An Analytic Solution for Interest Rate Swap Spreads
An Analytic Solution for Interest Rate Swap Spreads
复制标题
利率掉期利差的分析解
DOI：
10.2139/ssrn.6460
复制
发表时间：
1995
期刊：
影响因子：
--
通讯作者：
Mark Grinblatt
中科院分区：
文献类型：
--
作者：
Mark Grinblatt
本文认为，政府证券和短期欧洲美元借款之间的流动性差异导致了利率掉期利差。然后，它将流动性便利性建模为两个均值回归状态变量的线性函数并对其进行估值。特定期限掉期的利率掉期利差是该值的年化等值。它有一个封闭形式的解决方案：简单的积分。研究的特殊案例包括 Vasicek (1977) 和 Cox-Ingersoll-Ross (1985) 单因素期限结构模型。氮
This paper argues that liquidity differences between government securities and short term Eurodollar borrowings account for interest rate swap spreads. It then models the convenience of liquidity as a linear function of two mean-reverting state variables and values it. The interest rate swap spread for a swap of particular maturity is the annuitized equivalent of this value. It has a closed form solution: a simple integral. Special cases examined include the Vasicek (1977) and Cox-Ingersoll-Ross (1985) one-factor term structure models. N