瞬时利率

本文按照相关性原则和交易最频繁、成交量最大原则进行了数据选择，找到了瞬时利率的最佳替代利率R007。

According to the correlation principle and selecting the most frequently traded , largest traded volume item , this article finds that R007 is the best proxy for instantaneous interest rate .

瞬时利率的运动变化决定了整个利率期限结构的运动变化。

The instantaneous interest rate dynamics determines the whole term structure of interest rate .

马尔可夫状态转换加随机波动瞬时利率模型实证研究

An Empirical Study of Stochastic Volatility Diffusion Model of Short-term Interest Rates with Markov-Switching

但是瞬时利率在现实生活中并不存在，往往要用短期利率进行替代。

Unfortunately , the instantaneous interest rate does not exist in real world , so we must use short-term interest rates as its proxy .

对瞬时利率建立模型，以便在此基础上方便合理地为利率衍生产品定价，以及对冲利率风险，是利率期限结构的中心问题。

It is the key of the term structure of interest rates to build models for instantaneous interest rate as to price interest rate derivatives easily and reasonably and hedge interest rate risk .

其次，市场模型是直接建立在可观测的市场利率之上的，省去了由瞬时短期利率或瞬时远期利率得到市场利率的过程。

Second , the market model is directly based on observable market interest rates above , eliminating the process of transforming short-term interest rate or instantaneous forward rate to the market interest rate .