| 摘要 |
PROBLEM TO BE SOLVED: To draw an appropriate spot-rate curve from data of a coupon-bearing bond.SOLUTION: A method includes: (A) extracting, for every expiration date, one brand of coupon-bearing bond from a data storage unit storing 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; (B) 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; (C) converting the generated matrix into a regular matrix, and calculating a discount rate of each brand of the extracted coupon-bearing bonds at the expiration date, from the regular matrix and the matrix including the market price of each brand of the extracted coupon-bearing bonds; (D) calculating an interest rate for each of the extracted brands at the expiration date, from the calculated discount rate at the expiration date; and (E) calculating a regression curve from the calculated interest rate at the expiration date. |
