到期期限之间的关系，也即利率波动率的期限结构。

Because the volatility has something to do with the maturity , it is very necessary to study the relationship between volatilities and the maturities which is called term structure of volatilities .