結構型商品之評價與分析──以不保本可買回連結雙標的每日計息商品為例

Valuation of structured notes with interest daily accrual and principal unguarantee

本論文就目前市場上已發行的結構型商品進行評價分析，並探討商品性質與獲利風險結構。此商品在到期日不保證本金償返，而利息結算採固定利率，惟利息計算基礎採每日計息方式，計息與否則視雙匯率水準而定。評價模型以蒙地卡羅模擬法﹙Monte Carlo Simulation﹚來計算結構型商品的合理淨值，評價模型參數從金融市場資料取得，同時進行實證分析與探討。

In this article, we want to calculate the fair price of the structure note using Monte Carlo simulation and to analysis the composition and characteristic of the note in financial markets. The interest payment of the note depends on the level of the dual currency and the principal is not guarantee at maturity. The valuation formulae are easy to implement in practice and the parameters can be acquired easily from the market quantities.