人民币利率互换合约估值模型的探讨

On a valuation model for RMB interest rate swaps

人民币利率互换交易是一项新生事物，在国内外部缺乏对其合约估值的实践研究。由于中国债券市场的特殊情况，也不能照搬国外的模型进行估值。文章从金融工程“现金流复制”的基本思想出发，提出了一种新型的估值模型——“票患风险调整的盯住到期收益率法”，结合实例探讨了其中的票患调整、风险调整及基础利率因子处理等问题，并给出了连续估值的结果。

As an innovative tool, RMB interest rate swaps find no empirical research on its contract valuation both at home or abroad, while the current specifics of China＇s bond market determines the inapplicability of Western valuation models. This paper, starting from the financial engineering fundamentals of ＂cash flow replication＂, puts forward a new valuation model, ＂a coupon and risk adjusted valuation model with the OTC swap pegged to a bond＇s YTM＂. It also offers examples to discuss such issues as coupon adjustment, risk adjustment, and reference rate factors, and after that, provides the output of continuous valuation.