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Term structure derivation

Milterson K, Sandmann K, Sondermann D (1997) Closed Form Solutions for Term Structure Derivatives with log-normal Interest Rates. Journal of Finance 52 409-430. [Pg.134]

The first section describes the motivation for using the swap term structure as a benchmark for pricing and hedging fixed-income securities. The second section examines the factors that affect swap spreads and swap market flows. The third section describes a swap term structure derivation technique designed to mark to market fixed-income products. Finally, different aspects of the derived term structure are discussed. [Pg.632]

The most problematic area of the term structure tends to be the transition area between time buckets. Nevertheless, linear interpolation and cubic splines are the most prevalent yield curve generation techniques used in the marketplace for marking to market purposes. To get mark-to-market prices that are consistent with the marketplace, institutions use the specified inputs and derivation techniques. However, an institution may develop more robust term structure derivation techniques for identifying mispriced securities, such as a multiple-factor model. [Pg.651]

The term structure of interest rates is the spot rate yield curve spot rates are viewed as identical to zero-coupon bond interest rates where there is a market of liquid zero-coupon bonds along regular maturity points. As such a market does not exist anywhere the spot rate yield curve is considered a theoretical construct, which is most closely equated by the zero-coupon term structure derived from the prices of default-free liquid government bonds. [Pg.276]

The term "structural genomics" is used to describe how the primary sequence of amino acids in a protein relates to the function of that protein. Currently, the core of structural genomics is protein structure determination, primarily by X-ray crystallography, and the design of computer programs to predict protein fold structures for new proteins based on their amino acid sequences and structural principles derived from those proteins whose 3-dimensional structures have been determined. Plant natural product pathways are a unique source of information for the structural biologist in view of the almost endless catalytic diversity encountered in the various pathway enzymes, but based on a finite number of reaction types. Plants are combinatorial chemists par excellence, and understanding the principles that relate enzyme structure to function will open up unlimited possibilities for the... [Pg.265]

Organic Peroxide The term refers to an organic compound that contains the bivalent -O-O-structure and which may be considered to be a structural derivative of hydrogen peroxide where one or both of the hydrogen atoms has been replaced by an organic radical. [Pg.248]

The set of functions, together with the collection of terms that parameterize them (kb, r0, etc.), is referred to as the force field. In some cases force field parameters can be related to experimentally determinable values. For example, the bond stretching force constant kb is approximately equivalent to the vibrational force constant derived from an infrared spectrum. However, in general die force field terms are derived empirically with the target of reproducing experimental structures and energy distributions. [Pg.7]

In Figure 3.7, a selection of metal clusters containing interstitial atoms is shown. Examples with interstitial H atoms as well as transition-metal atoms are also known. Addition of an interstitial metal atom is the first step towards extended metal structures. The term interstitial derives from its use in solid-state chemistry where atoms are found in the interstices of metal lattices, e.g., the tetrahedral or octahedral... [Pg.96]

The above-described structure could be modeled by a sufficient number of terms in the Y m expansion. We chose instead to embed sixty discrete atoms in a smooth spherical shell of charge, with atomic angular coordinates taken from an equilibrium structure derived from ab initio Hartree-Fock calculations of Scuseria, and with molecular rotations as described above. This model requires the addition of only two parameters to the 300-K model (the rotation angle F and a fraction a of spherically symmetric jo amplitude). The best fit to the measured intensities with the above model is shown in Fig. 1 this fit gave / 3.54 0.01 A, F 22 5 , and a 0.5 0.3. The model captures some but not all features of... [Pg.95]

The term analogy, derived from the latin and greek ana-logia, is used in natural sciences since 1791 to describe structural and functional similarity. Extended to drugs. [Pg.127]

We shall now proceed to the case of a function of several variables having a structurally stable critical point. For a function in one variable this was the case of a Morse function — II, Table 1. We shall also give a condition sufficient for the stability of a critical point which can be expressed in terms of derivatives 82V/8xl8xj. [Pg.51]


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See also in sourсe #XX -- [ Pg.633 ]




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