利率挂钩产品定价研究——以区间累积型产品为例  

Research on the Pricing of Interest Rate Linked Structured Products——Taking a Range-cumulative Financial Products as an Example

作　　者：吕彦昭[1] 伍晓静 原艺 

机构地区：[1]哈尔滨工程大学经济管理学院

出　　处：《财会通讯（中）》2017年第5期3-7,共5页Communication of Finance and Accounting

基　　金：国家社会科学基金资助项目(项目编号:15BJY036);黑龙江省自然科学基金资助项目(项目编号:G2015005);黑龙江省社会科学基金资助项目(项目编号:14B073)阶段性研究成果

摘　　要：利率挂钩产品是市场上重要的结构性金融产品,其公平定价是买卖双方关注的重点。本文通过构建利率挂钩产品定价的一般模式,从而为此类产品进行公平定价。该产品定价的一般模式包括利率期限结构的确定、产品现金流的分解与确定、产品的定价、产品价格的敏感性分析等,使用LMM市场利率模型和蒙特卡罗模拟估计贴现率和挂钩利率的期限结构,从而确定产品未来现金流,将产品现金流贴现就得出产品的理论价格。选取区间累积型利率挂钩产品作为样本进行定价。结果显示:该产品为折价发行,值得投资者投资;敏感性分析结果显示,价格与产品期限的变动正相关,价格与贴现率及其波动率的变动负相关。Interest rate linked products are important structured finance products on the market,price is undoubtedly an important aspect for both buyers and sellers.After building a general model,the fair prices of interest rate linked products can be calculated.The model includes four parts:calculating the term structure of interest rates,cash flow decomposition and determination,the pricing progress and sensitivity analysis.LMM market interest rate model and Monte Carlo simulation are used to estimate the discount rate and interest rate term structure,then the future cash flows of products is identified.The theoretical price of the product is obtained by the discounted cash flow.In the empirical analysis,a range-cumulative interest rate linked product was selected to be priced fairly.The result of pricing shows that the sample product sold at a discount.So it is worth investing. After sensitivity analysis,conclusions can be drawn that the theoretical price is negatively related with discount rate and its change rate.

关 键 词：利率挂钩产品 公平定价 LMM模型 敏感性分析 

分 类 号：F822.0[经济管理—财政学]