prix zero coupon

The Canadian market for zero-coupon bonds

The Government of Canada does not issue zero-coupon bonds, nor do most other issuers in Canada However, a type of zero-coupon bond known as a stripped zero-coupon bond is available from Canadian investment dealers A stripped zero-coupon bond is created when an investment dealer separates a conventional bond into its constituent parts: 1

Pricing du taux d’intérêt des caplets avec le modèle de taux G2++

formules sont explicites pour les obligations et taux zéro-coupon et donc la simulation est aisée Le premier défaut du modèle de Vasicek est dû à son caractère gaussien qui ne garantit pas la positivité du taux court r (t) Enfin, la courbe des taux zéro-coupon trouvée à partir du modèle n’est pas assez souple pour reproduire toutes

An Empirical Analysis of the Canadian Term Structure of Zero

Zero-coupon interest rates are the fundamental building block of ﬁxed-income mathematics, and as such have an extensive number of applications in both ﬁnance and economics The risk-free government zero-coupon term structure is, however, not directly observable and needs to be generated from the prices of marketable, coupon-bearing bonds

Pricing Callable Bonds - DiVA portal

Zero-coupon bonds are the kinds of discount bonds which are sold at a price below the face value at time t and pay the face value at the time of maturity T We deﬁne the value of the zero-coupon bond asB(t,T) Then, we know that B(t,T) is the value of the bond at time t and B(T,T) = 1 By this deﬁnition, the bond value will keep

2014-2015

Caplets and zero-coupon puts One easily sees that a caplet (with maturity T i-1, payment in T i , strike K) can be seen up to some multiplicative constant, as a European put option of maturity T i-1 and strike X on a zero-coupon with maturity date T i and unit notional amount, with 1 More precisely: 1 ( ) 1 K T T i X caplet(T i 1,T

Introduction to Options

• Purchase one risk-free zero coupon bond with a flfXface value of X • Purchase one call option on stock with exercise price X • Draw the payoff at maturity diagram E Zivot 20056 R W Parks/L F Davis 2004 Bull Spread Strategy • Buy 1 call option on MSFT stock with exercise price X1 Cost is CCost is C1