An Economic Analysis of Interest Rate Swaps
基于比较优势原理，对利率互换这一金融创新进行经济分析，阐述其在负债管理和利率风险对冲中的用途及估值方法。
ABSTRACT Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps. Alternative uses of and the appropriate valuation procedure for interest rate swaps are described.