haku: @indexterm ARBITRAGE PRICING THEORY / yhteensä: 66
viite: 30 / 66
| Tekijä: | Gregoire, P. |
| Otsikko: | La determination de la structure implicite des taux et un modele d'evaluation des titres a revenu fixe. |
| Lehti: | Gestion 2000
1990 : JUN-JUL, VOL. 6:3, p. 183-203 |
| Asiasana: | INTEREST RATES BOND MARKETS ARBITRAGE PRICING THEORY |
| Kieli: | fre |
| Tiivistelmä: | On bond markets the operators often decide with reference to the concept of mature return as a sales decision criterium. But it is possible to evaluate bond prices without referring to the mature return and to fix the implicit structure of the interest rates. The model which is developed is tested on the market of the American T-bonds and T-notes and the implicit rate structure is compared to the mature return structure. According to these tests the spot rate structure has been proved to be a decision criterium of arbitrage between different obligations. By the help of this model investors can compare their anticipations of the structure of spot rate with the structure induced by the market any time. |
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