回购凸性

摘要：

在市场回购利率隐含的回购贴现和从基础债券的市场价格中剥离的债券贴现之间存在一个可观察的基础。在这里，这个基础被解释为一个凸性效应所产生的贴现率之间的衍生产品和债券的去相关。使用Hull-White模型的贴现基础，表达式推导出，可用于插入不同到期日的债券回购利率，并推断回购曲线贴现债券抵押衍生工具。

英文摘要：

There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the decorrelation between the discount rates for derivatives and bonds. Using a Hull-White model for the discount basis, expressions are derived that can be used to interpolate the repo rates of bonds with different maturities and to extrapolate the repo curve for discounting bond-collateralised derivatives.

机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。