Дослiдження динамiки iнструменту своп процентної ставки iз використанням методiв машинного навчання

Abstract

For the European financial system, the interest rate swap is a well-known mechanism to reduce the potential effects of these risks, but it is new to the Ukrainian interbank market. In the second half of 2020, the National Bank of Ukraine and commercial banks held their first interest rate swap auctions. According to this provision, one party offers the other a floating interest rate while the other offers a fixed interest rate based on a conditional amount. Based on the Ukrainian overnight interbank rate index, the latter is computed (UONIA). Future cash flows are discounted at rates determined by the zero coupon yield curve created for hryvnia government bonds. The parties agree on how to calculate the difference in interest payments within the predetermined period of time. The analysis of the fair value of this financial instrument at future points in time is the main concern of mathematical modeling of interest rate swap transactions. Predicting future changes in fair value is particularly crucial when the zero coupon yield curve’s coefficients vary and when there are specific trends in the index of overnight interbank rates. The sensitivity of the specified factors to the interest rate swap’s dynamics was investigated in the study, and a forecast of the instrument’s future dynamics based on the change in important macroeconomic indicators was developed.