Research Concerning Interest Rate

The studied object in this text is the interest rate, the interest rate is used very widely, which is one of the paid most attention's variables in economic and life. The interest rate not only affects our daily life, at the same time, but also it affects the business enterprise to makes policy decision, particularly in the finance, almost all of the financial tools all are closely related to the interest rate. The price of the stock, option, bond and other financial derivatives is all directly influenced by interest rate's rising and falling. In a word, without reference to macroscopical aspects, or microcosmic views, the research of the interest rate is very important.This text is divided into four chapters, chapter 1 and chapter 2 are the introduction parts, primarily introducing basic contents of interest rate and some necessary mathematical knowledge.Chapter 3 and chapter 4 are the research parts, primarily studying interest rate swap'essence and convertible bonds'pricing equation .The main work in this text is incarnated in chapter 3 and chapter 4.Chapter 3, the research of the interest rate swap here is different from the economic angles, which comes from the mathematical thought, deducing a key equation of floated rate and fixed rate. Chapter 4,regarding convertible bonds as the foundation,puts the emphasis on the hedging method and monte Carlo method. The research discovers that there are some skills in the hedging method when we deduce the bonds'pricing equation,if actual structure of enterprise's finance securities is relatively complex, deducing can be simplified and the result is equal,thereby, which greatly conveniences the calculating process. On the other hand, in order to raise the monte Carlo method'accuracy and efficiency, inspired by the allelomorph monte Carlo method,the text designs a kind of new research method which is called the power value monte Carlo method and testifies its superiority by some experiment data.