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固定收益工具定价

分析期限结构、利率、应计利息、债券价格、国库券、敏感度和收益率

利率工具是一种衍生品,其标的资产为以给定的利率支付或接收名义资金金额的权利。Financial Instruments Toolbox™ 还提供了额外的功能,用于为多种利率证券定价、计算敏感度和执行对冲分析。您可以使用定价模型(包括格型模型、蒙特卡罗模拟和多个闭式解)来对债券、浮动利率期票、普通掉期、期货、债券期权、摊销债券、利率顶和利率底进行定价。有关详细信息,请参阅

函数

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bndpricePrice fixed-income security from yield to maturity
bndspreadStatic spread over spot curve
bndtotalreturnTotal return of fixed-coupon bond
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond
prdiscPrice of discounted security
prmatPrice with interest at maturity
prtbillPrice of Treasury bill
acrubondAccrued interest of security with periodic interest payments
acrudiscAccrued interest of discount security paying at maturity
beytbillBond equivalent yield for Treasury bill
bndyieldYield to maturity for fixed-income security
discrateBank discount rate of security
tbl2bondTreasury bond parameters given Treasury bill parameters
tr2bondsTerm-structure parameters given Treasury bond parameters
ylddiscYield of discounted security
yldmatYield with interest at maturity
yldtbillYield of Treasury bill
bndconvpBond convexity given price
bndconvyBond convexity given yield
bnddurpBond duration given price
bndduryBond duration given yield
bndkrdurBond key rate duration given zero curve
cdaiAccrued interest on certificate of deposit
cdpricePrice of certificate of deposit
cdyieldYield on certificate of deposit (CD)
tbilldisc2yieldConvert Treasury bill discount to equivalent yield
tbillpricePrice Treasury bill
tbillrepoBreak-even discount of repurchase agreement
tbillval01Value of one basis point
tbillyieldYield on Treasury bill
tbillyield2discConvert Treasury bill yield to equivalent discount

示例和操作指南

Pricing and Computing Yields for Fixed-Income Securities

Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.

Computing Treasury Bill Price and Yield

Available functions for computing prices and yields on Treasury bills.

Term Structure of Interest Rates

Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.

Sensitivity of Bond Prices to Interest Rates

This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.

Bond Portfolio for Hedging Duration and Convexity

This example constructs a bond portfolio to hedge a portfolio of bonds.

Term Structure Analysis and Interest-Rate Swaps

This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.

概念

Treasury Bills Defined

Treasury bills are short-term securities sold by the United States Treasury.