Study For Pricing Of RMB Interest Rate Swap Based On No-arbitrage Model

Based on the pricing of RMB interest rate swap,the initial term structure of zero-coupon bond is taken as the input variable,and the price fluctuation of FR007 and SHIBOR?3M is taken as the volatility affecting the RMB interest rate swap model.This thesis studies the pricing results of Ho-Lee model,BDT model and HW single factor model in RMB interest rate swap pricing.Through the method of binary tree structure to determine Ho Lee model as well as the forward rate in BDT model,through the trigeminal tree diagram method to determine the HW forward rates of single factor model,with the forward rate discount,makes the present value is equal to the present value of the fixed rate discount,calculated the fixed interest rate,which is the price of RMB interest rate swap.This thesis is based on SHIBOR?3M's 6-month Ho-Lee model to price RMB interest rate swap,and shows that ho-Lee model is relatively stable in the short term.Based on the actual statistical results of 2020-2021,BDT model and HW model are used to price RMB interest rate swap respectively.The benchmark interest rates of these two models are SHIBOR?3M and FR007.Then we use Matlab software for modeling,Excel software for data analysis,Eviews software for parameter estimation,and finally compare the pricing results of Ho-Lee model,BDT model and HW model.The results show that the BDT model in SHIBOR one-year benchmark interest rate for RMB interest rate swap pricing in the more accurate,HW model based on FR007 one-year RMB interest rate swap pricing is good in response to clinch a deal the price change trend,the two models under different benchmark interest rate pricing results are close to actual transaction price.