The Impact of Collateralization on Swap Rates
提出了一种考虑盯市和成本抵押的互换定价理论，并用两种方法验证了成本抵押的存在，对理解互换利率的实证特征有参考价值。
ABSTRACT Interest rate swap pricing theory traditionally views swaps as a portfolio of forward contracts with net swap payments discounted at LIBOR rates. In practice, the use of marking‐to‐market and collateralization questions this view as they introduce intermediate cash flows and alter credit characteristics. We provide a swap valuation theory under marking‐to‐market and costly collateral and examine the theory's empirical implications. We find evidence consistent with costly collateral using two different approaches; the first uses single‐factor models and Eurodollar futures prices, and the second uses a formal term structure model and Treasury/swap data.