Study On The Pricing Of Bonds-Relevant Interest-Rate Derivatives Developed By State-Run Banks

At present, the reform about interest rate marketalization is carrying on with steady steps, which has resulted in increasingly possibility of domestic interest rate fluctuation. Beside it, huge bonds transaction, which is faced with frequent interest rate undulation, covers large proportion of self-operation assets, so we should take deep research on the pricing of bonds-relevant interest rate derivatives in order to guarantee the safety of bonds-relevant self-operation assets as far as possible.This article first introduce present situation of Chinese bonds-relevant interest rate derivatives, and take analysis on pricing problems about main transactional products(bond futures and embedded option bonds).In terms of present situation of Chinese interest dynamics, this article will emphasize the topic about single factor structural models: this article develops simple structural model for pricing of bond futures and undulation scope; on contrast with a variety of single factor structural models, we can found that the CKLS model fits well for Chinese dynamic interest, which means that the choice for interest rate way offers important information for the Bond Futures analysis.Secondly, this article will take pricing analysis on embedded option bonds, such as secondary callable bonds issued by Bank of China, with the philosophy about interest rate tree, in order to evaluate its intrinsic real value by using statistical software, simultaneously starting contrasts between the above bonds and series of callable bonds issued by State Development Bank, in order to answer the question whether the estimate results deviates the pricing goals. The analysis demonstrates that the bond pricing lies in the reasonable scope. Therefore, it's reasonable to take the method of multi-time interest rate trees.Finally, this article make several countermeasures on the pricing problems: we should emphasize the research about the theories of interest rate structural models, and improve the basic market interest rate mechanism, finally strengthening assets management owned by state-run banks.