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摘要翻译：
本文利用多条不同的收益率曲线对不同利率期限下的贴现因子和远期利率进行市场一致估计，研究了普通vanilla单币种利率衍生品的定价和套期保值问题。在2007年夏季信贷危机开始后市场采用的这种双曲线单一货币框架内，标准的单曲线无套利关系不再有效，可以通过适当考虑从市场基差互换中引导的远期基差来恢复。数值结果表明，所得到的远期基差曲线可以显示出更丰富的微观期限结构，从而对利率工具的价格产生明显的影响。通过对外币的类比，我们还推导出了基本的普通利率衍生品，特别是FRA、掉期、上限/下限和掉期的无套利双曲线类市场公式。这些表达式包括跨货币衍生品的典型quanto调整，自然源于两个收益率曲线相关数字之间的变化，这种变化具有波动性和相关性。数字情景证实，这种修正是不可忽略的，从而使得未经调整的双曲线价格原则上不是无套利的。远期基础和quanto调整都可以从交易对手风险的角度找到一个自然的财务解释。
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英文标题：
《Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives
Decoupling Forwarding and Discounting Yield Curves》
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作者：
Marco Bianchetti
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market after the credit-crunch crisis started in summer 2007, standard single-curve no-arbitrage relations are no longer valid, and can be recovered by taking properly into account the forward basis bootstrapped from market basis swaps. Numerical results show that the resulting forward basis curves may display a richer micro-term structure that may induce appreciable effects on the price of interest rate instruments. By recurring to the foreign-currency analogy we also derive generalised no-arbitrage double-curve market-like formulas for basic plain vanilla interest rate derivatives, FRAs, swaps, caps/floors and swaptions in particular. These expressions include a quanto adjustment typical of cross-currency derivatives, naturally originated by the change between the numeraires associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that such correction can be non negligible, thus making unadjusted double-curve prices, in principle, not arbitrage free. Both the forward basis and the quanto adjustment find a natural financial explanation in terms of counterparty risk.
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PDF链接：
https://arxiv.org/pdf/0905.2770
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