ESTIMATION SYSTEM FOR TERM STRUCTURE OF REFUND RATE BEFORE TERM, CALCULATION SYSTEM FOR FUTURE CASHFLOW AND EVALUATION SYSTEM FOR CURRENT PRICE OF BEFORE-TERM REFUND RISK INCLUSION TYPE DERIVATIVE

摘要

PROBLEM TO BE SOLVED: To provide a system which estimates the term structure of a before- term refund rate and further to provide an evaluation system for the current price of a before-term refund risk inclusion type derivative on which a before- term refund risk is accurately reflected.;SOLUTION: This term structure estimation system estimates the before-term refund rate of refund of a specified debt before a return term. Specially, this system is provided with a recursive analysis means which takes a recursive analysis by using, as a parameter, a variable regarding months lasping after the specific debt is generated. Further, the system is equipped with a before-term refund rate estimating means which estimates a before-term refund rate according to the result obtained by the recursive analysis means.;COPYRIGHT: (C)2003,JPO