利率互换定价存在的障碍及解决办法  

The Existing Obstacles for Pricing of Interest Rate Swap and the Solution to it

作　　者：朱世武[1] 邢艳丹[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融理论与实践》2006年第6期9-11,共3页Financial Theory and Practice

基　　金：国家自然科学基金资助项目(70273016)

摘　　要：根据我国利率互换市场现状,着重分析我国利率互换定价目前存在的障碍,阐述一种可行的定价方法,通过拟合交易所国债的利率期限结构计算出远期利率代替未来浮动端的参考利率确定浮动端现金流,令利率互换固定端现金流与之相等,得出固定利率。定价结果表明本文阐述的方法能够提供一种较为有效的对利率互换定价的方法,可以作为实际交易过程中的定价参考。According to the status quo of interest rate swap market, the author makes a stressed analysis on the existing obstacles for interest rate swap pricing and illustrates a feasible pricing method. By assuming the interest rate maturity structure of the exchange treasury bonds to calculate the forward interest rate in substitution for future floating end reference interest rate, the author intends to determine the floating end cash flow, to let fixed end cash flow equal to it, and works out fixed interest rate. The pricing result suggests that method expatiated in this paper can offer a quite effective method for interest rate swap pricing, and can be made a pricing reference in the course of realistic transactions.

关 键 词：利率互换定价 利率期限结构 Nelson-Siegel及Svensson扩展模型 

分 类 号：F830.9[经济管理—金融学]