{"id":29886,"date":"2023-12-07T08:45:54","date_gmt":"2023-12-07T08:45:54","guid":{"rendered":"https:\/\/masterskills.org\/blog\/duong-cong-lai-suat-giao-ngay-cua-trai-phieu-kho-bac-spot-rate-treasury-curve-la-gi.html"},"modified":"2023-12-23T06:10:59","modified_gmt":"2023-12-22T23:10:59","slug":"duong-cong-lai-suat-giao-ngay-cua-trai-phieu-kho-bac-spot-rate-treasury-curve-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/duong-cong-lai-suat-giao-ngay-cua-trai-phieu-kho-bac-spot-rate-treasury-curve-la-gi.html","title":{"rendered":"\u0110\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c (Spot Rate Treasury Curve) l\u00e0 g\u00ec?"},"content":{"rendered":"
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H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: xplaind.com<\/p>\n<\/figcaption><\/figure>\n

\u0110\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

\u0110\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay<\/b> c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c<\/b> trong ti\u1ebfng Anh l\u00e0 Spot Rate Treasury Curve<\/b>.<\/p>\n

\u0110\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c<\/b> l\u00e0 \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t \u0111\u01b0\u1ee3c x\u00e2y d\u1ef1ng b\u1eb1ng l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c. N\u00f3 l\u00e0 m\u1ed9t \u0111i\u1ec3m chu\u1ea9n h\u1eefu \u00edch cho vi\u1ec7c \u0111\u1ecbnh gi\u00e1 tr\u00e1i phi\u1ebfu.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p \u0111\u01a1n gi\u1ea3n nh\u1ea5t \u0111\u1ec3 x\u00e2y d\u1ef1ng \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t n\u00e0y l\u00e0 s\u1eed d\u1ee5ng l\u00e3i su\u1ea5t c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c\u00a0zero-coupon.<\/p>\n

N\u1ed9i dung<\/font><\/h3>\n

Gi\u00e1 tr\u00e1i phi\u1ebfu d\u1ef1a tr\u00ean l\u00e3i su\u1ea5t giao ngay s\u1ebd t\u00ednh \u0111\u1ebfn d\u1ef1 t\u00ednh v\u1ec1 thay \u0111\u1ed5i c\u1ee7a \u0111i\u1ec1u ki\u1ec7n th\u1ecb tr\u01b0\u1eddng. V\u1ec1 m\u1eb7t l\u00ed thuy\u1ebft, l\u00e3i su\u1ea5t giao ngay ho\u1eb7c l\u00e3i su\u1ea5t \u0111\u00e1o h\u1ea1n c\u0169ng gi\u1ed1ng nh\u01b0 l\u00e3i su\u1ea5t c\u1ee7a tr\u00e1i phi\u1ebfu l\u00e3i su\u1ea5t zero-coupon c\u00f9ng th\u1eddi \u0111i\u1ec3m \u0111\u00e1o h\u1ea1n.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p l\u1eb7p (iterative method) ho\u1eb7c ph\u01b0\u01a1ng ph\u00e1p bootstrapping \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh gi\u00e1 c\u1ee7a tr\u00e1i phi\u1ebfu c\u00f3 tr\u1ea3 coupon.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p bootstrapping v\u1ec1 c\u01a1 b\u1ea3n \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 l\u1ea5p \u0111\u1ea7y kho\u1ea3ng tr\u1ed1ng l\u00e3i su\u1ea5t c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c. V\u00ec l\u00e3i su\u1ea5t giao ngay kh\u00f4ng c\u00f3 s\u1eb5n th\u00f4ng tin c\u1ee7a t\u1ea5t c\u1ea3 c\u00e1c th\u1eddi \u0111i\u1ec3m, ph\u01b0\u01a1ng ph\u00e1p bootstrapping \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u0111i\u1ec1n v\u00e0o c\u00e1c s\u1ed1 li\u1ec7u c\u00f2n thi\u1ebfu, t\u1eeb \u0111\u00f3 c\u00f3 th\u1ec3 x\u00e2y d\u1ef1ng \u0111\u01b0\u1ee3c \u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t.<\/p>\n

Tr\u00e1i phi\u1ebfu th\u01b0\u1eddng c\u00f3 nhi\u1ec1u l\u1ea7n thanh to\u00e1n coupon trong su\u1ed1t v\u00f2ng \u0111\u1eddi c\u1ee7a tr\u00e1i phi\u1ebfu. V\u00ec v\u1eady, v\u1ec1 m\u1eb7t l\u00ed thuy\u1ebft l\u00e0 kh\u00f4ng ch\u00ednh x\u00e1c khi ch\u1ec9 s\u1eed d\u1ee5ng m\u1ed9t m\u1ee9c l\u00e3i su\u1ea5t \u0111\u1ec3 chi\u1ebft kh\u1ea5u t\u1ea5t c\u1ea3 c\u00e1c d\u00f2ng ti\u1ec1n.<\/p>\n

\u0110\u1ec3 \u0111\u1ecbnh gi\u00e1 m\u1ed9t tr\u00e1i phi\u1ebfu m\u1ed9t c\u00e1ch th\u00edch h\u1ee3p, c\u00e1ch t\u1ed1t nh\u1ea5t l\u00e0 k\u1ebft h\u1ee3p v\u00e0 chi\u1ebft kh\u1ea5u c\u00e1c l\u1ea7n thanh to\u00e1n coupon v\u1edbi \u0111i\u1ec3m t\u01b0\u01a1ng \u1ee9ng tr\u00ean \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c. \u0110i\u1ec1u n\u00e0y cho ph\u00e9p ch\u00fang ta \u0111\u1ecbnh gi\u00e1 gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i c\u1ee7a m\u1ed7i coupon.<\/p>\n

Tr\u00e1i phi\u1ebfu phi\u1ebfu coupon c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c coi l\u00e0 m\u1ed9t t\u1eadp h\u1ee3p c\u00e1c tr\u00e1i phi\u1ebfu zero-coupon, trong \u0111\u00f3 m\u1ed7i coupon l\u00e0 m\u1ed9t tr\u00e1i phi\u1ebfu zero-coupon \u0111\u00e1o h\u1ea1n c\u00f9ng th\u1eddi \u0111i\u1ec3m tr\u00e1i ch\u1ee7 nh\u1eadn \u0111\u01b0\u1ee3c coupon.<\/p>\n

M\u1eb7c d\u00f9 th\u1ecb tr\u01b0\u1eddng tr\u00e1i phi\u1ebfu kho b\u1ea1c r\u1ea5t r\u1ed9ng l\u1edbn, d\u1eef li\u1ec7u th\u1ef1c kh\u00f4ng c\u00f3 s\u1eb5n cho t\u1ea5t c\u1ea3 c\u00e1c th\u1eddi \u0111i\u1ec3m trong khung th\u1eddi gian xem x\u00e9t. Nh\u01b0ng tr\u00ean th\u1ef1c t\u1ebf, t\u1ec9 gi\u00e1 giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c zero-coupon \u0111\u01b0\u1ee3c n\u1ed1i v\u1edbi nhau \u0111\u1ec3 t\u1ea1o th\u00e0nh \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c. N\u00f3 c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 chi\u1ebft kh\u1ea5u c\u00e1c kho\u1ea3n thanh to\u00e1n coupon.<\/p>\n

V\u00ed d\u1ee5<\/font><\/h3>\n

Gi\u1ea3 s\u1eed tr\u00e1i phi\u1ebfu c\u00f3 k\u00ec h\u1ea1n 2 n\u0103m, l\u00e3i su\u1ea5t coupon l\u00e0 10%, c\u00f3 m\u1ec7nh gi\u00e1 $100 \u0111ang \u0111\u01b0\u1ee3c \u0111\u1ecbnh gi\u00e1 b\u1eb1ng l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c.<\/p>\n

L\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c cho b\u1ed1n k\u00ec (m\u1ed7i n\u0103m hai k\u00ec) l\u00e0 8%; 8,05%; 8,1% v\u00e0 8,12%. B\u1ed1n d\u00f2ng ti\u1ec1n t\u01b0\u01a1ng \u1ee9ng l\u00e0 $5 (\u0111\u01b0\u1ee3c t\u00ednh l\u00e0 10%\/2 x $100), $5, $5, $105 (thanh to\u00e1n phi\u1ebfu l\u00e3i c\u1ed9ng v\u1edbi gi\u00e1 tr\u1ecb g\u1ed1c khi \u0111\u00e1o h\u1ea1n). Khi ch\u00fang ta v\u1ebd l\u00e3i su\u1ea5t giao ngay d\u1ef1a v\u00e0o ng\u00e0y \u0111\u00e1o h\u1ea1n, ch\u00fang ta s\u1ebd c\u00f3 t\u1ef7 l\u1ec7 giao ngay ho\u1eb7c \u0111\u01b0\u1eddng cong b\u1eb1ng kh\u00f4ng (zero curve).<\/p>\n

S\u1eed d\u1ee5ng ph\u01b0\u01a1ng ph\u00e1p bootstrapping, s\u1ed1 k\u00ec s\u1ebd \u0111\u01b0\u1ee3c ch\u1ec9 \u0111\u1ecbnh l\u00e0 0,5; 1; 1,5 v\u00e0 2, trong \u0111\u00f3 0,5 l\u00e0 kho\u1ea3ng th\u1eddi gian 6 th\u00e1ng \u0111\u1ea7u ti\u00ean, 1 l\u00e0 kho\u1ea3ng th\u1eddi gian 6 th\u00e1ng th\u1ee9 hai t\u00edch l\u0169y…Gi\u00e1 tr\u1ecb hi\u1ec7n t\u1ea1i cho m\u1ed7i d\u00f2ng ti\u1ec1n t\u01b0\u01a1ng \u1ee9ng s\u1ebd l\u00e0:<\/p>\n

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\u00a0V\u1ec1 m\u1eb7t l\u00fd thuy\u1ebft, gi\u00e1 th\u1ecb tr\u01b0\u1eddng c\u1ee7a tr\u00e1i phi\u1ebfu n\u00ean l\u00e0 $103,71. Tuy nhi\u00ean, \u0111\u00e2y kh\u00f4ng nh\u1ea5t thi\u1ebft l\u00e0 gi\u00e1 b\u00e1n cu\u1ed1i c\u00f9ng c\u1ee7a tr\u00e1i phi\u1ebfu.<\/p>\n

L\u00e3i su\u1ea5t giao ngay \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 t\u00ednh gi\u00e1 tr\u00e1i phi\u1ebfu s\u1eed d\u1ee5ng l\u00e3i su\u1ea5t c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c kh\u00f4ng c\u00f3 r\u1ee7i ro v\u1ee1 n\u1ee3 (default-free Treasuries). V\u00ec v\u1eady, gi\u00e1 tr\u00e1i phi\u1ebfu doanh nghi\u1ec7p s\u1ebd c\u1ea7n \u0111\u01b0\u1ee3c chi\u1ebft kh\u1ea5u th\u00eam \u0111\u1ec3 t\u00ednh \u0111\u1ebfn r\u1ee7i ro gia t\u0103ng c\u1ee7a ch\u00fang so v\u1edbi tr\u00e1i phi\u1ebfu kho b\u1ea1c.<\/p>\n

\u0110i\u1ec1u quan tr\u1ecdng c\u1ea7n l\u01b0u \u00fd l\u00e0 \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c kh\u00f4ng ph\u1ea3i l\u00e0 m\u1ed9t ch\u1ec9 s\u1ed1 ch\u00ednh x\u00e1c v\u1ec1 l\u00e3i su\u1ea5t trung b\u00ecnh c\u1ee7a th\u1ecb tr\u01b0\u1eddng v\u00ec h\u1ea7u h\u1ebft tr\u00e1i phi\u1ebfu kh\u00f4ng ph\u1ea3i l\u00e0 tr\u00e1i phi\u1ebfu zero-coupon.<\/p>\n

(Ngu\u1ed3n tham kh\u1ea3o: Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n \u0110\u01b0\u1eddng cong l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c\t(ti\u1ebfng Anh: Spot Rate Treasury Curve) l\u00e0 \u0111\u01b0\u1eddng cong l\u00e3i su\u1ea5t \u0111\u01b0\u1ee3c x\u00e2y d\u1ef1ng b\u1eb1ng l\u00e3i su\u1ea5t giao ngay c\u1ee7a tr\u00e1i phi\u1ebfu kho b\u1ea1c. N\u00f3 l\u00e0 m\u1ed9t \u0111i\u1ec3m chu\u1ea9n h\u1eefu \u00edch cho vi\u1ec7c \u0111\u1ecbnh gi\u00e1 tr\u00e1i phi\u1ebfu.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29886"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=29886"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29886\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=29886"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=29886"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=29886"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}