Table 1: Constant volatility interest rate parameters.

Deadline year(s)
Price of bonds (yuan)
Volatility of short-term interest rate (%)
Annual profit rate of bonds (%)
1-year long-term interest rate (%)
Variance Sum of Delta (%)
Delta
(%)
Drift item
(%)
Sum of drift items (%)
Expectation (%)

0 1.66.1450.01280.01280.45480.45486.145
10.9404 6.145 6.5870.0002560.05120.03841.2304 1.6852 6.5998
20.8805 6.366 7.779 0.001280.11520.064−0.414 1.27127.8302
30.8146 6.837 7.3010.003584 0.20480.0896 7.4162
40.7572 6.953 0.00768