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- W2014366383 abstract "An analytic theory of interest rates, carefully constructed starting from rst principles, is presented. It aims to provide a conceptual framework to unify the diverse phenomena associated with bonds. This paper contains Part I concerning solitary bonds; the sequel, to be published, will contain Part II concerning aggregates of bonds. The paper starts with a description and the de nitions of the fundamental quantities characterising the innate behaviour of a bond. It then proposes the e¤ective return rate on intrinsic value and the e¤ective interest rate as measures to evaluate the growth of an investment in a bond. The yield-tomaturity rate based on the discounting of cash-ows, conventionally used for that purpose, is next treated in such a manner as to allow detailed comparison with the e¤ective interest rate. This is achieved through the introduction of dimensionless quantities for the rates, the price and the remainder of the term. Figures of the relations between the dimensionless quantities bring out the di¤erences between the e¤ective interest rate and the yield-to-maturity rate. A (zeroth order) pricing model for bonds, which utilises the e¤ective return rate on intrinsic value and the e¤ective interest rate, completes the paper. Continuous and periodic compounding, the two interest calculation methods in use theoretically and practically, are juxtaposed throughout. Accordingly, the various rates are de ned for continuous as well as periodic compounding. An expression in one or more of the rates may hence appear in several disguises, each rate potentially doubling the number. The rules to convert expressions valid for one interest calculation method into the equivalent expressions valid for the other are formulated early on because they make for neat analyses which circumvent tedious derivations." @default.
- W2014366383 created "2016-06-24" @default.
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- W2014366383 date "2000-07-01" @default.
- W2014366383 modified "2023-09-28" @default.
- W2014366383 title "ANALYTIC THEORY OF INTEREST RATES PART I: SOLITARY BONDS" @default.
- W2014366383 doi "https://doi.org/10.1142/s0219024900000644" @default.
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