浅析新型浮动利率债券的定价

Pricina of new floatina rate bonds

受基准利率期限与债券的付息周期在时间长度上不一致等因素的限制,目前国内银行间市场对浮息债的定价仍有一定的困难,该文受浮息债现金流分解之思路的启发,通过对新型浮息债现金流的重构,来尝试对这一类型的浮息债进行定价。

At present, the domestic interbank market still has troubles in pricing floating rate bonds, due to the restriction of such factors as the disparity between benchmark interest rate term and interest payment frequency of bonds. Enlightened by the idea of decomposing the cash flow of floating rate bonds, this paper tries to price new floating rate bonds by reconstructing the cash flow of such bonds.