翻訳と辞書 Words near each other ・ Short-legged ・ Short-legged ground roller ・ Short-legged horned toad ・ Short-lived Ministry ・ Short-lived Ottoman provinces ・ Short-maned sand-eel ・ Short-nosed bandicoot ・ Short-nosed green frog ・ Short-nosed harvest mouse ・ Short-nosed snake ・ Short-nosed unicornfish ・ Short-palated fruit bat ・ Short-range agent communications ・ Short-range ballistic missile ・ Short-range endemic invertebrates ・ Short-rate model ・ Short-snout pugolovka ・ Short-snout sand-dragonet ・ Short-snouted elephant shrew ・ Short-snouted seahorse ・ Short-spined crown-of-thorns starfish ・ Short-spired elimia ・ Short-tail lanternshark ・ Short-tail nurse shark ・ Short-tail stingray ・ Short-tailed albatross ・ Short-tailed antthrush ・ Short-tailed babbler ・ Short-tailed bandicoot rat ・ Short-tailed bat 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 Short-rate model ： ウィキペディア英語版 Short-rate model A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written $r\_t\; \backslash ,$. ==The short rate== Under a short rate model, the stochastic state variable is taken to be the instantaneous spot rate.〔(''Short rate models'' ), Prof. Andrew Lesniewski, NYU〕 The short rate, $r\_t\; \backslash ,$, then, is the (continuously compounded, annualized) interest rate at which an entity can borrow money for an infinitesimally short period of time from time $t$. Specifying the current short rate does not specify the entire yield curve. However no-arbitrage arguments show that, under some fairly relaxed technical conditions, if we model the evolution of $r\_t\; \backslash ,$ as a stochastic process under a risk-neutral measure $Q$ then the price at time $t$ of a zero-coupon bond maturing at time $T$ with a payoff of 1 is given by :$P(t,T)\; =\; \backslash mathbb^Q\backslash left(\backslash exp\; \backslash right|\; \backslash mathcal\_t\; \backslash right)$ where $\backslash mathcal$ is the natural filtration for the process. The interest rates implied by the zero coupon bonds form a yield curve or more precisely, a zero curve. Thus specifying a model for the short rate specifies future bond prices. This means that instantaneous forward rates are also specified by the usual formula :$f(t,T)\; =\; -\; \backslash frac\; \backslash ln(P(t,T)).$ 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「Short-rate 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.