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Floating rate bond pricing and risk interest arbitrage method

A technology of interest rate and bonds, which is applied in the pricing and risk arbitrage fields of floating rate bonds, can solve problems such as many steps and not very intuitive, and achieve the effect of reducing data processing errors and helping investors make decisions

Inactive Publication Date: 2014-12-03
CHONGQING UNIV OF EDUCATION
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  • Abstract
  • Description
  • Claims
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AI Technical Summary

Problems solved by technology

This pricing method has many steps and is not very intuitive. Whether you can find comparable fixed-rate bonds is also a shortcoming of this method.

Method used

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Embodiment Construction

[0013] In order to make the purpose, technical solution and advantages of the present invention more clear. It should be understood, however, that these descriptions are exemplary only and are not intended to limit the scope of the present invention. Also, in the following description, descriptions of well-known structures and techniques are omitted to avoid unnecessarily obscuring the concept of the present invention.

[0014] This specific embodiment adopts following technical scheme: its method is as follows:

[0015] Step 1: Analyze the current national bond spot yield curve, calculate the implied forward benchmark interest rate through the no-arbitrage principle, and judge the interest rate hike expectation implied by the spot yield curve through the level of the forward benchmark interest rate. actually make a judgment on the corresponding investment value;

[0016] Step 2: Obtain a data processing request message containing bond information from the transaction proces...

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Abstract

The invention discloses a floating rate bond pricing and risk interest arbitrage method, which relates to the technical field of financial market activities. The floating rate bond pricing and risk interest arbitrage method comprises the following steps: analyzing according to an existing national debt on-demand yield curve, calculating an implicit long-term base rate through a no arbitrage principle, judging implicit interest rate raising anticipation in the on-demand yield curve through a long-term base rate level, and combining with practicality to judge corresponding investment value; obtaining a data processing request message containing bond information from a transaction processing server; according to the bond information, generating the actual daily rate approximate value of bond, and causing that the discount or premium distribution on the same day of a bond due date is zero; detecting whether the actual daily rate approximate value is smaller than a precision threshold; and according to the actual daily rate approximate value which is smaller than the precision threshold, generating the actual daily rate when the bond due date is zero. The implicit future base rate anticipation of the floating rate bond is directly obtained by virtue of a rate exchange market, data processing errors are reduced, and the method is visual and simple and is favorable for investors to make a decision.

Description

Technical field: [0001] The invention relates to a pricing and risk arbitrage method for floating-rate bonds, belonging to the technical field of financial market activities. Background technique: [0002] In the current Chinese bond market, floating rate bonds have become an important part of bond varieties. Since the economy has recovered from the financial crisis and developed vigorously, floating rate bonds have achieved considerable development in the past one or two years due to the expectation of interest rate hikes in the society. However, the pricing of floating-rate bonds in the Chinese market currently compares its yield with that of corresponding fixed-rate bonds to obtain the expected value of the future benchmark interest rate included in the floating-rate bond, and then compares the expected value with the actual To judge the correctness of the pricing of floating rate bonds by comparing investors' expectations. This pricing method has many steps and is not ...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/00
Inventor 朱永永
Owner CHONGQING UNIV OF EDUCATION
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