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| 研究生： |
洪鉦傑 Hong,jheng jie |
|---|---|
| 論文名稱： |
五年期雙區間鎖定可贖回債券評價與分析 Analytical Valuation of 5 years USD callable dual range lock down steepner note |
| 指導教授： |
陳松男
徐士勛 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2010 |
| 畢業學年度： | 98 |
| 語文別： | 中文 |
| 論文頁數： | 56 |
| 中文關鍵詞： | LIBOR市場模型 、最小平方蒙地卡羅 、可贖回 、結構型商品 |
| 相關次數： | 點閱：121 下載：35 |
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本文採用Lognormal Forward LIBOR Model (LFM) 利率模型，針對可贖回利差型結構債券進行相關的評價與避險分析。所選取的評價商品為勞埃德 TSB 銀行所發行的「五年期雙區間鎖定可贖回債券」，模型參數部分利用市場上既有的資料來進行校準，使模型表現其能更貼近市場利率的走勢，評價過程採用蒙地卡羅模擬來得到未來的現金流量，並搭配Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅來處理同時具有可贖回與路徑相依的特性。
最後的評價結果可以發現，考慮發行商的贖回權下，一元美元本金的商品價值只有0.81241美元，不考慮贖回權下價值為1.1195美元，可見發行商的贖回權非常不利於投資人。而模擬結果也顯示發行商將在前幾期即進行贖回，並不會讓投資人持有到到期日。因此投資人面對眾多的金融商品時，要以符合個人需求下去做出選擇。
This article presents an analytical valuation of “5 Years USD Callable Dual Range Lock Down Steepner Note”, a callable spread note, issued by Lloyds TSB bank under the Lognormal Forward LIBOR (LFM). Parameters of the model are calibrated by using existing data, making sure of the model performance to fit market interest rates well. The main method to get the future cash flows is the use of Monte Carlo simulations, and adapting the least squares Monte Carlo simulations proposed by Longstaff and Schwartz (2001) to deal with features of callable and path- dependence.
Consider the call right of the issuer, the results present that the price per 1 dollar principal is only 0.93154 dollar and 1.15109 dollar without the call right. In summary, the call right of issuer deeply damage investors’ returns. The simulated result also show that issuer will redeem the product in early quarters so that investors loss much future interest. Therefore, investors must make a choice to fit his own needs when facing many financial products.
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻回顧 5
第一節 均衡模型(EQUILIBRIUM MODEL) 5
第二節 無套利模型(ARBITRAGE-FREE MODEL) 8
第三章 研究方法 12
第一節 LFM模型架構 12
第二節 不同機率測度下的遠期利率動態過程 16
第三節 遠期利率波動度期間結構 18
第四節 遠期利率的相關係數矩陣 21
第五節 蒙地卡羅模擬 22
第四章 五年期雙區間鎖定可贖回債券 26
第一節 商品介紹 26
第二節 建立殖利率曲線與校準參數 30
第三節 產品評價 39
第四節 避險參數分析 43
第五節 發行商與投資人策略及風險分析 44
第六節 本章小結 45
第五章 結論與建議 47
參考文獻 48
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