利率互换的定价模型及其实证研究  

Pricing Model and Empirical Research on the Mutual Exchange of Interest RateSwap

作　　者：惠恩才[1] 

机构地区：[1]东北财经大学建设管理学院,辽宁大连116023

出　　处：《经济管理》2007年第24期51-55,共5页Business and Management Journal ( BMJ )

摘　　要：本文研究利率互换的定价模型,以及利率互换的定价过程。从选取债券到拟合理论即期利率曲线、远期利率曲线,最后拟合出互换利率曲线,并对上述的定价模型和过程进行实证研究。对拟合结果与目前市场报价的相同点和差异进行分析,并对国内利率互换的套期保值策略进行实证研究。This article studies pricing model and pricing course of interest rate swap.From choosing bond to receiving the immediate interest rate curve, long-term interest rate curve, and get exchange curves of interest rate finally.Carry on the positive research to pricing model and course described above. Analyze same spot and the difference of result and present market quoted price, and conductS positive research to the domestic interest rate exchange hedge strategy.

关 键 词：利率互换 浮动利率 套期保值 利差收益 

分 类 号：F830.9[经济管理—金融学]