期限结构估测法在利率衍生产品定价中的应用

【作者】 钟赞；

【导师】 谢赤；

【作者基本信息】 湖南大学 ， 金融学， 2002， 硕士

【摘要】 近些年来，随着利率衍生产品在国际金融市场上的蓬勃发展，交易规模不断扩大，地位不断提升。如何对利率衍生产品进行精确合理地定价就显得尤为重要。本硕士论文在综合国外学者研究成果的基础上，主要从影响利率衍生产品估价的期限结构估测方法出发，具体详细地研究了三种利率期限结构估测方法(线性插值法、三次样条插值法、立方插值法)及其在利率衍生产品定价中的应用。通过将这三种期限结构估测方法应用于零息收益曲线构造，应用于零息国债及其期权、附息债券、利率互换、利率互换期权、远期利率协议、利率上限、利率下限等利率衍生产品价格的估测，并比较所估测结果的误差，得出的结论是：三种期限结构估测方法会导致在计算不同利率衍生产品价格时产生差异。立方插值法在零息收益曲线的构造时以及在对附息债券、债券期权、利率互换定价时优于三次样条插值法和线性插值法，是三种插值方法中最好的方法。当三种期限结构估测方法应用于利率互换期权、利率上限期权、利率下限期权、远期利率定价时，立方插值法和三次样条插值法尽管都优于线性插值法，但是它们之间却没有优劣之分。总之，立方插值法优于其他两种插值方法。因此，在构造零息收益曲线，或为利率衍生产品进行定价时；应尽可能地使用立方插值法。更多还原

【Abstract】 In recent years, With the development of interest rate derivative products (IRDP) on the international financial market. The trade scale of IRDP has been enlarged and role enhanced. Valuing these IRDP rationally and precisely has been increasingly important.Based on the research of foreign scholars. This paper studies three methods of term structure estimation (linear interpolation, spline interpolation, cubic interpolation) proceeding from methods of term structure estimation about yield curve that affect the valuation of IRDP. Through applying the three methods of term structure estimation to the construction of zero-yield curve and to the pricing of zero-bond, zero-bond option, coup bond, interest rate swap, interest rate swap option, interest rate cap, interest rate floor, forward rate agreement. Comparing the calculation errors of the three methods of term structure estimation. This paper reaches a conclusion that the three methods of term structure estimation lead to the difference of the pricing of IRDP and that the cubic interpolation is the best method when these methods are applied to construction of zero-yield curve and evaluation of coup bond, zero-bond option and interest rate swap. But when these methods are applied to evaluation of interest rate swap option, interest rate cap, interest rate floor, forward rate agreement, Both the cubic interpolation and the spline interpolation are superior to the linear interpolation, but the cubic interpolation and the spline interpolation are almost same.In a word, because the cubic interpolation is superior to the other two methods, we should use the cubic interpolation for construction of zero-yield curve and for evaluation of the IRDP as far as possible.更多还原