The Study Of RMB Interest Rate Swap Pricing

With the deepening of market reform of interest rate and exchange rate in China,financial institutions and enterprises is faced with more and more interest rate risk. As thetool for risk hedging and resource allocation, interest rate swap plays a more prominent role inthe future. At this stage, there are few studies in field of interest rate swaps in our country, andit’s obviously insufficient to research issues about swap pricing and pricing factors. Therefore,the study of the RMB interest rate swap is urgent and necessary.This paper studies the RMB interest rate swap pricing issues. On the basis of the latestresearch results at home and abroad, combining the development status of the domesticinterest rate swap market, by constructing arbitrage model based on non-arbitrage principle, toinspect the accuracy of the pricing of RMB interest rate swap. And with the use of MS-VARmodel to analyze the factors effect of interest rate swap pricing. Resolved in the statetransition conditions, the paper explains the impact factors of interest rate swap pricing indifferent duration. In order to discuss the direction of interest rate swap pricing in depth, thepaper gets a preliminary conclusions.For the accuracy of interest rate pricing, the main product of the overall interest rateswap arbitrage space is relatively small. Combined with Chinese current financial marketenvironment, swap pricing is accurate relatively. However, in part of sample, arbitragestrategy can obtain higher returns. It proves that the pricing method still has certainimprovement space.For interest rate swap pricing factors, RMB interest rate swaps with different maturitiesshow different characteristics on pricing factors. In the short term of swap pricing, the factorsare the slope of the interest rate, liquidity compensation and credit risk compensation. In thelong-term of interest rate swap, only the impact of credit risk compensation is obvious.Pricing mechanism needs improvement in further. In addition, each interest rate swap pricinghas converting state characteristic.