人大经济论坛

标题: LIBOR as risk free interest rate [打印本页]

作者: sushuiasushui 时间: 2013-5-29 21:10:50 标题: LIBOR as risk free interest rate

我又来请教啦~~
我需要研究一个经济产品，它的观察期是从15.05.2012到15.04.2013，那么这期间的定价使用的无风险利率怎么得到呢？我是想通过12个月的libor来算，但是网上只有历史数据，而且是日libor,该怎么计算呢？
急等高人啊，虽然问题挺弱的说~~

作者: Chemist_MZ 时间: 2013-5-29 21:20:26

strictly, LIBOR is not a risk free rate and I think few people will use it as a discount rate. Especially after the financial crisis.

I think in bloomberg, there are many options such as OIS (overnight indexed swap rate) that is the default discount rate for interest rate derivative. Actually, this discount rate is different if you are trading in different markets. If you are in US, you can find the corresponding zero coupon bond price and get the implied interest rate. Or you can use the repo rate on the treasury bond. You can use these rate but not Libor.

If you are not pricing a interest rate product and the term is not very long. You can approximately assume the interest rate is zero. You kown how low nowadays' interest rates are :-). Of course this depends on where you are trading

作者: sushuiasushui 时间: 2013-5-29 22:09:13

再次感谢你的快速答复，我现在研究的是欧洲市场，我看资料上写，欧元交易一般是以LIBOR作为标准。我的问题在于，怎么用历史数据算出我需要的这段时期的Risk free interest rate呢？因为这段时间是跨年了的，但凭12年或13年的平均值不准确吧？

作者: Chemist_MZ 时间: 2013-5-30 01:04:32

sushuiasushui 发表于 2013-5-29 22:09
再次感谢你的快速答复，我现在研究的是欧洲市场，我看资料上写，欧元交易一般是以LIBOR作为标准。我的问题 ...

Ok, if you really want to do it.

You can use the interpolation technique. You can use the most simple version such as linear or exponential.

I think what you material wants to express is that when borrowing and lending in euro, they offen use the libor rate. This is different from use Libor as the risk free discount rate.

作者: sushuiasushui 时间: 2013-5-30 05:16:14

我还是不太理解，我现在需要的risk free interest rate是可以代入BS modell 的那个值，而且是在欧洲市场，是欧式金融产品，有你说的OIS或者可以算出隐含无风险利率么？其实我们导师说这个无风险利率可以从网页直接读取，我不知道欧元可以借鉴的无风险利率是什么，照你说的LIBOR似乎又不合适。。。。
我凌乱了。。。。。

作者: Chemist_MZ 时间: 2013-5-30 05:30:29

sushuiasushui 发表于 2013-5-30 05:16
我还是不太理解，我现在需要的risk free interest rate是可以代入BS modell 的那个值，而且是在欧洲市场，是 ...

Yes, those rates can be found on bloomberg. I think Europe market also have these similar rates. But for today's market your question can be simplified if the following two assumptions are satisfied:
1) Your product is not an interest rate derivative. (Equity, Currency, Commodity, Index are all ok)

2) The term of the product is not too long (such as <2-3 years)

You can input r=0 into the black-scholes model. Actually for non-interest rate derivative, r is not so important.

Do I make myself clear enough?
Sometimes, the risk free rate is provided by some data base.

For the level of the interest rate , if you really want a number, you can refer to the main European countries' yield curve. I think you can use the data on the European central bank or something similar for approximation.

Actually, for BS model. The r is the rate of the Money Market Account which is the so called instantous rate. It is a very special risk free rate. So if you try to put time varying interest rate into it. What I will use in US is the fed fund rate and I think in Europe there is a similar overnight rate. But if you want to just input a constant number for r. You can just choose some treasury linked security, estimate a reasonable number, and put into the BS model. It's not a big deal, just a number.
But, again, for interest rate derivative, the story is totally different.
AND, if you really really can not get any data. LIBOR is ok. But remember, this rate also includes the credit risk. For safety, you can subtract 10-15 basis points from LIBOR to get the "true" interest rate. I think this method is more practical. Since LIBOR is usually 10-15 bps higher than the risk free rate. ( but for the financial crsis period, it is very high. Nowadays its ok).

Btw, next time would you please click "reply" before you type your words.

Thanks.

作者: sushuiasushui 时间: 2013-5-30 19:20:19

Chemist_MZ 发表于 2013-5-30 05:30
Yes, those rates can be found on bloomberg. I think Europe market also have these similar rates. B ...

非常感谢，你解释的非常清楚！！

作者: Realscore 时间: 2013-6-1 00:36:14

use EONIA rates

欢迎光临人大经济论坛 (https://bbs.pinggu.org/)