{"title":"\u51f8\u72b6\u8abf\u6574\u3068\u30bf\u30a4\u30df\u30f3\u30b0\u8abf\u6574\u306e\u7531\u6765","url":"https://ptoolis.hatenadiary.org/entry/20150720/1437360115","height":"190","version":"1.0","published":"2015-07-20 11:41:55","description":"\u6700\u8fd1\u50b5\u5238\u3068\u5229\u5b50\u306e\u6d3e\u751f\u8a3c\u5238\u306e\u5024\u6bb5\u306b\u5f71\u97ff\u3059\u308b\u51f8\u72b6\u3068\u30bf\u30a4\u30df\u30f3\u30b0\u8abf\u6574\u306b\u304b\u3093\u3057\u3066\u5b66\u3093\u3067\u3044\u307e\u3059\u3002 The convexity adjustment can be derived from either the Taylor Series about the forward rate(Hull, Bond price in terms of yt about y0, then taking expectation about both sides) or by expressing y as a Geometric Brownian Motion and using Ito's Lemma to deriv\u2026","author_name":"ptoolis","categories":[],"html":"<iframe src=\"https://hatenablog-parts.com/embed?url=https%3A%2F%2Fptoolis.hatenadiary.org%2Fentry%2F20150720%2F1437360115\" title=\"\u51f8\u72b6\u8abf\u6574\u3068\u30bf\u30a4\u30df\u30f3\u30b0\u8abf\u6574\u306e\u7531\u6765 - ptoolis\u306e\u65e5\u8a18\" class=\"embed-card embed-blogcard\" scrolling=\"no\" frameborder=\"0\" style=\"display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;\"></iframe>","provider_name":"Hatena Blog","author_url":"https://blog.hatena.ne.jp/ptoolis/","width":"100%","provider_url":"https://hatena.blog","blog_title":"ptoolis\u306e\u65e5\u8a18","blog_url":"https://ptoolis.hatenadiary.org/","type":"rich","image_url":null}