| 摘要 |
PROBLEM TO BE SOLVED: To draw an appropriate spot-rate curve from data of a coupon-bearing bond.SOLUTION: A method includes: extracting, on every expiration date, one brand of coupon-bearing bond from an expiration date, an interest, a redemption amount, and a market price that includes a paid-out interest for each brand of coupon-bearing bond; generating a matrix enumerating a payment amount for every payment period for each brand of the extracted coupon-bearing bonds, from the expiration date, interest and redemption amount of the extracted brand of coupon-bearing bond; converting the generated matrix into a regular matrix, and calculating a discount rate for each brand of the extracted coupon-bearing bond at the expiration date, from the regular matrix and the matrix enumerating the market price of each brand of the extracted coupon-bearing bonds; calculating an interest rate for each brand of the extracted coupon-bearing bonds at the expiration date, from the discount rate at the expiration date; and calculating a curve from the interest rate at the expiration date, using a regression model. The regression model represents an interest rate, for a period applicable to an expiration date, with a weighted sum of plural basis functions. A central value of the basis function is set accordingly with distribution of periods equivalent to expiration dates. |
