The Pricing Of RMB Interest Rate Swap Based On Different Yield Curve

Interest Rate Swap is one of the most popular derivatives on the international capital markets, it is usually use for interest rate risk management and asset allocation. The interest rate swap pricing is the key of the research field of interest rate swap, but nowadays, there is no standard curve to use for pricing. In contrast to the United States and other developed countries would have interest rate swap curve is used to build the perfect yield curve as well as the pricing of interest rate products, the research of swap curve in China is still lacking.In this paper, based on analyzing the current situation of the RMB interest rate swap in our country, discovered our country interest rate swap market has begun to take shape, interest rate swap curve gradually formed. Moreover, along with our country in recent years the swap spreads between interest rates and increased, using the traditional Treasury yield curve as a risk-free discount factor, may cause the larger deviation of swap pricing.In this paper we discussed the RMB interest rate swap pricing which is based on the Swap yield curve and the Treasury yield curve, to find out the RMB interest rate swap pricing mechanism. In the aspect of the construction of a curve, this article uses the quantitative models and bootstrap method, to get the discount factor and forward rates of different yield curve, and then use them to price RMB interest rate swap.Based on the size and liquidity of the market, this article selects the 1, 3, 5years FR007-IRS and 1, 2, 3 years 3M SHIBO R-IRS for pricing empirical. The results show that, for FR007 interest rate swap market, the swap yield curve is well for short term interest rate swaps pricing, long term interest rate swap is more suitable for using the Treasury yield curve; And in terms of 3M SHIBOR interest rate swap, use the swap curve for pricing is obviously better than the use of treasury yield curve.