中文摘要：

本文在远期鞅测度下，应用信用风险结构模型对循环贷款价格的解析计算进行研究。贷款定价的关键是求解债务人的远期中性违约概率。本文把求解债务人远期中性违约概率问题转化为对时间相依的曲线边界求解布朗运动的首达时间概率分布问题，求出违约概率的解析解，进而得到循环贷款的利差，使得计算结果较之随机模拟的结果更为稳定、精确。

英文摘要：

Using forward martingale methods, this paper analytically studies the pricing revolver loan in the framework of credit structural model. The key of pricing loan is seeking for the obligor＇s forward riskneutral default probability, and this paper transforms the problem into computing the first-passage density of a Brownian motion process to a curved boundary depending time, and then gets the analytical default probability and revolver loan spread. Compared with the result from stochastic simulation, this one is more steady and exact.