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本文的主要研究内容是提出一种新的对含互换期权的浮动利率债券产品组合进行定价的方法,该方法基于LIBOR市场模型,通过对SHIBOR利率即期收益率曲线进行插值估计并确定初始远期利率,然后依据历史数据校正利率波动率作为蒙特卡洛模拟的输入参数对SHIBOR利率进行模拟,并结合SHIBOR利率模拟结果估计一年期定存利率的路径,最终得出含权债券的定价结果。实证结果表明模型能够较好的对产品进行定价,但当前市场基准利率和市场制度的不完善性会一定程度影响该模型的定价效果。
The main research content of this paper is to propose a new pricing method for floating-rate bond product portfolio with swap options. This method is based on the LIBOR market model, and interpolates the current yield curve of SHIBOR by interpolation and determines the initial distance Then the rate of interest rate volatility is adjusted according to the historical data as the input parameter of Monte Carlo simulation to simulate the rate of SHIBOR and the path of the one-year fixed deposit rate is estimated with the result of SHIBOR rate simulation. Finally, the pricing result of option bond . The empirical results show that the model can better product pricing, but the current market benchmark interest rates and market imperfections will to some extent affect the pricing effect of the model.