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SOFR互换的无套利定价与对冲

文章 arXiv papers · 作者: Matthew Bickersteth et al.
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总结

本文概述了与有担保隔夜融资利率（SOFR）挂钩的利率互换定价和对冲框架。该美元参考利率曾被提出作为 LIBOR 的候选替代利率。框架涵盖有抵押和无抵押互换，并考虑到抵押安排会影响估值和对冲成本。

所提对冲方法使用 SOFR 期货，并结合对冲账户和保证金账户各自适用的融资利率。单因子 Vasicek 模型描述 SOFR 与其他隔夜利率（包括无担保融资利率）的联合动态，以支持无套利估值和对冲分析。文中介绍了模型设定和工具，但未报告实证结果、校准细节或对冲表现评估。采用简化的单因子模型，也可能限制其对利率和融资市场复杂性的刻画能力。

核心观点

  • 该框架为有抵押和无抵押的 SOFR 参考利率互换定价。
  • SOFR 期货作为对冲工具，并结合账户特定的融资利率。
  • 单因子 Vasicek 模型描述相关隔夜利率的联合动态。
  • 文档介绍了一种建模方法，但未提供实证表现证据。

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固定收益期货衍生品定价风险管理
全文
# Pricing and hedging of SOFR derivatives


# Pricing and hedging of SOFR derivatives









The LIBOR has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017 the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021 and the New York Fed declared the Treasury repo financing rate, called the Secured Overnight Financing Rate (SOFR), as a candidate for a new reference rate for interest rate swaps denominated in U.S. dollars. We examine arbitrage-free pricing and hedging of swaps referencing SOFR without and with collateral backing. As hedging instruments, we take SOFR futures and idiosyncratic funding rates for the hedge and margin account. For simplicity, a one-factor model based on Vasicek's equation is used to specify the joint dynamics of several overnight interest rates, including the SOFR and unsecured funding rate.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。