摘要
文章基于做市商实践和市场发展实际,探讨了利用外汇远期法对货币掉期进行定价和估值,及使用市场可交易的隐含利率曲线得到货币基差互换这一基础风险因子价格的思路和方法,建议以外汇掉期作为起点、货币掉期作为外延,共同形成人民币的掉期折现曲线。文章基于此提出头寸管理的新要求。
The paper,based on market-makers’practices and the reality of market development,describes the ideas and methods of using FX forwards for the pricing and valuation of cross currency swaps and using implied tradable interest rate curve to discover the price of the underlying risk factor--the currency basis swap.It points out that we should form the swap discounting curve starting from FX swaps and extending to cross currency swaps.Based on this,the paper proposes new requirements for position management.
出处
《中国货币市场》
2019年第1期45-48,共4页
China Money
