Valuation and Analysis of Constant Maturity Swap Spread Bond

碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === In recent years, global stock markets have risen sharply, and share prices have reached many highs. Until recently, due to the tight Sino-U.S. trade relations, the Fed’s rate hike, and the weak US dollar, global financial markets have been shaken and fluctu...

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Main Authors: WU,YA-FEN, 吳雅芬
Other Authors: HUNG, MING-CHIN
Format: Others
Language:zh-TW
Published: 2018
Online Access:http://ndltd.ncl.edu.tw/handle/9wv5wy
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spelling ndltd-TW-106SCU003140082019-10-05T03:47:09Z http://ndltd.ncl.edu.tw/handle/9wv5wy Valuation and Analysis of Constant Maturity Swap Spread Bond 固定期限利率交換利差連動債券的評價與分析 WU,YA-FEN 吳雅芬 碩士 東吳大學 財務工程與精算數學系 106 In recent years, global stock markets have risen sharply, and share prices have reached many highs. Until recently, due to the tight Sino-U.S. trade relations, the Fed’s rate hike, and the weak US dollar, global financial markets have been shaken and fluctuate frequently.In order to alleviate the low rate of return and expected loss brought by market dilemma, and to achieve the purpose of capital preservation and risk diversification, investors gradually increased their share of structured financial products in asset allocation. Structured products have a wide range of links. This paper mainly discusses interest rate structured commodities and uses the constant maturity interest rate exchange (CMS) as the link target; US dollar 2-year and 5-year CMS spread differential bond. As the research object, the LIBOR market model and the least square Monte Carlo simulation method were used to evaluate the theoretical value of its products, and to explore the income status of issuers and investors. From the lognormal long-term LIBOR model and the Monte Carlo simulation, it can be seen that the issuer holds the early redemption rights to protect the upper limit of loss; CMS spreads are small but more than 0 are in line with the interest rate conditions are favorable to investors, However, it may also be due to redemption by the issuer without profitable space and risk of reinvestment; and from the recent evaluation results, it can be inferred that the price of the short-term interest rate fluctuation is greater than the fluctuation of the long-term interest rate, and the price of the price of the price is slightly lower. The above evaluation and analysis of structural bonds hope to enable investors to better understand the characteristics of commodities and to use them as a reference for fair value. HUNG, MING-CHIN HSIEH, CHANG-CHIEH 洪明欽 謝長杰 2018 學位論文 ; thesis 29 zh-TW
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description 碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === In recent years, global stock markets have risen sharply, and share prices have reached many highs. Until recently, due to the tight Sino-U.S. trade relations, the Fed’s rate hike, and the weak US dollar, global financial markets have been shaken and fluctuate frequently.In order to alleviate the low rate of return and expected loss brought by market dilemma, and to achieve the purpose of capital preservation and risk diversification, investors gradually increased their share of structured financial products in asset allocation. Structured products have a wide range of links. This paper mainly discusses interest rate structured commodities and uses the constant maturity interest rate exchange (CMS) as the link target; US dollar 2-year and 5-year CMS spread differential bond. As the research object, the LIBOR market model and the least square Monte Carlo simulation method were used to evaluate the theoretical value of its products, and to explore the income status of issuers and investors. From the lognormal long-term LIBOR model and the Monte Carlo simulation, it can be seen that the issuer holds the early redemption rights to protect the upper limit of loss; CMS spreads are small but more than 0 are in line with the interest rate conditions are favorable to investors, However, it may also be due to redemption by the issuer without profitable space and risk of reinvestment; and from the recent evaluation results, it can be inferred that the price of the short-term interest rate fluctuation is greater than the fluctuation of the long-term interest rate, and the price of the price of the price is slightly lower. The above evaluation and analysis of structural bonds hope to enable investors to better understand the characteristics of commodities and to use them as a reference for fair value.
author2 HUNG, MING-CHIN
author_facet HUNG, MING-CHIN
WU,YA-FEN
吳雅芬
author WU,YA-FEN
吳雅芬
spellingShingle WU,YA-FEN
吳雅芬
Valuation and Analysis of Constant Maturity Swap Spread Bond
author_sort WU,YA-FEN
title Valuation and Analysis of Constant Maturity Swap Spread Bond
title_short Valuation and Analysis of Constant Maturity Swap Spread Bond
title_full Valuation and Analysis of Constant Maturity Swap Spread Bond
title_fullStr Valuation and Analysis of Constant Maturity Swap Spread Bond
title_full_unstemmed Valuation and Analysis of Constant Maturity Swap Spread Bond
title_sort valuation and analysis of constant maturity swap spread bond
publishDate 2018
url http://ndltd.ncl.edu.tw/handle/9wv5wy
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