{"id":208404,"date":"2026-10-09T18:40:00","date_gmt":"2026-10-09T09:40:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208404"},"modified":"2026-09-25T19:37:55","modified_gmt":"2026-09-25T10:37:55","slug":"swaps-multicurve","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/swaps-multicurve\/","title":{"rendered":"\u7b2c93\u56de \u30b9\u30ef\u30c3\u30d7\u306e\u8a55\u4fa1\u3068\u30de\u30eb\u30c1\u30ab\u30fc\u30d6 \u2015 2008\u5e74\u4ee5\u964d\u306e\u5e38\u8b58"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c9\u90e8 \u7b2c93\u56de \/ \u524d\u63d0: \u7b2c11\u56de\u3001\u7b2c12\u56de\u3001\u7b2c92\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u3068\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u3092\u3001\u5272\u5f15\u306e\u30ab\u30fc\u30d6\u3068\u63a8\u5b9a\u306e\u30ab\u30fc\u30d6\u3092\u5206\u3051\u3066\u8a08\u7b97\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 1\u672c\u306e\u30ab\u30fc\u30d6\u3067\u5272\u5f15\u3068\u63a8\u5b9a\u3092\u3059\u308b\u3068\u5024\u304c\u305a\u308c\u308b<\/h2>\n\n\n\n

\u3053\u3053\u307e\u3067\u306e\u56de\u3067\u3001\u5272\u5f15\u4fc2\u6570\u3068\u3044\u3046\u9053\u5177\u3092\u624b\u306b\u5165\u308c\u307e\u3057\u305f\u3002\u5c06\u6765\u306e\u304a\u91d1\u3092\u4eca\u306e\u4fa1\u5024\u306b\u76f4\u3059\u306b\u306f\u3001\u9069\u5207\u306a\u30ab\u30fc\u30d6\u304b\u3089\u5272\u5f15\u4fc2\u6570\u3092\u8aad\u307f\u53d6\u3063\u3066\u639b\u3051\u308c\u3070\u3088\u3044\u3002\u50b5\u5238\u306e\u5024\u6bb5\u3082\u3001\u5148\u6e21\u5951\u7d04\u306e\u5024\u6bb5\u3082\u3001\u3053\u306e\u539f\u7406\u3067\u8a08\u7b97\u3057\u3066\u304d\u307e\u3057\u305f\u3002<\/p>\n\n\n\n

\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u3082\u540c\u3058\u539f\u7406\u3067\u8a08\u7b97\u3067\u304d\u308b\u306f\u305a\u3067\u3059\u3002\u56fa\u5b9a\u91d1\u5229\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3068\u5909\u52d5\u91d1\u5229\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u4ea4\u63db\u3059\u308b\u5951\u7d04\u3067\u3059\u304b\u3089\u3001\u305d\u308c\u305e\u308c\u306e\u5217\u3092\u5272\u308a\u5f15\u3044\u3066\u8db3\u3057\u3001\u5dee\u3092\u53d6\u308c\u3070\u3088\u3044\u3002\u3068\u3053\u308d\u304c\u300c\u3069\u306e\u30ab\u30fc\u30d6\u3067\u5272\u308a\u5f15\u304f\u304b\u300d\u3092\u9593\u9055\u3048\u308b\u3068\u3001\u7b54\u3048\u304c\u305a\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

\u305f\u3068\u3048\u30705\u5e74\u306e\u30b9\u30ef\u30c3\u30d7\u3067\u3001\u5909\u52d5\u91d1\u5229\u3092\u63a8\u5b9a\u3059\u308b\u30ab\u30fc\u30d6\u3068\u5272\u5f15\u306b\u4f7f\u3046\u30ab\u30fc\u30d6\u306e\u9593\u306b\u5e74\u9650\u3054\u3068\u306b30\u304b\u308935\u30d9\u30fc\u30b7\u30b9\u30dd\u30a4\u30f3\u30c8\u307b\u3069\u306e\u5dee\u304c\u3042\u308b\u3068\u3057\u307e\u3059\u3002\u305d\u308c\u3092\u7121\u8996\u3057\u30661\u672c\u306e\u30ab\u30fc\u30d6\u3067\u5168\u3066\u3092\u307e\u304b\u306a\u3046\u3068\u3001\u5951\u7d04\u6642\u306b\u640d\u5f97\u304c\u30bc\u30ed\u306b\u306a\u308b\u56fa\u5b9a\u91d1\u5229\u304c\u7d040.13\u30d9\u30fc\u30b7\u30b9\u30dd\u30a4\u30f3\u30c8\u305a\u308c\u307e\u3059\u3002\u60f3\u5b9a\u5143\u672c\u304c100\u5104\u5186\u306a\u3089\u3001\u3053\u306e\u5c0f\u3055\u306a\u305a\u308c\u306f\u304a\u3088\u305d60\u4e07\u5186\u306e\u8a55\u4fa1\u5dee\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

2008\u5e74\u306e\u91d1\u878d\u5371\u6a5f\u306e\u524d\u306f\u3001\u3053\u306e\u5dee\u306f\u7121\u8996\u3067\u304d\u308b\u307b\u3069\u5c0f\u3055\u304f\u3001\u30ab\u30fc\u30d6\u306f1\u672c\u3067\u5341\u5206\u3067\u3057\u305f\u3002\u5371\u6a5f\u306e\u5f8c\u3001\u9280\u884c\u3069\u3046\u3057\u306e\u4fe1\u7528\u30ea\u30b9\u30af\u304c\u610f\u8b58\u3055\u308c\u3001\u671f\u9593\u306e\u9055\u3046\u91d1\u5229\u306e\u9593\u306b\u6052\u5e38\u7684\u306a\u30b9\u30d7\u30ec\u30c3\u30c9\u304c\u73fe\u308c\u307e\u3057\u305f\u3002\u4ee5\u6765\u3001\u5272\u5f15\u306b\u4f7f\u3046\u30ab\u30fc\u30d6\u3068\u5909\u52d5\u91d1\u5229\u3092\u63a8\u5b9a\u3059\u308b\u30ab\u30fc\u30d6\u3092\u5206\u3051\u308b\u300c\u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u300d\u304c\u6a19\u6e96\u306b\u306a\u3063\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u56de\u3067\u306f\u3001\u306a\u305c\u30ab\u30fc\u30d6\u3092\u5206\u3051\u306a\u3044\u3068\u8a08\u7b97\u304c\u5408\u308f\u306a\u304f\u306a\u308b\u306e\u304b\u3092\u3001\u5f0f\u306e\u4e0a\u3067\u78ba\u304b\u3081\u307e\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u56fa\u5b9a\u3068\u5909\u52d5\u3092\u4ea4\u63db\u3059\u308b\u5951\u7d04\u306e\u5024\u6bb5<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u3068\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u3092\u3001\u5272\u5f15\u306e\u30ab\u30fc\u30d6\u3068\u63a8\u5b9a\u306e\u30ab\u30fc\u30d6\u3092\u5206\u3051\u3066\u8a08\u7b97\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u3068\u306f\u3001\u540c\u3058\u60f3\u5b9a\u5143\u672c\u306b\u5bfe\u3057\u3066\u56fa\u5b9a\u91d1\u5229\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc<\/strong>\u3068\u5909\u52d5\u91d1\u5229\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc<\/strong>\u3092\u4ea4\u63db\u3059\u308b\u5951\u7d04\u3067\u3059\u3002\u4e00\u65b9\u304c\u6bce\u671f <\/span>s<\/span><\/span><\/span><\/span><\/eq> \u3068\u3044\u3046\u56fa\u5b9a\u5229\u7387\u3092\u6255\u3044\u3001\u4ed6\u65b9\u304c\u5e02\u5834\u3067\u6c7a\u307e\u308b\u5909\u52d5\u5229\u7387\u3092\u6255\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u306f\u3001\u307e\u305a\u5358\u4e00\u30ab\u30fc\u30d6\u3067\u306e\u8a55\u4fa1\u3092\u5b8c\u6210\u3055\u305b\u3001\u6b21\u306b\u5272\u5f15\u306b\u4f7f\u3046\u30ab\u30fc\u30d6\u3068\u5909\u52d5\u91d1\u5229\u3092\u63a8\u5b9a\u3059\u308b\u30ab\u30fc\u30d6\u3092\u5206\u3051\u308b<\/strong>\u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u306e\u67a0\u7d44\u307f\u3067\u4f55\u304c\u5909\u308f\u308b\u304b\u3092\u793a\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u8a3c\u660e\u3059\u308b\u3053\u3068<\/h3>\n\n\n\n
    \n\n
  • THM-SW-1<\/strong> \u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u306f\u3001\u56fa\u5b9a\u5074\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u73fe\u5728\u4fa1\u5024\u3068\u5909\u52d5\u5074\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u73fe\u5728\u4fa1\u5024\u306e\u5dee\u3067\u6c7a\u307e\u308a\u307e\u3059\u3002<\/li>\n\n\n
  • THM-SW-2<\/strong> \u5951\u7d04\u6642\u306b\u4fa1\u5024\u304c 0 \u306b\u306a\u308b\u56fa\u5b9a\u91d1\u5229\uff08\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\uff09\u306f\u3001\u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024\u3092\u56fa\u5b9a\u5074\u306e\u5e74\u91d1\u56e0\u5b50\u3067\u5272\u3063\u305f\u5024\u3068\u3057\u3066\u4e00\u610f\u306b\u5b9a\u307e\u308a\u307e\u3059\u3002<\/li>\n\n\n
  • THM-SW-3<\/strong> \u5272\u5f15\u30ab\u30fc\u30d6\u3068\u30d5\u30a9\u30ef\u30fc\u30c9\u63a8\u5b9a\u30ab\u30fc\u30d6\u3092\u5206\u3051\u308b\u3068\u3001\u5358\u4e00\u30ab\u30fc\u30d6\u3067\u6210\u308a\u7acb\u3063\u3066\u3044\u305f\u5909\u52d5\u5074\u306e\u7c21\u7565\u5f0f\u304c\u4f7f\u3048\u306a\u304f\u306a\u308a\u307e\u3059\u3002<\/li>\n\n<\/ul>\n\n\n\n

    2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 2\u3064\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u5217<\/h2>\n\n\n\n

    \u30b9\u30ef\u30c3\u30d7\u306e\u4eee\u5b9a\u3092\u5168\u3066\u66f8\u304d\u51fa\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \n
    • \u652f\u6255\u65e5<\/strong>: <\/span>t<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>t<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>\u2026<\/span><\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u65e2\u77e5\u306e\u78ba\u5b9a\u65e5\u3002\u7c21\u5358\u306e\u305f\u3081\u7b49\u9593\u9694\u3067\u3001\u8a08\u7b97\u671f\u9593\u3092 <\/span>\u03c4<\/span><\/span>=<\/span><\/span><\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002<\/li>\n
    • \u60f3\u5b9a\u5143\u672c<\/strong>: <\/span>N<\/span><\/span><\/span><\/span><\/eq>\u3002\u5b9f\u969b\u306e\u53d7\u6e21\u3057\u306f\u306a\u304f\u3001\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u8a08\u7b97\u306b\u4f7f\u3046\u3060\u3051\u3067\u3059\u3002<\/li>\n
    • \u56fa\u5b9a\u5074<\/strong>: \u6bce\u671f <\/span>s<\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>N<\/span><\/span><\/span><\/span><\/eq> \u3092\u652f\u6255\u3044\u307e\u3059\u3002<\/span>s<\/span><\/span><\/span><\/span><\/eq> \u306f\u5951\u7d04\u3067\u6c7a\u3081\u305f\u56fa\u5b9a\u5229\u7387\u3067\u3059\u3002<\/li>\n
    • \u5909\u52d5\u5074<\/strong>: \u6bce\u671f <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>N<\/span><\/span><\/span><\/span><\/eq> \u3092\u652f\u6255\u3044\u307e\u3059\u3002<\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>f<\/span>(<\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f\u6642\u523b <\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\u3067\u3001\u6642\u523b 0 \u304b\u3089\u898b\u305f\u5024\u3092\u4f7f\u3044\u307e\u3059\u3002<\/li>\n
    • \u5272\u5f15<\/strong>: \u5404\u6642\u70b9 <\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u5272\u5f15\u4fc2\u6570 <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3067\u73fe\u5728\u4fa1\u5024\u306b\u76f4\u3057\u307e\u3059\u3002<\/li>\n
    • \u5358\u4e00\u30ab\u30fc\u30d6\uff082008\u5e74\u4ee5\u524d\uff09<\/strong>: \u5272\u5f15\u3082\u5909\u52d5\u91d1\u5229\u306e\u63a8\u5b9a\u3082\u540c\u3058\u30ab\u30fc\u30d6\u3092\u4f7f\u3044\u307e\u3059\u3002<\/li>\n
    • \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\uff082008\u5e74\u4ee5\u964d\uff09<\/strong>: \u5272\u5f15\u306f\u7121\u62c5\u4fdd\u7fcc\u65e5\u7269\u91d1\u5229\uff08OIS\uff09\u306e\u30ab\u30fc\u30d6\u3001\u5909\u52d5\u91d1\u5229\u306e\u63a8\u5b9a\u306b\u306f\u671f\u9593\u306b\u5fdc\u3058\u305f\u5225\u306e\u30ab\u30fc\u30d6\u3092\u4f7f\u3044\u307e\u3059\u3002<\/li>\n<\/ul>\n\n\n\n

      \u3053\u306e\u8a18\u4e8b\u3067\u306f <\/span>N<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\uff08\u6b63\u898f\u5316\uff09\u3001<\/span>\u03c4<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\uff08\u5e741\u56de\u6255\u3044\uff09\u3067\u7d71\u4e00\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      3. \u4e3b\u5f35 \u2015 \u4fa1\u5024\u306f\u73fe\u5728\u4fa1\u5024\u306e\u5dee\u3067\u6c7a\u307e\u308b<\/h2>\n\n\n\n

      \u56fa\u5b9a\u5074\u3092\u53d7\u3051\u53d6\u308a\u5909\u52d5\u5074\u3092\u652f\u6255\u3046\u7acb\u5834\u304b\u3089\u898b\u305f\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u3092\u5b9a\u5f0f\u5316\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \n

      \u5b9a\u7406 THM-SW-1\uff08\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\uff09<\/strong>\n\u56fa\u5b9a\u5074\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u73fe\u5728\u4fa1\u5024\u3092 <\/span>PV<\/span><\/span><\/span>fix<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3001\u5909\u52d5\u5074\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u73fe\u5728\u4fa1\u5024\u3092 <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3002\u56fa\u5b9a\u53d7\u3051\u30fb\u5909\u52d5\u6255\u3044\u306e\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u306f<\/p>\n

      <\/span>V<\/span><\/span>swap<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>fix<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-SW-2\uff08\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\uff09<\/strong>\n\u5e74\u91d1\u56e0\u5b50\u3092 <\/span>A<\/span><\/span>=<\/span><\/span><\/span><\/span>\u2211<\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3002\u5951\u7d04\u6642\u306e\u4fa1\u5024\u3092 0 \u306b\u3059\u308b\u56fa\u5b9a\u5229\u7387\uff08\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\uff09\u306f<\/p>\n

      <\/span>s<\/span><\/span>\u2217<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>A<\/span><\/span><\/span><\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3068\u3057\u3066\u4e00\u610f\u306b\u5b9a\u307e\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-SW-3\uff08\u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u3067\u306e\u8a55\u4fa1\uff09<\/strong>\n\u5272\u5f15\u306b\u4f7f\u3046\u30ab\u30fc\u30d6 <\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u30d5\u30a9\u30ef\u30fc\u30c9\u306e\u63a8\u5b9a\u306b\u4f7f\u3046\u30ab\u30fc\u30d6 <\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u7570\u306a\u308b\u3068\u304d\u30012\u3064\u306e\u30ab\u30fc\u30d6\u304b\u3089\u4f5c\u3063\u305f\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\u3092\u305d\u308c\u305e\u308c <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3002\u3059\u3079\u3066\u306e <\/span>i<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2265<\/span><\/span><\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3001\u5c11\u306a\u304f\u3068\u30821\u3064\u306e <\/span>i<\/span><\/span><\/span><\/span><\/eq> \u3067\u4e0d\u7b49\u53f7\u304c\u72ed\u7fa9\u306a\u3089\u3070<\/p>\n

      <\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>><\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308b\u3002\u3059\u306a\u308f\u3061\u3001\u5358\u4e00\u30ab\u30fc\u30d6\u3067\u6210\u308a\u7acb\u3063\u3066\u3044\u305f <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u3044\u3046\u7c21\u7565\u5f0f\u306f\u4f7f\u3048\u306a\u304f\u306a\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      THM-SW-1 \u306f\u7121\u88c1\u5b9a\u306e\u4e0b\u3067\u5404\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u5272\u308a\u5f15\u3044\u3066\u8db3\u3059\u3068\u3044\u3046\u57fa\u672c\u539f\u7406\u306e\u76f4\u63a5\u7684\u306a\u5e30\u7d50\u3067\u3059\u3002THM-SW-2 \u306f\u305d\u3053\u304b\u3089\u4ee3\u6570\u7684\u306b\u5f93\u3044\u307e\u3059\u3002THM-SW-3 \u306f\u3001\u306a\u305c2\u3064\u306e\u30ab\u30fc\u30d6\u3067\u65b0\u3057\u3044\u554f\u984c\u304c\u751f\u3058\u308b\u304b\u3092\u793a\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \u8a3c\u660e\u3092\u8aad\u3080\uff08\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\uff09<\/summary>\n

      4. \u8a3c\u660e \u2015 \u5404\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u5272\u308a\u5f15\u3044\u3066\u8db3\u3059<\/h2>\n

      \u3053\u306e\u7bc0\u306f\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\u3002<\/p>\n

      THM-SW-1 \u306e\u8a3c\u660e<\/h3>\n

      \u56fa\u5b9a\u53d7\u3051\u30fb\u5909\u52d5\u6255\u3044\u306e\u7acb\u5834\u3067\u306f\u3001\u6642\u523b <\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u53d7\u3051\u53d6\u308b\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306f<\/p>\n

      <\/span>(<\/span>\u56fa\u5b9a\u5074<\/span>)<\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>(<\/span>\u5909\u52d5\u5074<\/span>)<\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>s<\/span><\/span>\u03c4<\/span><\/span>N<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>N<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u3002\u5404\u6642\u70b9\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u5272\u308a\u5f15\u3044\u3066\u5408\u8a08\u3057\u307e\u3059\u3002<\/p>\n

      <\/span><\/span>V<\/span><\/span>swap<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>s<\/span><\/span>\u03c4<\/span><\/span>N<\/span><\/span>\u2212<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>N<\/span>)<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>s<\/span><\/span>\u03c4<\/span><\/span>N<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>N<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u7b2c1\u9805\u306f\u56fa\u5b9a\u5074\u306e\u73fe\u5728\u4fa1\u5024 <\/span>PV<\/span><\/span><\/span>fix<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3001\u7b2c2\u9805\u306f\u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024 <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u305d\u306e\u3082\u306e\u3067\u3059\u3002\u3057\u305f\u304c\u3063\u3066<\/p>\n

      <\/span>V<\/span><\/span>swap<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>fix<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u6210\u308a\u7acb\u3061\u307e\u3059\u3002 \u220e<\/p>\n

      \u5358\u4e00\u30ab\u30fc\u30d6\u3067\u306e\u5909\u52d5\u5074\u306e\u7c21\u7565\u5f0f<\/h3>\n

      THM-SW-2 \u306e\u8a3c\u660e\u306b\u5165\u308b\u524d\u306b\u3001\u5358\u4e00\u30ab\u30fc\u30d6\u306e\u5834\u5408\u306b\u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024\u304c\u304d\u308c\u3044\u306b\u7c21\u7d04\u3067\u304d\u308b\u3053\u3068\u3092\u793a\u3057\u307e\u3059\u3002\u3053\u306e\u7d50\u679c\u306f THM-SW-3 \u3068\u306e\u5bfe\u6bd4\u3067\u4f7f\u3044\u307e\u3059\u3002<\/p>\n

      \u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\u306e\u5b9a\u7fa9\u304b\u3089\u3001\u5272\u5f15\u4fc2\u6570\u306e\u9593\u306b\u306f\u6b21\u306e\u95a2\u4fc2\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n

      <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>4.2<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u5272\u5f15\u4fc2\u6570\u306e\u6bd4\u304c\u30d5\u30a9\u30ef\u30fc\u30c9\u30d5\u30a1\u30af\u30bf\u30fc\u3092\u4e0e\u3048\u308b\u3068\u3044\u3046\u610f\u5473\u3067\u3059\u3002\u3053\u308c\u3092\u5909\u5f62\u3059\u308b\u3068<\/p>\n

      <\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>4.3<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u5f97\u3089\u308c\u307e\u3059\u3002\u53f3\u8fba\u306f\u96a3\u308a\u5408\u3046\u5272\u5f15\u4fc2\u6570\u306e\u5dee\u3067\u3059\u3002<\/span>N<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u3066 <\/span>i<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>n<\/span><\/span><\/span><\/span><\/eq> \u307e\u3067\u8db3\u3059\u3068<\/p>\n

      <\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span>]<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3053\u308c\u306f\u30c6\u30ec\u30b9\u30b3\u30fc\u30d7\u548c\uff08\u96a3\u63a5\u9805\u304c\u6b21\u3005\u306b\u6253\u3061\u6d88\u3057\u5408\u3046\u548c\uff09\u3067\u3059\u3002<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>0<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u304b\u3089<\/p>\n

      <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>0<\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>4.4<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u7c21\u7d04\u3055\u308c\u307e\u3059\u3002\u5909\u52d5\u91d1\u5229\u306e\u5024\u304c\u3044\u304f\u3064\u3067\u3042\u3063\u3066\u3082\u3001\u5272\u5f15\u4fc2\u6570\u306e\u6700\u521d\u3068\u6700\u5f8c\u3060\u3051\u3067\u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024\u304c\u6c7a\u307e\u308b\u306e\u3067\u3059\u3002\u76f4\u89b3\u7684\u306b\u306f\u3001\u5909\u52d5\u91d1\u5229\u3067\u904b\u7528\u3057\u3066\u3044\u308b\u9810\u91d1\u306f\u5143\u672c\u3092\u4e38\u3054\u3068\u8fd4\u3059\u50b5\u5238\u3068\u540c\u3058\u4fa1\u5024\u3092\u6301\u3064\u3001\u3068\u3044\u3046\u3053\u3068\u3067\u3059\u3002<\/p>\n

      THM-SW-2 \u306e\u8a3c\u660e<\/h3>\n

      <\/span>V<\/span><\/span>swap<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308b <\/span>s<\/span><\/span><\/span><\/span><\/eq> \u3092\u6c42\u3081\u307e\u3059\u3002(4.1) \u304b\u3089<\/p>\n

      <\/span>PV<\/span><\/span><\/span>fix<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u56fa\u5b9a\u5074\u306e\u73fe\u5728\u4fa1\u5024\u3092\u5c55\u958b\u3059\u308b\u3068<\/p>\n

      <\/span>s<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u5de6\u8fba\u306e\u548c\u3092\u5e74\u91d1\u56e0\u5b50 <\/span>A<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u3051\u3070<\/p>\n

      <\/span>s<\/span><\/span>\u2217<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>A<\/span><\/span><\/span><\/span><\/span><\/span><\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4.5<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      <\/span>A<\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq>\uff08\u3059\u3079\u3066\u306e\u5272\u5f15\u4fc2\u6570\u304c\u6b63\u306a\u306e\u3067\u3001\u305d\u306e\u548c\u306e <\/span>A<\/span><\/span><\/span><\/span><\/eq> \u3082\u6b63\u3067\u3059\uff09\u306a\u306e\u3067\u3001<\/span>s<\/span><\/span>\u2217<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u4e00\u610f\u306b\u5b9a\u307e\u308a\u307e\u3059\u3002 \u220e<\/p>\n

      THM-SW-3 \u306e\u8a3c\u660e<\/h3>\n

      \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u3067\u306f\u3001\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8 <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f IBOR \u30ab\u30fc\u30d6\u306e\u5272\u5f15\u4fc2\u6570 <\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304b\u3089\u63a8\u5b9a\u3057\u307e\u3059\u304c\u3001\u5272\u5f15\u306b\u306f OIS \u30ab\u30fc\u30d6\u306e\u5272\u5f15\u4fc2\u6570 <\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u4f7f\u3044\u307e\u3059\u3002<\/p>\n

      IBOR \u30ab\u30fc\u30d6\u306e\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\u306e\u5b9a\u7fa9\u306f<\/p>\n

      <\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4.6<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u3002(4.3) \u3068\u540c\u3058\u69cb\u9020\u3067\u3059\u304c\u3001\u3053\u308c\u306f IBOR \u306e\u5272\u5f15\u4fc2\u6570\u306e\u9593\u306e\u95a2\u4fc2\u3067\u3059\u3002<\/p>\n

      \u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024\u3092\u8a08\u7b97\u3059\u308b\u3068\u304d\u3001<\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u639b\u3051\u308b\u5272\u5f15\u4fc2\u6570\u306f <\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n

      <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>multi<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>4.7<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3053\u3053\u3067 (4.6) \u304b\u3089 <\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u53d6\u308a\u51fa\u3057\u3066\u4ee3\u5165\u3057\u307e\u3059\u3002<\/p>\n

      <\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3053\u308c\u3092 (4.7) \u306b\u4ee3\u5165\u3059\u308b\u3068<\/p>\n

      <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>multi<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span>1<\/span>)<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u5358\u4e00\u30ab\u30fc\u30d6\u306e\u3068\u304d\u306f\u30c6\u30ec\u30b9\u30b3\u30fc\u30d7\u548c\u306b\u306a\u3063\u305f\u306e\u306f\u3001<\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3060\u3063\u305f\u304b\u3089\u3067\u3059\u3002\u5206\u6570\u306e\u5206\u6bcd\u3068 <\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u4e00\u81f4\u3057\u3066\u6253\u3061\u6d88\u3057\u5408\u3044\u3001<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306e\u5f62\u306b\u306a\u3063\u3066\u3044\u307e\u3057\u305f\u3002<\/p>\n

      \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u3067\u306f <\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>\ue020<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306a\u306e\u3067\u3001\u3053\u306e\u6253\u3061\u6d88\u3057\u304c\u8d77\u3053\u308a\u307e\u305b\u3093\u3002\u5404\u9805\u306f<\/p>\n

      <\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u306a\u308a\u3001\u7b2c1\u9805\u306e\u5206\u6bcd <\/span>D<\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u639b\u304b\u3063\u3066\u3044\u308b <\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u7570\u306a\u308b\u305f\u3081\u3001\u30c6\u30ec\u30b9\u30b3\u30fc\u30d7\u548c\u306b\u306f\u306a\u308a\u307e\u305b\u3093\u3002<\/p>\n

      \u6253\u3061\u6d88\u3057\u304c\u8d77\u3053\u3089\u306a\u3044\u3060\u3051\u3067\u306f\u3001\u305f\u307e\u305f\u307e\u548c\u304c\u7b49\u3057\u304f\u306a\u308b\u53ef\u80fd\u6027\u304c\u6b8b\u308a\u307e\u3059\u3002\u305d\u3053\u3067\u5927\u5c0f\u3092\u6bd4\u3079\u307e\u3059\u3002OIS \u30ab\u30fc\u30d6\u81ea\u8eab\u306e\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8 <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u306f\u3001(4.3) \u3068\u540c\u3058\u8a08\u7b97\u3067 <\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u6210\u308a\u7acb\u3061\u3001\u8db3\u3059\u3068\u30c6\u30ec\u30b9\u30b3\u30fc\u30d7\u548c\u3067<\/p>\n

      <\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u3002\u4eee\u5b9a <\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2265<\/span><\/span><\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u4e21\u8fba\u306b\u6b63\u306e\u6570 <\/span>\u03c4<\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3092\u639b\u3051\u3066\u8db3\u3059\u3068\u3001\u5c11\u306a\u304f\u3068\u30821\u3064\u306e\u9805\u3067\u72ed\u7fa9\u306e\u4e0d\u7b49\u53f7\u306a\u306e\u3067<\/p>\n

      <\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c4<\/span><\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u6210\u308a\u7acb\u3061\u307e\u3059\u3002 \u220e<\/p>\n

      \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u3067\u3082\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u306e\u5b9a\u7fa9\u5f0f (4.5) \u81ea\u4f53\u306f\u4f7f\u3048\u307e\u3059\u3002\u305f\u3060\u3057 <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092 <\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3067\u7f6e\u304d\u63db\u3048\u308b\u8fd1\u9053\u304c\u52b9\u304b\u306a\u304f\u306a\u308b\u306e\u3067\u3001\u30d5\u30a9\u30ef\u30fc\u30c9\u30ec\u30fc\u30c8\u30921\u672c\u305a\u3064\u6c42\u3081\u3066\u8db3\u3059\u5fc5\u8981\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n<\/details>\n\n\n\n

      5. \u53cd\u4f8b \u2015 1\u672c\u306e\u30ab\u30fc\u30d6\u3067\u306f\u5408\u308f\u306a\u304f\u306a\u3063\u305f<\/h2>\n\n\n\n

      CEX-SW-1: \u5358\u4e00\u30ab\u30fc\u30d6\u306e\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u304c\u305a\u308c\u308b<\/h3>\n\n\n\n

      2\u3064\u306e\u30ab\u30fc\u30d6\u306b\u30d9\u30fc\u30b7\u30b9\uff08\u30b9\u30d7\u30ec\u30c3\u30c9\uff09\u304c\u3042\u308b\u3068\u304d\u3001\u305d\u308c\u3092\u7121\u8996\u3057\u30661\u672c\u306e\u30ab\u30fc\u30d6\u3067\u8a55\u4fa1\u3059\u308b\u3068\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u304c\u6b63\u3057\u3044\u5024\u304b\u3089\u305a\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6570\u5024\u4f8b\u3067\u78ba\u8a8d\u3057\u307e\u3059\u30025\u5e74\u30b9\u30ef\u30c3\u30d7\uff08\u5e741\u56de\u6255\u3044\u3001<\/span>N<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\uff09\u3067\u3001IBOR \u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8\u304c <\/span>(<\/span>2.50%<\/span>,<\/span><\/span>2.75%<\/span>,<\/span><\/span>2.90%<\/span>,<\/span><\/span>3.00%<\/span>,<\/span><\/span>3.05%<\/span>)<\/span><\/span><\/span><\/span><\/eq>\u3001OIS \u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8\u304c <\/span>(<\/span>2.20%<\/span>,<\/span><\/span>2.40%<\/span>,<\/span><\/span>2.55%<\/span>,<\/span><\/span>2.65%<\/span>,<\/span><\/span>2.70%<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002\u30d9\u30fc\u30b7\u30b9\u306f\u5404\u5e74\u9650\u3067 30bp \u304b\u3089 35bp \u3067\u3059\u3002<\/p>\n\n\n\n

        \n
      • \u5358\u4e00\u30ab\u30fc\u30d6\uff08IBOR \u306e1\u672c\u3067\u5168\u3066\u3092\u307e\u304b\u306a\u3046\uff09\u306e\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8: <\/span>3.0391%<\/span><\/span><\/span><\/span><\/eq><\/li>\n
      • \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\uff08\u5272\u5f15\u306f OIS\u3001\u30d5\u30a9\u30ef\u30fc\u30c9\u306f IBOR\uff09\u306e\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8: <\/span>3.0404%<\/span><\/span><\/span><\/span><\/eq><\/li>\n
      • \u5dee: <\/span>0.13<\/span><\/span><\/span><\/span><\/eq> bp<\/li>\n<\/ul>\n\n\n\n

        \u5dee\u306f\u5c0f\u3055\u304f\u898b\u3048\u307e\u3059\u304c\u3001\u60f3\u5b9a\u5143\u672c\u304c\u5927\u304d\u3044\u53d6\u5f15\u3067\u306f\u3053\u306e\u5dee\u304c\u7121\u8996\u3067\u304d\u306a\u304f\u306a\u308a\u307e\u3059\u3002\u305f\u3068\u3048\u3070\u60f3\u5b9a\u5143\u672c 100\u5104\u5186\u306e5\u5e74\u30b9\u30ef\u30c3\u30d7\u306a\u3089\u30010.13bp \u306e\u5dee\u306f\u304a\u3088\u305d 60\u4e07\u5186\u306e\u8a55\u4fa1\u5dee\u306b\u76f8\u5f53\u3057\u307e\u3059\u3002\u30d9\u30fc\u30b7\u30b9\u304c\u5927\u304d\u3044\u307b\u3069\u3001\u307e\u305f\u671f\u9593\u304c\u9577\u3044\u307b\u3069\u3001\u305a\u308c\u306f\u62e1\u5927\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

        CEX-SW-2: \u5909\u52d5\u5074\u306e\u7c21\u7565\u5f0f\u304c\u58ca\u308c\u308b<\/h3>\n\n\n\n

        \u5358\u4e00\u30ab\u30fc\u30d6\u3067\u306f <\/span>PV<\/span><\/span><\/span>flt<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>n<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u6210\u308a\u7acb\u3061\u307e\u3057\u305f\u3002\u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u3067\u306f\u6210\u308a\u7acb\u3061\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

        \u4e0a\u3068\u540c\u3058\u30ab\u30fc\u30d6\u3067\u8a08\u7b97\u3059\u308b\u3068<\/p>\n\n\n\n

          \n
        • \u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u306e\u5909\u52d5\u5074 PV: <\/span>0.14093<\/span><\/span><\/span><\/span><\/eq><\/li>\n
        • <\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>5<\/span>)<\/span><\/span><\/span><\/span><\/eq>: <\/span>0.12472<\/span><\/span><\/span><\/span><\/eq><\/li>\n
        • \u5dee: <\/span>0.01621<\/span><\/span><\/span><\/span><\/eq><\/li>\n<\/ul>\n\n\n\n

          \u5dee\u306f\u5143\u672c\u306e\u7d04 1.6% \u306b\u9054\u3057\u307e\u3059\u3002\u7c21\u7565\u5f0f\u3092\u305d\u306e\u307e\u307e\u4f7f\u3046\u3068\u3001\u5909\u52d5\u5074\u306e\u73fe\u5728\u4fa1\u5024\u3092\u5927\u5e45\u306b\u904e\u5c0f\u8a55\u4fa1\u3057\u3066\u3057\u307e\u3044\u307e\u3059\u3002THM-SW-3 \u3067\u8a3c\u660e\u3057\u305f\u901a\u308a\u3001\u30c6\u30ec\u30b9\u30b3\u30fc\u30d7\u548c\u306e\u6253\u3061\u6d88\u3057\u304c\u8d77\u3053\u3089\u306a\u3044\u3053\u3068\u304c\u539f\u56e0\u3067\u3059\u3002<\/p>\n\n\n\n

          CEX-SW-3: \u671f\u9593\u306e\u7570\u306a\u308b\u5909\u52d5\u91d1\u5229\u306f\u540c\u3058\u3067\u306f\u306a\u3044<\/h3>\n\n\n\n

          3\u304b\u6708\u7269\u306e\u5909\u52d5\u91d1\u5229\u30686\u304b\u6708\u7269\u306e\u5909\u52d5\u91d1\u5229\u306f\u3001\u540c\u3058\u901a\u8ca8\u3067\u3082\u4e00\u822c\u306b\u7570\u306a\u308a\u307e\u3059\u3002\u305f\u3068\u3048\u3070\u5e74\u7387\u63db\u7b97\u3067 3\u304b\u6708\u7269\u304c <\/span>2.80%<\/span><\/span><\/span><\/span><\/eq>\u30016\u304b\u6708\u7269\u304c <\/span>3.00%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3042\u308c\u3070\u3001\u5dee\u306f <\/span>20<\/span><\/span><\/span><\/span><\/eq> bp \u3067\u3059\u3002<\/p>\n\n\n\n

          \u3053\u306e\u5dee\u304c 0 \u3067\u306a\u3044\u3068\u3044\u3046\u3053\u3068\u306f\u30013\u304b\u6708\u7269\u306e\u5909\u52d5\u91d1\u5229\u3092\u53d7\u3051\u53d6\u308a6\u304b\u6708\u7269\u306e\u5909\u52d5\u91d1\u5229\u3092\u652f\u6255\u3046\uff08\u307e\u305f\u306f\u305d\u306e\u9006\u306e\uff09\u5951\u7d04\u306b\u3082\u4fa1\u5024\u304c\u751f\u3058\u308b\u3053\u3068\u3092\u610f\u5473\u3057\u307e\u3059\u3002\u3053\u308c\u304c\u30d9\u30fc\u30b7\u30b9\u30b9\u30ef\u30c3\u30d7<\/strong>\u3067\u3059\u3002<\/p>\n\n\n\n

          2008\u5e74\u4ee5\u524d\u306f\u3001\u3053\u306e\u5dee\u304c\u4e8b\u5b9f\u4e0a\u30bc\u30ed\u3068\u307f\u306a\u3055\u308c\u3066\u3044\u305f\u305f\u3081\u3001\u5358\u4e00\u30ab\u30fc\u30d6\u3067\u5341\u5206\u3067\u3057\u305f\u3002\u5371\u6a5f\u4ee5\u964d\u3001\u9280\u884c\u9593\u306e\u4fe1\u7528\u30ea\u30b9\u30af\u3084\u6d41\u52d5\u6027\u306e\u9055\u3044\u304c\u671f\u9593\u306b\u3088\u3063\u3066\u7570\u306a\u308b\u3053\u3068\u304c\u610f\u8b58\u3055\u308c\u3001\u3053\u306e\u5dee\u304c\u6052\u5e38\u7684\u306b\u751f\u3058\u308b\u3088\u3046\u306b\u306a\u308a\u307e\u3057\u305f\u3002\u30de\u30eb\u30c1\u30ab\u30fc\u30d6\u306f\u3001\u671f\u9593\u3054\u3068\u306b\u5225\u306e\u30ab\u30fc\u30d6\u3092\u7acb\u3066\u308b\u3053\u3068\u3067\u3053\u306e\u5dee\u3092\u6574\u5408\u7684\u306b\u53cd\u6620\u3059\u308b\u67a0\u7d44\u307f\u3067\u3059\u3002<\/p>\n\n\n\n

          6. \u6570\u5024\u4f8b \u2015 5\u5e74\u30b9\u30ef\u30c3\u30d7\u306e\u30ec\u30fc\u30c8\u3092\u51fa\u3059<\/h2>\n\n\n\n

          <\/span>N<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>\u03c4<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\uff08\u5e741\u56de\u6255\u3044\uff09\u30015\u5e74\u30b9\u30ef\u30c3\u30d7\u3067\u8a08\u7b97\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

          \u5358\u4e00\u30ab\u30fc\u30d6<\/strong>\uff08IBOR \u306e\u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8\u3067\u5272\u5f15\u3082\u63a8\u5b9a\u3082\u884c\u3046\uff09<\/p>\n\n\n\n

          \u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8: <\/span>(<\/span>2.50%<\/span>,<\/span><\/span>2.75%<\/span>,<\/span><\/span>2.90%<\/span>,<\/span><\/span>3.00%<\/span>,<\/span><\/span>3.05%<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
          <\/span>i<\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> (%)<\/th>\n<\/tr>\n<\/thead>\n
          1<\/td>\n<\/span>0.9756<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>2.500<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          2<\/td>\n<\/span>0.9472<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.001<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          3<\/td>\n<\/span>0.9178<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.201<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          4<\/td>\n<\/span>0.8885<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.301<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          5<\/td>\n<\/span>0.8605<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.250<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

          \u5e74\u91d1\u56e0\u5b50 <\/span>A<\/span><\/span>=<\/span><\/span><\/span><\/span>4.5896<\/span><\/span><\/span><\/span><\/eq>\u3001\u5909\u52d5\u5074 PV <\/span>=<\/span><\/span><\/span><\/span>0.1395<\/span><\/span><\/span><\/span><\/eq>\u3002<\/p>\n\n\n\n

          \u7c21\u7565\u5f0f\u306e\u691c\u7b97: <\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>5<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>0.8605<\/span><\/span>=<\/span><\/span><\/span><\/span>0.1395<\/span><\/span><\/span><\/span><\/eq>\u3002\u4e00\u81f4\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

          \u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8:<\/p>\n\n\n\n

          <\/span>s<\/span><\/span>\u2217<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>4.5896<\/span><\/span><\/span><\/span><\/span><\/span><\/span>0.1395<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>3.039%<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

          \u30de\u30eb\u30c1\u30ab\u30fc\u30d6<\/strong>\uff08\u5272\u5f15\u306f OIS\u3001\u30d5\u30a9\u30ef\u30fc\u30c9\u306f IBOR\uff09<\/p>\n\n\n\n

          OIS \u30b9\u30dd\u30c3\u30c8\u30ec\u30fc\u30c8: <\/span>(<\/span>2.20%<\/span>,<\/span><\/span>2.40%<\/span>,<\/span><\/span>2.55%<\/span>,<\/span><\/span>2.65%<\/span>,<\/span><\/span>2.70%<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
          <\/span>i<\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/span>D<\/span><\/span>OIS<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/span>f<\/span><\/span>i<\/span><\/span><\/span><\/span>IBOR<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> (%)<\/th>\n<\/tr>\n<\/thead>\n
          1<\/td>\n<\/span>0.9785<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>2.500<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          2<\/td>\n<\/span>0.9537<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.001<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          3<\/td>\n<\/span>0.9272<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.201<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          4<\/td>\n<\/span>0.9007<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.301<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          5<\/td>\n<\/span>0.8753<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.250<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

          \u5e74\u91d1\u56e0\u5b50 <\/span>A<\/span><\/span>=<\/span><\/span><\/span><\/span>4.6353<\/span><\/span><\/span><\/span><\/eq>\u3001\u5909\u52d5\u5074 PV <\/span>=<\/span><\/span><\/span><\/span>0.1409<\/span><\/span><\/span><\/span><\/eq>\u3002<\/p>\n\n\n\n

          \u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8:<\/p>\n\n\n\n

          <\/span>s<\/span><\/span>\u2217<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>4.6353<\/span><\/span><\/span><\/span><\/span><\/span><\/span>0.1409<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>3.040%<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

          \u6bd4\u8f03<\/strong><\/p>\n\n\n\n\n\n\n\n\n\n
          <\/th>\n\u5358\u4e00\u30ab\u30fc\u30d6<\/th>\n\u30de\u30eb\u30c1\u30ab\u30fc\u30d6<\/th>\n<\/tr>\n<\/thead>\n
          \u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8<\/td>\n<\/span>3.039%<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>3.040%<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          \u5dee<\/td>\n\u2014<\/td>\n<\/span>+<\/span>0.13<\/span><\/span><\/span><\/span><\/eq> bp<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

          \u30d9\u30fc\u30b7\u30b9\u3092 20bp \u306b\u7e2e\u3081\u305f\u5834\u5408\u3001\u5dee\u306f <\/span>0.07<\/span><\/span><\/span><\/span><\/eq> bp \u306b\u7e2e\u5c0f\u3057\u307e\u3059\u3002\u30d9\u30fc\u30b7\u30b9\u306e\u5927\u304d\u3055\u304c\u305d\u306e\u307e\u307e\u30ec\u30fc\u30c8\u306e\u305a\u308c\u306b\u53cd\u6620\u3055\u308c\u308b\u3053\u3068\u304c\u78ba\u8a8d\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

          7. \u6b21\u56de\u3078 \u2015 \u6255\u308f\u308c\u306a\u3044\u304b\u3082\u3057\u308c\u306a\u3044\u4e16\u754c<\/h2>\n\n\n\n

          \u30b9\u30ef\u30c3\u30d7\u306e\u8a55\u4fa1\u304c\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308a\u307e\u3057\u305f\u3002\u3057\u304b\u3057\u3001\u3053\u3053\u307e\u3067\u306e\u8b70\u8ad6\u3067\u306f\u300c\u7d04\u675f\u3055\u308c\u305f\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306f\u5fc5\u305a\u53d7\u3051\u53d6\u308c\u308b\u300d\u3068\u6697\u9ed9\u306b\u4eee\u5b9a\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

          \u6b21\u56de\u306f\u30c7\u30d5\u30a9\u30eb\u30c8\u78ba\u7387\u3068\u30af\u30ec\u30b8\u30c3\u30c8\u30b9\u30d7\u30ec\u30c3\u30c9<\/strong>\u3092\u6271\u3044\u307e\u3059\u3002\u76f8\u624b\u65b9\u304c\u652f\u6255\u3044\u3092\u5c65\u884c\u3057\u306a\u3044\u304b\u3082\u3057\u308c\u306a\u3044\u4e16\u754c\u3067\u3001\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u4fa1\u5024\u3092\u3069\u3046\u4fee\u6b63\u3059\u308b\u304b\u3092\u898b\u307e\u3059\u3002<\/p>\n\n\n\n

          \u3088\u304f\u3042\u308b\u8cea\u554f<\/h2>\n\n\n\n

          \u306a\u305c\u30ab\u30fc\u30d6\u3092\u5206\u3051\u308b\u3088\u3046\u306b\u306a\u3063\u305f\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

          2008\u5e74\u306e\u91d1\u878d\u5371\u6a5f\u4ee5\u964d\u3001\u671f\u9593\u3054\u3068\u306e\u91d1\u5229\u306b\u4fe1\u7528\u3084\u6d41\u52d5\u6027\u306e\u5dee\u304c\u898b\u3048\u308b\u3088\u3046\u306b\u306a\u3063\u305f\u304b\u3089\u3067\u3059\u3002<\/p>\n\n\n\n

          \u5272\u5f15\u306b\u306f\u3069\u306e\u91d1\u5229\u3092\u4f7f\u3046\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

          \u62c5\u4fdd\u4ed8\u304d\u53d6\u5f15\u3067\u306f\u7fcc\u65e5\u7269\u91d1\u5229\u306e\u30ab\u30fc\u30d6\u3092\u4f7f\u3046\u306e\u304c\u6a19\u6e96\u3067\u3059\u3002<\/p>\n\n\n\n

          \u30b9\u30ef\u30c3\u30d7\u306f\u4f55\u306e\u305f\u3081\u306b\u4f7f\u3046\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

          \u56fa\u5b9a\u3068\u5909\u52d5\u306e\u91d1\u5229\u30ea\u30b9\u30af\u3092\u5165\u308c\u66ff\u3048\u308b\u305f\u3081\u3067\u3059\u3002\u501f\u5165\u306e\u91d1\u5229\u3092\u56fa\u5b9a\u5316\u3059\u308b\u7528\u9014\u304c\u5178\u578b\u3067\u3059\u3002<\/p>\n\n\n\n

          \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
            \n\n
          1. Bianchetti M.\u3001Two Curves One Price\u3001Risk\u30012010\u5e74<\/li>\n\n\n
          2. Hull J. C.\u3001Options Futures and Other Derivatives\u3001\u7b2c11\u7248\u3001Pearson\u30012021\u5e74<\/li>\n\n<\/ol>\n\n\n\n
            \n\n\n\n

            \u6570\u5024\u4f8b\u306f compute.py<\/code> \u306b\u3088\u308a\u6709\u7406\u6570\u6f14\u7b97\u3067\u691c\u7b97\u6e08\u307f\u3002\u672c\u6587\u4e2d\u306e\u5c0f\u6570\u306f4\u6841\u3067\u4e38\u3081\u3066\u3044\u308b\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

            \u4f4d\u7f6e: \u7b2c9\u90e8 \u7b2c93\u56de \/ \u524d\u63d0: \u7b2c11\u56de\u3001\u7b2c12\u56de\u3001\u7b2c92\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u91d1\u5229\u30b9\u30ef\u30c3\u30d7\u306e\u4fa1\u5024\u3068\u30d1\u30fc\u30b9\u30ef\u30c3\u30d7\u30ec\u30fc\u30c8\u3092\u3001\u5272\u5f15\u306e\u30ab\u30fc\u30d6\u3068\u63a8\u5b9a\u306e\u30ab\u30fc\u30d6\u3092\u5206\u3051\u3066\u8a08\u7b97\u3067\u304d\u308b 0. \u7269 […]<\/p>\n","protected":false},"author":1,"featured_media":209193,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[169],"class_list":["post-208404","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-financial-engineering","tag-fe-part9-rates-credit"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t