PRICE CALCULATING METHOD FOR INTEREST SWAP INCLUDING PREPAYMENT RISK, PROGRAM, AND RECORDING MEDIUM

摘要

PROBLEM TO BE SOLVED: To construct an evaluation model and an evaluation system for an interest swap whose object capital is indeterminate.;SOLUTION: An evaluation model for the prepayment probability expressing what probability prepayment in a specified period occurs and an evaluation model for an interest swap that takes its risk into consideration are constructed to calculate such a swap rate that the risk of an interest swap like that can be avoided.;COPYRIGHT: (C)2003,JPO