IRS介紹資料2012年9月一、IRS合約估值及風(fēng)險(xiǎn)控制合約價(jià)值：定價(jià)方法1、建立零利率曲線2、計(jì)算零利率曲線對(duì)應(yīng)的遠(yuǎn)期利率3、根據(jù)遠(yuǎn)期利率和零利率曲線隱含的貼現(xiàn)因子，計(jì)算固定端、浮動(dòng)端的現(xiàn)金流現(xiàn)值4、匯總固定端、浮動(dòng)端的現(xiàn)金流現(xiàn)值，獲得合約現(xiàn)值T1T2T3T0第4頁(yè)

不同的收益率曲線，會(huì)給利率互換交易不同的價(jià)格需要構(gòu)造一條公允的收益率曲線做估值，即Mark-to-Market。名稱BidOfferMid1D2.53%7D3.52%3M3.43%3.53%3.48%6M3.36%3.46%3.51%9M3.35%3.45%3.40%1Y3.37%3.47%3.42%FR007利率互換價(jià)格（2011.6.7）CashRateSwapRate殖利率曲線第5頁(yè)

計(jì)價(jià)日（T=2011.6.7）:df=1

1D（2011.6.8）:df0=1/(1+2.53%/365)=

7D（2011.6.15):df_7D=df0/(1+3.52%*7/365)=Cash:01D3M6M9Mdf1df2df01貼現(xiàn)因子R為T1-T2之間的遠(yuǎn)期利率第6頁(yè)

Swap:

3M（2011.9.8）:df101D3M6M9Mdf1df01df2

主要關(guān)系df3貼現(xiàn)因子求解DV01GrowthStrategyHurdles&Threats第8頁(yè)

對(duì)于完整的Delta對(duì)沖，其結(jié)果，不管明天利率上升還是下降，組合交易的PV將不受影響。隨著時(shí)間的推移和市場(chǎng)的變更，交易的Delta也會(huì)發(fā)生變化，從而需要進(jìn)行調(diào)整。一般來說，交易做多了，將在整個(gè)賬戶上進(jìn)行調(diào)整，不再調(diào)整個(gè)別交易。Delta的曲線結(jié)構(gòu)二、IRS合約估值實(shí)務(wù)交易價(jià)格：外匯交易中心交易價(jià)格：Reuters報(bào)價(jià)Bloomberg應(yīng)用曲線重置利率現(xiàn)金流已經(jīng)發(fā)生的現(xiàn)金流預(yù)計(jì)的未來現(xiàn)金流三、多邊沖銷為什么需要多邊沖銷業(yè)務(wù)進(jìn)展四、交易策略與思路隱含的遠(yuǎn)期利率RepoSPOT3.25%3.10%3.08%3.07%3.04%3.04%FWD6m1Y2Y3Y4Y5Y2012/12/43.00%3.02%3.09%3.14%

2013/3/42.91%3.00%3.08%3.13%

2013/6/42.99%3.04%3.09%3.15%

2013/9/43.05%3.06%3.11%3.16%

2014/9/43.04%3.05%3.11%3.16%

2015/9/43.05%3.08%3.12%

2016/9/53.05%3.07%

Spot3.34%3.21%3.17%3.18%3.16%3.18%FWD6m1Y2Y3Y4Y5Y2012/12/263.04%3.09%3.16%3.25%

2013/3/263.02%3.09%3.17%3.26%

2013/6/263.10%3.12%3.20%3.28%

2013/9/263.12%3.12%3.21%3.30%

2014/9/263.17%3.20%3.28%3.36%

2015/9/283.23%3.26%3.34%

2016/9/263.27%3.31%

9月3日隱含的遠(yuǎn)期利率9月25日隱含的遠(yuǎn)期利率隱含的遠(yuǎn)期利率ShiborSPOT3.32%3.25%3.21%3.21%3.22%FWD1Y2Y3Y4Y5Y2013/9/43.18%3.16%3.17%

2014/9/43.17%3.19%3.21%

2015/9/43.21%3.23%

2016/9/53.23%

Spot3.48%3.41%3.38%3.35%3.36%FWD1Y2Y3Y4Y5Y2013/9/263.34%3.33%3.31%

2014/9/263.35%3.32%3.34%

2015/9/283.32%3.35%

2016/9/263.37%

9月3日隱含的遠(yuǎn)期利率9月25日隱含的遠(yuǎn)期利率回購(gòu)互換1Y