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Title: 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
Authors: 洪鉦傑
Hong,jheng jie
Contributors: 陳松男

Chen,son nan
Hong,jheng jie
Keywords: LIBOR市場模型
Date: 2009
Issue Date: 2013-09-05 14:21:40 (UTC+8)
Abstract: 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。

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.
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