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| Title: | 基於SOFR期貨校估利率市場期間結構: Covid-19與非Covid-19時期之比較
Calibration of the market term structure with SOFR futures: Comparison between Covid-19 and non-Covid-19 periods |
| Authors: | 張弘仕
Zhang, Hong-Shi |
| Contributors: | 林士貴
Lin, Shih-Kuei
張弘仕
Zhang, Hong-Shi |
| Keywords: | LIBOR
利率期間結構
SOFR
SOFR期貨
Fed 貨幣政策
LIBOR
Interest Rate Term Structure
SOFR
SOFR Futures
Fed Monetary Policy |
| Date: | 2022 |
| Issue Date: | 2022-02-10 12:54:23 (UTC+8) |
| Abstract: | 英國金融行為監管局(Financial Conduct Authority, FCA)在2017年宣布，2021年底後將不再要求報價銀行提供LIBOR報價。在美元市場部分，普遍被認為適合替代美元LIBOR之利率指標為SOFR。然而目前尚缺乏一套完整開發且經驗證有效的SOFR模型，加上LIBOR退場在即，短期內要開發出精準的SOFR模型相對困難。因此，本篇論文基於芝加哥商品交易所掛牌交易的 SOFR期貨，透過一般化方法快速建立短期市場SOFR期間結構，且此套方法在未來SOFR衍生性商品更加多元、成熟時，能夠輕易地將新的衍生性商品加入模型進行模型擴充。在本篇論文的研究中發現，該方法下所建構出來的 SOFR期限結構能夠與聯邦資金利率OIS有高度的貼近程度，且所估計出來的 SOFR期限結構及聯邦資金利率OIS之相對性質與SOFR及EFFR之相對性質一致。即便經過COVID-19以後市場發生結構性改變，該方法仍然保有其適用性。
The Financial Conduct Authority of the United Kingdom announced that there will be a termination of LIBOR quoted by banks at the end of 2021, and SOFR is seen as one of the suitable reference rates to replace LIBOR by the market. However, limited by the short history of SOFR quotation, the market is lacking some accurate and alreadyverified interest rate model in dealing with SOFR. Moreover, since the deadline of LIBOR phase out is close, it is not that easy to develop an interest rate model that accurately describes the dynamics of SOFR by then. Therefore, in this paper we develop a general method to quickly build up SOFR term structure with short term market, based on the SOFR futures traded at Chicago Mercantile Exchange (CME). This method is
model-free and can be easily adopted, adjusted, and expanded. The SOFR term rates estimated in this paper are quite close to Federal Funds OIS, which is also seen as the
benchmark rate and can keep relative property to Federal Funds OIS. Furthermore, even though the sample period steps across COVID-19 period, when the market fluctuates dramatically, the way of estimating SOFR term rate is still suit-to-use. |
| Reference: | 1.Brace, A., G¸ atarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7(2), 127-155.
2.CME Group Benchmark Administration Limited. (2021). CME Term SOFR Reference Rates Benchmark Methodology.
3.Gellert, K., & Schlögl, E. (2021). Short Rate Dynamics: A Fed funds and SOFR perspective. FIRN Research Paper Forthcoming.
4.Gunnarsson, S. (2013). Curve Building and Swap Pricing in the Presence of Collateral and Basis Spreads. Master’s thesis, KTH, Mathematical Statistics.
5.ICE Benchmark Administration. (2018). ICE LIBOR Transparency and Benchmark Determinations.
6.Indriawan, I., Jiao, F., & Tse, Y. (2021). The SOFR and the Fed’s influence over market interest rates. Economics Letters, 209, 110095.
7.Klingler, S. (2021). Life after LIBOR. Journal of Financial Economics, 141(1), 786-801.
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10.Longstaff, F. A. (2000). The term structure of very short-term rates: New evidence for the expectations hypothesis. Journal of Financial Economics, 58(3), 397-415.
11.Lyashenko, A., & Mercurio, F. (2019). Looking forward to backward-looking rates: a modeling framework for term rates replacing LIBOR. Available at SSRN 3330240.
12.Mercurio, F. (2018). A simple multi-curve model for pricing SOFR futures and other derivatives. Available at SSRN 3225872.
13.Piazzesi, M. & Swanson, E. T. (2008). Futures prices as risk-adjusted forecasts of monetary policy. Journal of Monetary Economics, 55(4), 677-691.
14.Skov, J. B. & Skovmand, D. (2021). Dynamic term structure models for SOFR futures. Journal of Futures Markets, 41(10), 1520-1544.
15.The Alternative Reference Rates Committee. (2021). An Updated User’s Guide to SOFR.
16.Zucker, J. (2010). Pricing and hedging overnight index swaps: Two possible approaches. https://www.numerix.com/pricing-and-hedging-overnight-index-swaps-two-possible-approaches |
| Description: | 碩士
國立政治大學
金融學系
108352016 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352016 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200105 |
| Appears in Collections: | [金融學系] 學位論文
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