本研究使用對數常態遠期利率市場模型與最小平方蒙地卡羅法，對沒有封閉解之可贖回固定期限交換利率價差區間計息商品進行評價。透過市場資料建構殖利率曲線與遠期利率曲線，而後基於對數常態遠期利率市場模型之動態過程，將其離散化後進行遠期利率模擬並計算遠期交換利率，最後使用最小平方蒙地卡羅法求解商品價值。本研究利用市場資料估計校準參數，基於兩種波動度結構與兩種實務上常用之相關係數假設進行模擬。此外，在結合Python平行運算的基礎上，整體的評價計算與模擬速度得到較大提升。

In this paper, we apply Lognormal Forward LIBOR Model (LFM) and Least-Squares Monte Carlo simulation (LSMC) to price the Constant Maturity Swap (CMS) Spread Range Accruals, which have no closed form solution. We build the yield curve and forward rate curve with market data. Based on the dynamic process under LFM, we discretize the formula to calculate forward rate and forward swap rate. And the derivatives are evaluated by using Least-Squares Monte Carlo method. The parameters are estimated with two types of volatility assumptions and two types of correlation assumptions based on the practical experience. Besides, combined with multiprocessing, the speed of valuation and simulation has been greatly increased.

中文部分
1. 陳松男 (2006)。利率金融工程學-理論模型及實務應用。台北：新陸書局。
2. 陳威光 (2010)。衍生性商品：選擇權、期貨、交換與風險管理。台北：智勝文化
3. 馮冠群 (2018)。可贖回CMS區間計息型商品之評價與實證分析：LIBOR與GARCH市場模型之比較。國立政治大學統計研究所碩士論文，未出版。

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