INTEREST RATE RISK EVALUATION PROGRAM AND INTEREST RATE RISK EVALUATION APPARATUS

摘要

PROBLEM TO BE SOLVED: To provide a technique capable of properly evaluating an interest rate risk relevant to a bond the cash flow of which changes according to interest rate change.;SOLUTION: The interest rate risk evaluation program calculates a cash flow of a bond by using a mathematical model which represents a change over time of the interest rate, and calculates the effective duration of the bond by using the cash flow.;SELECTED DRAWING: Figure 2;COPYRIGHT: (C)2016,JPO&INPIT