| 利率互换交易策略分析 |
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| 引用本文： | 刁羽. 利率互换交易策略分析[J]. 中国货币市场, 2008, 0(1): 13-17 |
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| 作者姓名： | 刁羽 |
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| 作者单位： | 国泰君安证券固定收益部 |
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| 摘 要： | 2007年，利率互换交易无论是交易量还是交易结构上都获得了长足的发展，2007年12月基于Shibor的交易量首次超过长期以来一直居于首位的FR007。该文对2007年末到2008年初这段时间内互换曲线的形变、互换利差变化以及互换交易策略等方面进行了较为详尽的分析和总结，对利率互换的研究和交易有一定的借鉴意义。
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| 关 键 词： | 利率互换 互换利羞 交易策略 |
Trading strategies for IRS |
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| Diao Yu,Ph.D.,Senior Manager,GuoTai JunAn Securities. Trading strategies for IRS[J]. China Money, 2008, 0(1): 13-17 |
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| Authors: | Diao Yu Ph.D. Senior Manager GuoTai JunAn Securities |
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| Affiliation: | Diao Yu, Ph.D., Senior Manager, GuoTai JunAn Securities |
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| Abstract: | In 2007, interest rate swap trading achieved remarkable growth in terms of both turnover and trading structure. In December 2007, Shibor-based turnover exceeded that of Fr007, the long-time leader measured by turnover. This paper offers a thorough analysis and summary of swap trading strategies and the changes in swap curve and swap spread during the period from late 2007 to early 2008. Observations here can be a reference for studying and trading interest rate swaps. |
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| Keywords: | interest rate swap swap spread trading strategy |
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