摘要
在当前情况下 ,金融机构推出浮动利率产品已经很有必要。本文运用现代金融工程原理 ,讨论浮动利率产品的设计技术 ,同时还将对另一创新工具—反向浮动利率产品提出一些设计方法和估值思路。
Floating-Rating Securities are securities whose coupon rate is reset at specified date at some spread to a reference rate. They are important financial instrument in the capital markets and it is necessary for China today.According to the financial engineering principle,the designing technology is presented. In general, an inverse floater is created from a fixed-rate securities,so the designing of inverse floater is given.
出处
《预测》
CSSCI
2000年第6期34-37,共4页
Forecasting
基金
国家自然科学基金"九五"重大资助项目! ( 79790 130 )
关键词
浮动利率产品
设计技术
反向浮动利率票据
floating-rate securities
floating-rating note
(leverage)inverse floater
