An empirical examination of basic valuation models for plain vanilla US interest rate swaps

• 成果类型: Article
• 署名作者: Minton, BA
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00005-6
• 发表日期: 1997
• 页码: 251-277
• 关键词: swap pricing; eurodollar futures pricing; interest rate swaps; Bond pricing

摘要

This paper examines empirical implications of recently developed models for pricing contracts that swap fixed- for variable-rate interest payment streams. Valuation models based on replicating portfolios of consecutive three-month Eurodollar futures contracts that span the life of the swap perform relatively well, as do pricing models based on replicating portfolios of noncallable corporate par bonds. Neither set of models, however, is completely empirically consistent with the implications of differential counterparty risks. These anomalous results call into question the appropriateness of either the simplifying assumptions of the arbitrage-based models or the proxies used for counterparty default risk.