翻訳と辞書 Words near each other ・ Affoltern im Emmental ・ Affonso Beato ・ Affonso Celso Pastore ・ Affonso Eduardo Reidy ・ Affine manifold (disambiguation) ・ Affine monoid ・ Affine plane ・ Affine plane (incidence geometry) ・ Affine pricing ・ Affine q-Krawtchouk polynomials ・ Affine representation ・ Affine root system ・ Affine shape adaptation ・ Affine space ・ Affine sphere ・ Affine term structure model ・ Affine transformation ・ Affine variety ・ Affine vector field ・ Affine-regular polygon ・ Affing ・ Affing House ・ Affinger Bach ・ Affinghausen ・ Affinia ・ Affinia Group ・ Affinia Hotel Collection ・ Affiniam ・ Affinine ・ Affinion Group Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Affine term structure model ： ウィキペディア英語版 Affine term structure model An affine term structure model is a financial model that relates zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is particularly useful for ''inverting the yield curve'' – the process of determining spot rate model inputs from observable bond market data. == Background == Start with a stochastic short rate model $r(t)$ with dynamics : $$ dr(t)=\mu(t,r(t)) \, dt + \sigma(t,r(t)) \, dW(t) and a risk-free zero-coupon bond maturing at time $T$ with price $p(t,T)$ at time $t$. If : $p(t,T)=F^T(t,r(t))$ and $F$ has the form : $F^T(t,r)=e^$ where $A$ and $B$ are deterministic functions, then the short rate model is said to have an affine term structure. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Affine term structure model」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.