The Total Return Swap Pricing Model under Fuzzy Random Environments

Table 1

Parameter configuration.

Parameter classification	Parameter name	Parameter hypothesis and configuration
Time parameter	Expiration date	At present, the largest trading volume of TRS contract is 5 years; therefore, hypothesize that
	Premium payment date	According to international practice, the premium payment cycle is usually a quarter; that is,
Discount parameter	LIBOR	The benchmark interest rate in the international financial market is London Interbank Offered Rate and usually is 0.5 or 1
	Risk-free interest rate	use period counting rates or yields
Default parameter	Default recovery rate	Reference to international common assumptions, suppose that
	Default threshold	The default threshold selection can be divided into endogenous and exogenous; we assume that is a constant and decided by exogenous

Other related parameters are as follows: NV = 1, V₀ = 0.8, and F = 1. Through the R-software simulation calculation, we can get the results of Figures 1–4 (the credit spreads unit in base points).