现金流分解:浮动利率债券定价方法研究

Decomposition of Cash Flow:An analysis of the Pricing Method for Floating Rate Bonds

目前浮动利率债券的发行和交易都日趋活跃,但是对浮动利率债券的定价却还没有一个确定的方法。现行的算法或是过于简单,偏差太大,或是过于复杂,难以操作。本文通过对浮动利率债券未来现金流进行分解,提出一个相对简单但准确的计算算法。

At present, the issue and trade of floating rate bonds are increasingly becoming more active. However, there is no efficient method to pdce floating rate bonds. The present methods are either too simple to be precise or too complicated to be practical. This article presents a relatively simple but precise calculating method, accomplished by decomposing the cash flow of the floating rate bonds.