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单因子利率模型
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单因子利率模型
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理学
证券组合前沿
释
single-factor interest rate model
单因子利率模型
单因子利率模型指只设定一个状态变量或随机因子的利率期限结构模型,其中的随机因子为无违约风险的即时利率,即期限趋近于零时的即期利率。
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