| 关于利率互换定价模型的设计与软件开发 |
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| 引用本文： | 万正晓. 关于利率互换定价模型的设计与软件开发[J]. 河南师范大学学报(自然科学版), 2002, 30(3): 96-99 |
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| 作者姓名： | 万正晓 |
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| 作者单位： | 河南师范大学经济与管理学院,河南,新乡,453002 |
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| 摘 要： | 本在阐述互换原理的基础上,借鉴西方学的研究成果。试图构建一种适合中国金融市场的利率互换模型,通过可视化定价软件的开发,对利率互换涉及的有关参数进行了较为详细的实证研究,拟探索互换交易在我国推广的可操作性途径。
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| 关 键 词： | 利率互换 定价模型 风险控制 |
| 文章编号： | 1000-2367(2002)03-0096-04 |
| 修稿时间： | 2002-04-17 |
Software of Pricing Model for Interest Rate Swaps on The Basis of Zero Coupon Bonds in China |
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| WAN Zheng xiao. Software of Pricing Model for Interest Rate Swaps on The Basis of Zero Coupon Bonds in China[J]. Journal of Henan Normal University(Natural Science), 2002, 30(3): 96-99 |
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| Authors: | WAN Zheng xiao |
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| Abstract: | Along with the reforms of financial system in China, the interest rate of RMB will fluctuate according to the market. This implicates that companies and banks must take measures to avoid the risks involved in. In this paper, on the basis of research works in western countries, we shall construct a pricing model for Interest Rate Swaps and establish the key subprograms of the pricing software suitable for the Chinese market. |
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| Keywords: | Interest Rate Swap Pricing Model Risk controls |
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