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Chapter 6. Variable interest rates and portfolio insurance. Manual for SOA Exam FM/CAS Exam 2.
 

Summary: 1/25
Chapter 6. Variable interest rates and portfolio insurance.
Manual for SOA Exam FM/CAS Exam 2.
Chapter 6. Variable interest rates and portfolio insurance.
Section 6.3. Term structure of interest rates.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for the SOA Exam FM/CAS Exam 2,
Financial Mathematics. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam FM/CAS Exam 2.
2/25
Chapter 6. Variable interest rates and portfolio insurance. Section 6.3. Term structure of interest rates.
Term structure of interest rates
The relationship between yield and time to mature is called the
term structure of interest rates.
As larger as money is tied up in an investment as more likely a
default is. Usually, interest rates increase with maturity date.
For US Treasury zero­coupons bonds, different interest rates are
given according with the maturity date.

  

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

 

Collections: Mathematics