利率互换定价中贴现收益率曲线的选择  

The selection of discount yield curves in RMB IRS pricing

作　　者：郑葵方[1,2] 

机构地区：[1]中国建设银行博士后工作站 [2]中国社会科学院金融研究所

出　　处：《中国货币市场》2009年第4期50-53,共4页China Money

摘　　要：该文以基于7天回购利率(FR007)的利率互换(IRS)为例,讨论在人民币IRS定价中的核心问题——贴现收益率曲线的选择。在对FR007的1年、3年和5年期IRS进行定价分析后发现:适宜采用国债到期收益率曲线进行单利贴现定价,由此计算的理论价格与实际价格走势基本一致且差距最小,而央票和政策性金融债收益率曲线贴现的理论价格线总是成为IRS的阻力线。This paper studies the key issue of RMB Interest Rate Swap （IRS） pricing - the selection of discount yield curves, taking IRS based on 7-day repurchase rate （FR007） as a case study. Pricing analyses of 1-year, 3-year and 5-year FR007-pegged swaps show that it is suitable to use the national debt yield to maturity curve to carry out simple interest discount pricing. The theoretical prices calculated by the above pricing method are basically in accordance with real IRS trading prices trend and show the least difference. Meanwhile, the theoretical price curves based on yield curves of central bank notes and policy-based financial bonds are always FR007-pegged swaps price ceilings.

关 键 词：利率互换 人民币衍生产品 资产定价 

分 类 号：F224[经济管理—国民经济] F832.5