论文标题
在负利率框架中的确定性转移扩展CIR模型上
On the deterministic-shift extended CIR model in a negative interest rate framework
论文作者
论文摘要
在本文中，我们提出了一个新的外源模型，以解决负利率的问题，该模型保留了原始Cox-Ingersoll-Ross（CIR）模型的分析性障碍，非常适合观察到的术语结构。我们使用两个独立的CIR过程的差异，并应用确定性转移扩展技术。为了允许对市场交换表面进行快速校准，我们应用了革兰氏阴性的扩展来计算模型中的交换价格。我们运行了几项数值测试，通过使用蒙特卡洛技术来证明该模型的优势。尤其是，与彭博的赫尔 - 白人单因素型号相比，该模型产生了近距离的百慕大交换价格。此外，它发现持续的成熟度互换（CMS）速率非常接近彭博的CMS率。
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use the difference of two independent CIR processes and apply the deterministic-shift extension technique. To allow for a fast calibration to the market swaption surface, we apply the Gram-Charlier expansion to calculate the swaption prices in our model. We run several numerical tests to demonstrate the strengths of this model by using Monte-Carlo techniques. In particular, the model produces close Bermudan swaption prices compared to Bloomberg's Hull-White one-factor model. Moreover, it finds constant maturity swap (CMS) rates very close to Bloomberg's CMS rates.
