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Imnew (newbie) 于 (Tue Nov 14 12:10:37 2006) 提到:
一篇 paper 上说：
The defaultable continuous compounded forward rate f(t,T1,T2) is the pro
mised yield of the following portfolio:
short 1 defaultable bond B(t,T1)
long B(t,T1)/B(t,T2) defaultable bonds B(t,T2)
但这个 portfolio 的 value 不是 0 吗？怎么来的 promised yield?
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ThatYear (那年) 于 (Tue Nov 14 12:31:09 2006) 提到:
yes, at t, it is 0.
at T1, it pays 1 to c |
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