跨通貨利率衍生性商品之評價與討論; Valuing Cross-Currency Interest Rate Derivatives

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/11882

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11882

Title:	跨通貨利率衍生性商品之評價與討論;Valuing Cross-Currency Interest Rate Derivatives
Authors:	鄭立誠;Li-Cheng Cheng
Contributors:	財務金融研究所
Keywords:	跨通貨;Hull & White 模型;利率衍生性商品;quanto;差額交換;買權賣權評價理論;cross-currency;Hull & White Model;interest rate derivatives;quanto;diff swap;put-call parity
Date:	2001-07-05
Issue Date:	2009-09-22 14:34:19 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	跨通貨型的利率衍生性商品提供一個管道，讓投資人能夠投資國外債券或是兩國立利率差而不牽扯任何匯率風險，而且這些有兩個或多個標的因子的金融工具都是相當複雜的。在本文中，我們將著重於三個有趣的議題上。一個是quanto形式的利率衍生性工具，其標的為外國的浮動利率但卻以本國貨幣的本金來計算損益。另一個議題是差額型利率衍生性工具，其標的為外國與本國浮動利率差額但卻只以本國貨幣的本金來計算損益。最後一個是這些跨通貨利率衍生性商品間的關係，例如我們可以透過quanto cap、quanto floor、swap來組成diff swap等等。另外我們也推導這些商品的封閉解並指出quanto caplet與diff caplet的特徵；利用這些公式，我們可以得到這些商品的敏感度分析。 Cross-currency interest rate derivatives provide an opportunity for investors to invest in foreign bonds or the difference between foreign and domestic floating rates without incurring any currency risk. Moreover, these derivatives are composite financial instruments that refer to 2 or more underlying factors. In this article we focus on three interesting issues. One is quanto interest rate instruments where the underlying asset is the foreign rate on floating notes, but measured in domestic currency. Another subject is currency protected spread rate (diff) instruments whereby the underlying asset is the difference between the foreign and domestic floating rate. They are also measured in domestic currency. The other issue is the relationship between these cross-currency interest rate derivatives such as the relationship among diff swaps, quanto caps, quanto floors, and domestic swaps or the relationship among quanto caps, diff caps, floors, and domestic swaps, etc. We will additionally derive the closed-formed solution and show many characteristics of quanto interest rate and diff instruments. By using these pricing methods, we will show the sensitivity analysis of diff caplets and quanto caps.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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