Study On Pricing Method Andapplication In Practice Of Rmb Interest Rate Swap

With development and strengthening of financial liberalization and financial globalization, each national financial market is facing interest rate risk and exchange rate risk. Interest rate swap as derivative financial instrument which produced in this background, it can effectively avoid interest rate risk, lower financing costs and optimize the structure of assets and liabilities. As the good function of interest rate swap, it is widely used in financial markets in the west and becoming the most main financial derivative in the international financial markets. With the reform of the domestic interest rate market deepening, financial market introduces interest rate swap which has played a good role in promoting development of Chinese financial market.Based on the literature at home and abroad, the paper detailed expounds the relevant features and application of interest rate swap. Combine with the domestic RMB interest rate swap transaction, the paper makes some discussion and research about the RMB interest rate swap pricing method and the domestic interest rate swap market's further improvement of development.The paper's main research contents include:Firstly, by describing the development conditions and trends of international and domestic interest rate swap market, to define interest rate swap has become the most important financial derivative in financial market. Through consulting the theoretical date at home and abroad, to develop a systematic literature review of interest rate swap.Secondly, on the basis of relevant theories, systematic analysis the function, trading motives, trading mechanism, trading patterns and risk management on interest rate swap. It can provide a comprehensive understanding of interest rate swap for market investors.Thirdly, combine with the domestic RMB interest rate swap market, to mainly expatiate the RMB interest rate swap pricing method based on zero-coupon pricing under the risk-free condition. And to make pricing empirical research on interest rate swap which based on one-year deposit interest rate and seven-day repossessed interest rate. According to the empirical results, to indicate the main factors and the practical factors that affect the RMB interest rate swap pricing.Fourthly, collected and neatened a large number of actual market date, to sum up the development status of the domestic interest rate swap market from multiple angles. And to make case analysis on interest rate swap case which about China development bank and China ever bright bank. Based on the comprehensive analysis, to point out the developmental barriers of the domestic interest rate swap, and bring forward some pertinent policy advice on how to perfectly develop the interest rate swap market.Based on in-depth study, the main conclusions of this paper include:Firstly, interest rate swap as a mature and basic financial derivative, it can avoid interest rate risk, lower financing costs and optimize the structure of assets and liabilities for bank and other financial institutions and enterprises, and make contribution for the better development of financial market. Secondly, through the empirical results of interest rate swap pricing, with the term structure of interest rates by financial bonds, to be effectively pricing for the current RMB interest rate swap base on zero-coupon pricing. It can provide pricing reference for the actual interest rate swap transaction.Thirdly, by the empirical analysis of interest rate swap pricing, to indicate that the main factors affecting pricing of interest rate swap are term structure of interest rates and floating benchmark interest rate. And IRS pricing is also affected by other actual factors, such as swapper on future interest rate expectations, market demand and supply situation of fixed-rate funds, swap market liquidity, and so on.Fourthly, although the domestic interest rate swap market has developed rapidly, there are some developmental barriers. So it is necessary to further interest rate market reform, set up benchmark interest rate, improve term structure of interest rates, speed up market cultivation, perfect the laws and regulations, to expand market access and strengthen the credit risk control.