互换价值的计量及定价

Valuing and pricing swaps

利率互换价值的计算主要有两种方法．一种方法是将互换视为固定利率债券和浮动利率债券的组合．另一种方法是将互换视为一系列远期利率协议的组合．在确定了互换价值的计算公式后．互换的定价就是在互换合约建立时．找到使互换价值等于零的互换利率。

There are two equivalent ways to value swaps： the first is to view swap as a portfolio of fixed and floating rate bonds, and the second is to view it as a portfolio of forward rate agreements （FRAs）. After establishing the computing formula for swap value, swap pricing means that at the time the swap contract is signed finding the swap rate that makes the swap value equal to zero.