Pricing Of Interest Rate Derivatives

As the most important financial derivatives, interest rate derivatives maintain a rapid growth. In1992for the first time China pilot treasury bond futures. In1995February, the shocking "327" illegal operation event, caused a huge blow to the Treasury bond futures market, after the failure, China’s derivatives market development has become more cautious. So far the development speed is still relatively slow. Interest rate derivatives can be publicly traded including Bonds with options the RMB interest rate swap, FRAS and small FX structured deposits.With the development of interest rate derivatives and the promotion of interest rate liberalization, how to pricing of interest rate derivatives has become one of the topics of common concern of investors and regulators. For investors, the proper pricing of interest rate derivatives is the foundation for profitable; for the regulators, the pricing is directly related to the market mature and policy. Therefore, study the proper pricing of interest rate derivatives is very necessary for any participant in the market.This article focused on China’s interest rate swap price based on the HJM model by empirical analysis. the results of the empirical analysis shows that the HJM model is suitable for the domestic interest rate swap market, the Jump-HJM model on the forward rate prediction results are better than those without HJM model with jumps, so a HJM model with jumps are more significance.Finally, gives the conclusion of empirical research and policy recommendations, also puts forward some possible future research directions of this topic.