国债期限结构构造和人民币互换定价研究

发布时间：2018-11-02 07:31

【摘要】：利率期限结构是研究债券市场最基本的工具,它能够为投资者和金融监管部门提供良好的参考依据。虽然历史上有不少学者提出了许多不同的构造利率期限结构的方法,但在实际应用中仍然存在许多问题,如远期利率可能会出现负值、拟合曲线不满足局部性等。利率期限结构的正确刻画是非常有意义的,因此,在本文中我们将引入一种由Hagan和’West提出的新的插值方法,利用该方法来构造中国债券市场的利率期限结构,并在此基础上对人民币利率互换的定价进行相应的分析。本文主要采用理论推导与实证分析相结合的方法,对中国的国债期限结构的构造和人民币互换定价进行分析。全文共分为五章：第一章是绪论,说明本文的选题背景、研究意义和国内外研究现状；第二章是介绍一些常用的插值方法,并指出其存在的不足之处,以此作为本文的切入点；第三章引入单调凸样条方法并利用该方法来构造我国债券市场的利率期限结构,实证分析该方法的优越性；第四章是在第三章的基础上对我国的人民币利率互换的定价进行分析并验证；第五章是对本文进行总结,并对今后的工作提出展望。
[Abstract]:Term structure of interest rate is the most basic tool to study bond market, which can provide good reference for investors and financial supervision department. Although many scholars have put forward many different methods to construct term structure of interest rate, there are still many problems in practical application, such as negative value of forward interest rate and unsatisfied locality of fitting curve, etc. It is very meaningful to describe the term structure of interest rate correctly. In this paper, we will introduce a new interpolation method proposed by Hagan and 'West to construct the term structure of interest rate in Chinese bond market. On this basis, the pricing of RMB interest rate swap is analyzed. This paper mainly uses the method of theoretical derivation and empirical analysis to analyze the structure of the term structure of China's treasury bonds and the RMB swap pricing. The full text is divided into five chapters: the first chapter is an introduction, explaining the background of this paper, research significance and domestic and foreign research status, the second chapter is to introduce some commonly used interpolation methods, and point out their shortcomings, as the entry point of this paper; In chapter 3, the monotone convex spline method is introduced and used to construct the term structure of interest rate in China's bond market, and the advantages of this method are analyzed empirically. Chapter four analyzes and verifies the pricing of RMB interest rate swap in China on the basis of chapter three. Chapter five summarizes this paper and puts forward the prospect of the future work.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F812.5

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