- Yield Curve Factor Model
- Level(方向性改變)，對實際收益率總變動的影響最大
- Steepness(斜率改變):二級主要強調(diào)短期和長期利率的改變
- Curvature(曲度改變):短中長期的改變
- Yield Curve Risk Management
- 1)Effective Duration(只考慮了Yield Curve平行移動)
- 2)Key Rate Duration: 有幾個關(guān)鍵期限，就有幾個KRD;對于完全由零息債券組成的組合來說，KRDi = Di * Wi.
- Term Structure of interest rate volatility: Short-term interest rate volatility is more volatile than long-term interest rate volatility.
- Binomial Interest Rate Tree (Equal Probability + Lognormal)
Construction: Spot Rate-> Forward Rate -> High/Low Rate - MBS:
- interest rate movement -> prepayment movement -> Cash flow, Maturity, Present Value change
- MBS is path-dependent, so should be valued by Monte Carlo Simulation instead of Binomial Tree.
