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題名 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作者 洪鉦傑
Hong,jheng jie貢獻者 陳松男<br>徐士勛
Chen,son nan
洪鉦傑
Hong,jheng jie關鍵詞 LIBOR市場模型
最小平方蒙地卡羅
可贖回
結構型商品
LFM
LSM
Callable日期 2009 上傳時間 5-Sep-2013 14:21:40 (UTC+8) 摘要 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.參考文獻 1. 陳松男(2006),利率金融工程學:理論模型與實務應用,新陸書局。2. Back, K (2005), A Course in Derivative Securities: Introduction to Theory and Computation, Springer Finance.3. Black, F., (1976), “The Pricing of Commodity Contracts, Journal of Financial Economics,” Vol. 3, pp. 167–179.4. Black, F., Derman, E., Toy, W., (1990), “A One-Factor Model of Interest Rates and Its Application to Treasury bond options,” Financial Analysts Journal, pp. 33-39.5. Brace, A., Gatarek, D., Musiela, M., (1997), “The market model of interest rate dynamics,” Mathematical Finance, Vol. 7, pp. 127–147.6. Brennan, M.J., Schwartz, E.S., (1980), “Analyzing Convertible Bonds”, Journal of Financial and Quantitative Analysis, Vol. 15, pp. 907-929.7. Brigo, D., and Mercurio, F (2006), Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit, Springer Finance.8. Cairns, A.J.G., (2004), Interest rate models, Princeton University Press, Princeton.9. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1980), “An Analysis of Variable Rate Loan Contract,” Journal of Finance, Vol. 53, pp. 389-40310. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol. 53, pp. 385-407.11. Dothan, U.L., (1978), “On the Term Structure of Interest Rates,” Journal of Financial Economics, Vol. 6 pp. 59-69.12. F. A. Longstaff and E. S. Schwartz (2001), “Valuing American Options by Simulation: A Simple Least-Squares Approach,” The Review of Financial Studies, Vol. 14, No. 1, pp.113-47.13. Heath, D., Jarrow, R., Morton, A., (1992), “Bond Pricing and The Term Structure of Interest rates: A New Methodology for Contingent Claims Valuation,” Economeyrica, Vol. 60, pp. 77–105.14. Ho, T.S.Y., Lee, S.B.,(1986), “Term Structure Movements and Pricing Interest Rates Contingent Claims,” Journal of Finance, Vol. 41, pp. 1011–1029.15. Hull, J., White, A., (1990), “Pricing Interest-Rate-Derivative Securities,” Review of Financial Studies, Vol. 3(4), pp. 573–592.16. Hull, J., White, A.,(1994b), “Numerical Procedures for Implementing Term Structure Models I: Single-factor models,” Journal of Derivatives, pp. 7–16.17. Jamshidian, F., (1997), “LIBOR and Swap Market Models and Measures,” Finance and Stochastics, Vol. 1, pp. 293–330.18. Piterbarg. V. V., (2004b), “Pricing and Hedging Callable Libor Exotics in Forward Libor Models,” Journal of Computational Finance, Vol. 8(2), pp. 65-117.19. Rebonato, R. (2002), Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond, Princeton University Press.20. Vasicek, O., (1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, pp. 177-88. 描述 碩士
國立政治大學
經濟學系
97258032
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0972580321 資料類型 thesis dc.contributor.advisor 陳松男<br>徐士勛 zh_TW dc.contributor.advisor Chen,son nan en_US dc.contributor.author (Authors) 洪鉦傑 zh_TW dc.contributor.author (Authors) Hong,jheng jie en_US dc.creator (作者) 洪鉦傑 zh_TW dc.creator (作者) Hong,jheng jie en_US dc.date (日期) 2009 en_US dc.date.accessioned 5-Sep-2013 14:21:40 (UTC+8) - dc.date.available 5-Sep-2013 14:21:40 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2013 14:21:40 (UTC+8) - dc.identifier (Other Identifiers) G0972580321 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60340 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 97258032 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 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 zh_TW dc.format.extent 1723746 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0972580321 en_US dc.subject (關鍵詞) LIBOR市場模型 zh_TW dc.subject (關鍵詞) 最小平方蒙地卡羅 zh_TW dc.subject (關鍵詞) 可贖回 zh_TW dc.subject (關鍵詞) 結構型商品 zh_TW dc.subject (關鍵詞) LFM en_US dc.subject (關鍵詞) LSM en_US dc.subject (關鍵詞) Callable en_US dc.title (題名) 五年期雙區間鎖定可贖回債券評價與分析 zh_TW dc.title (題名) Analytical Valuation of 5 years USD callable dual range lock down steepner note en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. 陳松男(2006),利率金融工程學:理論模型與實務應用,新陸書局。2. Back, K (2005), A Course in Derivative Securities: Introduction to Theory and Computation, Springer Finance.3. Black, F., (1976), “The Pricing of Commodity Contracts, Journal of Financial Economics,” Vol. 3, pp. 167–179.4. Black, F., Derman, E., Toy, W., (1990), “A One-Factor Model of Interest Rates and Its Application to Treasury bond options,” Financial Analysts Journal, pp. 33-39.5. Brace, A., Gatarek, D., Musiela, M., (1997), “The market model of interest rate dynamics,” Mathematical Finance, Vol. 7, pp. 127–147.6. Brennan, M.J., Schwartz, E.S., (1980), “Analyzing Convertible Bonds”, Journal of Financial and Quantitative Analysis, Vol. 15, pp. 907-929.7. Brigo, D., and Mercurio, F (2006), Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit, Springer Finance.8. Cairns, A.J.G., (2004), Interest rate models, Princeton University Press, Princeton.9. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1980), “An Analysis of Variable Rate Loan Contract,” Journal of Finance, Vol. 53, pp. 389-40310. Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol. 53, pp. 385-407.11. Dothan, U.L., (1978), “On the Term Structure of Interest Rates,” Journal of Financial Economics, Vol. 6 pp. 59-69.12. F. A. Longstaff and E. S. Schwartz (2001), “Valuing American Options by Simulation: A Simple Least-Squares Approach,” The Review of Financial Studies, Vol. 14, No. 1, pp.113-47.13. Heath, D., Jarrow, R., Morton, A., (1992), “Bond Pricing and The Term Structure of Interest rates: A New Methodology for Contingent Claims Valuation,” Economeyrica, Vol. 60, pp. 77–105.14. Ho, T.S.Y., Lee, S.B.,(1986), “Term Structure Movements and Pricing Interest Rates Contingent Claims,” Journal of Finance, Vol. 41, pp. 1011–1029.15. Hull, J., White, A., (1990), “Pricing Interest-Rate-Derivative Securities,” Review of Financial Studies, Vol. 3(4), pp. 573–592.16. Hull, J., White, A.,(1994b), “Numerical Procedures for Implementing Term Structure Models I: Single-factor models,” Journal of Derivatives, pp. 7–16.17. Jamshidian, F., (1997), “LIBOR and Swap Market Models and Measures,” Finance and Stochastics, Vol. 1, pp. 293–330.18. Piterbarg. V. V., (2004b), “Pricing and Hedging Callable Libor Exotics in Forward Libor Models,” Journal of Computational Finance, Vol. 8(2), pp. 65-117.19. Rebonato, R. (2002), Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond, Princeton University Press.20. Vasicek, O., (1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, pp. 177-88. zh_TW