摘要
結構型商品由於法令的開放，各種新金融商品不斷推出，隨著市場因應金融環境的變動及投資人的需求，結構型商品設計之條款也日益複雜。對於投資人而言，要如何選擇合適的投資商品，以及發行者如何了解投資人的需求，進而設計產品以及後續的避險動作，皆為一大挑戰。 本研究主要是，針對新台幣利率結構型商品以數值方法求出結構型商品的理論價格，並且推估投資人可能的報酬。提供投資人與發行商對於結構型商品的特性與風險的了解。接著進一步分析結構型商品中的債券價格，是否單純地只會因連結標的物波動而受影響，亦或因結構型商品中其他因子的變化造成債券價格上的改變。 本研究以Hull and White(1990)的利率模型為主要研究方法，其主要特色：均數復歸的特性，且其能符合市場的利率期間結構。而實證結果發現以下兩點：一、長期相對短期利率波動度σ和殖利率曲線平移敏感度分析中，可以看出殖利率曲線平移對債券價格變化影響力會大於波動度σ的影響。二、利率反轉速度a和長期相對短期利率波動度σ的分析，以利率反轉速度a對債券價格則產生較大的影響。
並列摘要
This study is mainly in view of the interest rate structure product by the financial engineering method. Providing the investor and the distributor to understand about the structure product characteristic and the risk. This study analyzes the bond price in the structure product, and discuss weather the bond price will be changed by the underlying asset volatility or other factors. In this study, Hull and White (1990) model is the main research method. Its main characteristics are : mean-reverting, and it be can calculated from the initial yield curve describing the current term structure of interest rates during the period. And the empirical results showed the following two points : Both interest rates volatility and yield curve sensitivity analysis, we can find out yield curve owns a greater impact than volatility . Second, the interest rate reversal rate in the bond prices also owns a greater impact than volatility.