{"id":1023,"date":"2010-06-21T06:33:00","date_gmt":"2010-06-21T06:33:00","guid":{"rendered":"https:\/\/i-kiin.net\/?p=1023"},"modified":"2023-02-15T09:23:36","modified_gmt":"2023-02-15T00:23:36","slug":"bootstrapping-to-spot-rate","status":"publish","type":"post","link":"https:\/\/i-kiin.net\/?p=1023","title":{"rendered":"\uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870 Bootstrapping"},"content":{"rendered":"

\ud604\uc7ac \uae08\uc735\ud22c\uc790\ud611\ud68c<\/a> <\/span>1<\/sup><\/a><\/span> \ucc44\uad8c\uc815\ubcf4\uc13c\ud130<\/a>\uc5d0\uc11c\ub294 \ub9e4 \uac70\ub798\uc77c \uc624\ud6c4 4:00 \uc774\ud6c4\uc5d0 \uc774\uc885\ucc44\uad8c\uc758 \uc794\uc874\ub9cc\uae30\ubcc4 \uc2dc\uc7a5\uc218\uc775\ub960(\uc774\ud558 YTM)\uc744 \ubc1c\ud45c\ud558\uace0 \uc788\ub294\ub370, \uc774\ub7ec\ud55c \uc774\uc885\ucc44\uad8c\uc73c\ub85c \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870(term structure)\ub97c \uad6c\uc131\ud558\uac8c \ub420 \uacbd\uc6b0 \uae30\uac04 \uad6c\uc870 \uc790\uccb4\uc758 \uc774\uc9c8\uc131<\/ins>\uc73c\ub85c \uc778\ud574 \uc2e0\ub8b0\ud560 \uc218 \uc788\ub294 \uc774\uc790\uc728\uc744 \ucd94\ucd9c\ud560 \uc218 \uc5c6\uac8c \ub41c\ub2e4. \ub530\ub77c\uc11c \uc774\uc885\ucc44\uad8c\uc758 \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870\ub97c \ud1a0\ub300\ub85c \ud558\uc5ec \uc2e0\ub8b0\ud560 \uc218 \uc788\ub294 \uc774\uc790\uc728 \ucd94\ucd9c\uc774 \uac00\ub2a5\ud558\ub3c4\ub85d \ubb34\uc774\ud45c\ucc44\uad8c\uc758 \ub9cc\uae30\uc218\uc775\ub960\uc778 \ud604\ubb3c\uc774\uc790\uc728(zero rate \ud639\uc740 spot rate, \uc774\ud558 SPOT)<\/ins>\uc758 \uae30\uac04\uad6c\uc870\ub85c \uc804\ud658\ud574\uc918\uc57c\ub9cc \ud55c\ub2e4.<\/p>\n

\uadf8\ub7ec\ub098 \ub9cc\uae30\uac00 1\ub144 \uc774\uc0c1\uc778 \ubb34\uc774\ud45c\ucc44\uad8c\uc740 \ud604\uc7ac \uad6d\ub0b4\uc5d0\uc11c \uc874\uc7ac\ud558\uace0 \uc788\uc9c0 \uc54a\uc740 \ubc18\uba74, \ub9cc\uae30\uac00 1\ub144 \uc774\uc0c1\uc778 \ucc44\uad8c\ub4e4\uc740 \ubaa8\ub450 \uc774\ud45c\ucc44\uad8c\uc774\uae30 \ub54c\ubb38\uc5d0 \ub9cc\uae30\uac00 1\ub144 \uc774\uc0c1\uc778 \uad6c\uac04\uc5d0 \ub300\ud574\uc11c\ub294 SPOT\uc744 \uad6c\ud560 \uc218 \uc5c6\ub294 \ubb38\uc81c\uac00 \ubc1c\uc0dd\ud558\uac8c \ub41c\ub2e4. \uadf8\ub798\uc11c \uc774\ub97c \ud574\uacb0\ud558\uae30 \uc704\ud574 \uc8fc\ub85c \uc0ac\uc6a9\ub418\ub294 \ubc29\ubc95\uc774 \uc9e7\uc740 \ub9cc\uae30\uc758 SPOT\uc744 \uad6c\ud558\uace0 \uc774\ub97c \ud1a0\ub300\ub85c \uae34 \ub9cc\uae30\uc758 SPOT\uc744 \uad6c\ud558\ub294 Bootstrapping\uc774 \uc788\ub2e4. \ubcf8 \uae00\uc5d0\uc11c\ub294 \uc608\uc81c\ub97c \ud1b5\ud574 Bootstrapping\uc744 \uc801\uc6a9\ud558\ub294 \uc77c\ubc18\uc801\uc778 \ubc29\ubc95\uc5d0 \ub300\ud574 \uc54c\uc544\ubcf8\ub2e4.<\/p>\n

<\ud45c 1><\/span>\uacfc \uac19\uc774 YTM\uc758 \uae30\uac04 \uad6c\uc870\uac00 \uc8fc\uc5b4\uc84c\uc744 \uacbd\uc6b0\ub97c \uac00\uc815\ud558\uace0 \ub354\ubd88\uc5b4 \uc774\ud45c\uc9c0\uae09\uc8fc\uae30\uac00 3\uac1c\uc6d4(0.25\ub144)<\/ins>\uc774\uace0 \uc561\uba74\uac00 100\uc778 \uac00\uc0c1\uc758 \uae30\ubcf8\ucc44\uad8c(par bond)<\/ins>\uc744 \uac00\uc815\ud588\uc744 \uacbd\uc6b0<\/p>\n\n\n\n\n\n\n
\uae30\uac04<\/strong><\/td>\n0.25<\/strong><\/td>\n0.5<\/strong><\/td>\n0.75<\/strong><\/td>\n1<\/strong><\/td>\n1.5<\/strong><\/td>\n2<\/strong><\/td>\n<\/tr>\n
YTM<\/td>\n4.57<\/td>\n4.63<\/td>\n4.66<\/td>\n4.68<\/td>\n4.69<\/td>\n4.73<\/td>\n<\/tr>\n
\uae30\uac04<\/strong><\/td>\n2.5<\/strong><\/td>\n3<\/strong><\/td>\n4<\/strong><\/td>\n5<\/strong><\/td>\n7<\/strong><\/td>\n10<\/strong><\/td>\n<\/tr>\n
YTM<\/td>\n4.78<\/td>\n4.79<\/td>\n4.81<\/td>\n4.83<\/td>\n4.85<\/td>\n4.89<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
<\ud45c 1> \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870 (YTM)<\/div>\n

\uc794\uc874\ub9cc\uae30 3\uac1c\uc6d4(0.25\ub144)\uc5d0 \ud574\ub2f9\ud558\ub294 YTM\uc740 4.57%\uc774\ubbc0\ub85c \uc774\ub97c \uc5f0\uc18d \ubcf5\ub9ac\ub85c \ud658\uc0b0\ud558\uba74<\/p>\n

<\/p>\n

\uc744 \uc5bb\uac8c \ub41c\ub2e4. \uc774\uac83\uacfc \uc704\uc5d0\uc11c \uac00\uc815\ud55c par bond\ub97c \uae30\ucd08\ub85c \uc794\uc874\ub9cc\uae30 6\uac1c\uc6d4(0.5\ub144)\uc758 \ub294 \ub2e4\uc74c\uc758 \uc2dd\uc744 \ub9cc\uc871\ud574\uc57c \ud558\uba70, \ub2e4\uc74c\uc758 \uc2dd\uc73c\ub85c\ubd80\ud130 \ub97c \uad6c\ud558\uba74<\/p>\n

<\/p>\n

4.6038%\uc774 \ub3c4\ucd9c\ub418\ub294\ub370, \uc774 \uc2dd\uc744 \ud1a0\ub300\ub85c \ub450 \ubc88\uc9f8 SPOT, (\uc5d0 \ud574\ub2f9)\ub97c \uad6c\ud558\ub294 \uc77c\ubc18 \uacfc\uc815\uc740 \ub2e4\uc74c\uacfc \uac19\ub2e4.<\/p>\n

<\/p>\n

\uc774\ub97c \ub2e4\uc2dc \uc815\ub9ac\ud558\uba74,<\/p>\n

<\/p>\n

\uc774 \ub418\uba70 \uc591\ubcc0\uc5d0 \uc790\uc5f0\ub85c\uadf8\ub97c \ucde8\ud558\uba74<\/p>\n

<\/p>\n

\uc774 \ub41c\ub2e4. \ub530\ub77c\uc11c ()\uc740<\/p>\n

<\/p>\n

\uc640 \uac19\uc774 \uc0b0\ucd9c\ub41c\ub2e4. \uc774\uc640 \uac19\uc740 \ubc29\ubc95\uc73c\ub85c \ub098\uba38\uc9c0 \uc794\uc874\ub9cc\uae30\ubcc4 SPOT\uc744 \uad6c\ud558\uba74 <\ud45c 2><\/span>\uc640 \uac19\ub2e4.<\/p>\n\n\n\n\n\n\n\n\n
\uae30\uac04<\/strong><\/td>\n0.25<\/strong><\/td>\n0.5<\/strong><\/td>\n0.75<\/strong><\/td>\n1<\/strong><\/td>\n1.5<\/strong><\/td>\n2<\/strong><\/td>\n<\/tr>\n
YTM<\/td>\n4.57<\/td>\n4.63<\/td>\n4.66<\/td>\n4.68<\/td>\n4.69<\/td>\n4.73<\/td>\n<\/tr>\n
SPOT<\/td>\n4.5441<\/td>\n4.6038<\/td>\n4.6336<\/td>\n4.6536<\/td>\n4.6635<\/td>\n4.7043<\/td>\n<\/tr>\n
\uae30\uac04<\/strong><\/td>\n2.5<\/strong><\/td>\n3<\/strong><\/td>\n4<\/strong><\/td>\n5<\/strong><\/td>\n7<\/strong><\/td>\n10<\/strong><\/td>\n<\/tr>\n
YTM<\/td>\n4.78<\/td>\n4.79<\/td>\n4.81<\/td>\n4.83<\/td>\n4.85<\/td>\n4.89<\/td>\n<\/tr>\n
SPOT<\/td>\n4.7558<\/td>\n4.7656<\/td>\n4.7859<\/td>\n4.8068<\/td>\n4.8276<\/td>\n4.8735<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
<\ud45c 2> \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870 (YTM & SPOT)<\/div>\n

, \ub77c \ud558\uace0 \uc77c\ub828\uc758 \uacfc\uc815\uc744 \uc77c\ubc18\ud654\ud558\uba74 \ub2e4\uc74c\uacfc \uac19\ub2e4.<\/p>\n

,
\n (\ub2e8, , )<\/p>\n

\uc870\ud68c\uc218: 38<\/p>","protected":false},"excerpt":{"rendered":"

\ud604\uc7ac \uae08\uc735\ud22c\uc790\ud611\ud68c \ucc44\uad8c\uc815\ubcf4\uc13c\ud130\uc5d0\uc11c\ub294 \ub9e4 \uac70\ub798\uc77c \uc624\ud6c4 4:00 \uc774\ud6c4\uc5d0 \uc774\uc885\ucc44\uad8c\uc758 \uc794\uc874\ub9cc\uae30\ubcc4 \uc2dc\uc7a5\uc218\uc775\ub960(\uc774\ud558 YTM)\uc744 \ubc1c\ud45c\ud558\uace0 \uc788\ub294\ub370, \uc774\ub7ec\ud55c \uc774\uc885\ucc44\uad8c\uc73c\ub85c \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870(term structure)\ub97c \uad6c\uc131\ud558\uac8c \ub420 \uacbd\uc6b0 \uae30\uac04 \uad6c\uc870 \uc790\uccb4\uc758 \uc774\uc9c8\uc131\uc73c\ub85c \uc778\ud574 \uc2e0\ub8b0\ud560 \uc218 \uc788\ub294 \uc774\uc790\uc728\uc744 \ucd94\ucd9c\ud560 \uc218 \uc5c6\uac8c \ub41c\ub2e4. \ub530\ub77c\uc11c \uc774\uc885\ucc44\uad8c\uc758 \uc774\uc790\uc728 \uae30\uac04 \uad6c\uc870\ub97c \ud1a0\ub300\ub85c \ud558\uc5ec \uc2e0\ub8b0\ud560 \uc218 \uc788\ub294 \uc774\uc790\uc728 \ucd94\ucd9c\uc774 \uac00\ub2a5\ud558\ub3c4\ub85d \ubb34\uc774\ud45c\ucc44\uad8c\uc758 \ub9cc\uae30\uc218\uc775\ub960\uc778 \ud604\ubb3c\uc774\uc790\uc728(zero rate \ud639\uc740 spot … \ub354 \uc77d\uae30<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[610],"tags":[1301,3426,3427],"class_list":["post-1023","post","type-post","status-publish","format-standard","hentry","category-capital-market","tag-1301","tag-3426","tag-bootstrapping"],"_links":{"self":[{"href":"https:\/\/i-kiin.net\/index.php?rest_route=\/wp\/v2\/posts\/1023","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/i-kiin.net\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/i-kiin.net\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/i-kiin.net\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/i-kiin.net\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1023"}],"version-history":[{"count":0,"href":"https:\/\/i-kiin.net\/index.php?rest_route=\/wp\/v2\/posts\/1023\/revisions"}],"wp:attachment":[{"href":"https:\/\/i-kiin.net\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1023"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/i-kiin.net\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1023"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/i-kiin.net\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1023"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}