췢믣뷡릹탔듦뿮뗄뚨볛 Pricing Foreign Exchange Structured Deposits 뾵뎯럦 횣헱쇺 ꎨ쿃쏅듳톧뷰죚쾵ꎬ뢣붨쿃쏅361005ꎩ 쓚죝햪튪ꎺ폫샻싊맘솪뗄췢믣뷡릹탔듦뿮쫇뿉쫪믘햮좯ꆣ컒쏇뿉틔폃뿉쫪믘햮좯뗄뚨볛랽램살룸췢믣뷡릹탔듦뿮뚨볛ꆣ놾컄쪹폃BDT쒣탍뛔쿃쏅2004쓪돵랢탐뗄췢믣뷡릹탔듦뿮뷸탐뚨볛ꎬ뷡맻뇭쏷헢킩듦뿮뗄볛횵뚼룟폚듦뿮놾뷰ꆣ평폚컒쏇쪹폃뗄쳹쿖싊쫇쏀맺맺햮쫕틦싊ꎬ헢쮵쏷췢믣뷡릹탔듦뿮쫇폐럧쿕뗄ꆣ뛸맺쓚듦뿮죋퓚쿲맺폐짌튵틸탐릺싲뷡릹탔듦뿮쪱붫웤떱ퟷ컞럧쿕뗄ꎬ틲캪폐맺볒탅폃ퟷ캪떣놣ꆣ틲듋ꎬ쪵볊짏짌튵틸탐돐떣쇋뷡릹탔럧쿕ꎬ늢ퟮ훕믡붫웤볞떽헾뢮짭짏ꆣ웤룹풴퓚폚럧쿕뫍쫕틦뗄늻뛔돆떼훂짌튵틸탐돶쿖뗄뗀뗂럧쿕ꎬ틲듋볠맜떱뻖펦뛔뷡릹탔듦뿮뗄훆뚨럧쿕뿘훆듫쪩ꆣ 맘볼듊ꎺ뷡릹탔듦뿮ꎻ럧쿕뿘훆ꎻ샻싊퇜짺닺욷 Abstract: Interest rate linked foreign exchange structured deposits are equivalent to callable bonds. We can use the pricing technique of callable bond to price foreign exchange structured deposits. This paper uses BDT model to price the foreign exchange structured deposits issued in Xiamen in the beginning of 2004. The results show that they are all issued in discount. We use the yield of . treasury bond as the discount rate. So it seems the foreign exchange structured deposits is actually a risky asset. But when people buy foreign exchange structured deposits from state-owned bank, they think they are riskless. The risk will at last be transfer to the government, so some regular should be make to control the risk of foreign exchange structured deposits. Key words: Structured Deposits; Risk Management; Interest Rate Derivatives 1 틽퇔 1ꎮ1놳뺰 퓚컒맺샻싊튻횱쫜떽퇏룱뗄맜훆ꎬ뛔폚듦뿮샻싊뗄맜샭폈캪퇏룱ꆣ죋쏱틸탐룹뻝듦뿮탔훊ꆢ듦뿮웚쿞ꆢ듦뿮뇒훖뗈틲쯘춳튻릫늼램뚨샻싊ꎬ룷볒틸탐튻싉횴탐쿠춬뗄뇪ힼꎬ쎻폐죎뫎쇩믮탔ꆣ뷼쓪살ꎬ쯦ퟅ컒맺쫐뎡뺭볃뗄늻뛏랢햹ꎬ샻싊쫐뎡뮯ꎨퟔ평뮯ꎩ뗄뫴짹풽살풽룟ꎬ죋쏱틸탐톡퓱쇋ꆰ쿈췢뇒뫳죋쏱뇒ꆢ쿈듳뛮뫳킡뛮ꆢ쿈뛔릫뫳뛔쮽ꆱ톭탲붥뷸뗄샻싊쫐뎡뮯뗀슷ꆣ 2000쓪9퓂ꎬ컒맺뷸탐쇋췢뇒샻싊쫐뎡뮯룄룯ꎬ죋쏱틸탐럅뾪쇋듳뛮췢믣듦뿮ꎨ뗈횵300췲쏀풪틔짏ꎩ뗄샻싊짏쿞ꎬ룷볒짌튵틸탐뺺쿠춨맽쳡룟샻싊살헹좡듳뛮췢믣듦뿮ꎬ쯦ퟅ틸탐퓚뒫춳믵뇒쫐뎡뗄샻닮뿕볤풽살풽킡ꎬ톰쟳듦뿮쫕틦춻웆뗄탨쟳풽살풽잿쇒ꎬ룷볒틸탐
믽벫뎢쫔냑웚좨뗈퇜짺뷰죚릤뻟틽죫뒫춳뢺햮튵컱ꎬ춨맽닺욷뒴탂듳럹쳡룟듦뿮쫕틦ꎬ췢믣뷡릹탔듦뿮뻍쫇퓚헢퇹뗄놳뺰쿂떮짺뗄ꆣ췢믣뷡릹탔듦뿮쫇샻싊샠퇜짺닺욷ꎬ뛔듋ꎬ쇖몣ꆢ횣헱쇺ꎨ2004ꎩퟷ쇋뾪췘탔뗄퇐뺿ꆣ떫뛔폚췢믣뷡릹탔듦뿮뗄뚨볛ꎬ맺쓚짐컞죋퇐뺿ꎬ틲듋춶헟컞듓횪뗀웤헦쪵쫕틦싊떽뗗뛠룟ꎬ틸탐튲늻횪웤럧쿕떽뗗뛠듳ꆣ놾컄쓢쳮늹헢튻뿕냗ꆣ 1ꎮ2 쪲쎴쫇췢믣뷡릹탔듦뿮ꎨStructured Depositꎩ 쯹캽췢믣뷡릹탔듦뿮쫇횸퓚웕춨췢믣듦뿮뗄믹뒡짏잶죫쒳훖뷰죚퇜짺릤뻟ꎨ훷튪쫇룷샠웚좨ꎩꎬ춨맽폫샻싊ꆢ믣싊ꆢ횸쫽뗈뗄늨뚯맒릳믲폫쒳쪵쳥뗄탅폃쟩뿶맒릳듓뛸쪹듦뿮죋퓚돐쫜튻뚨럧쿕뗄믹뒡짏믱뗃뷏룟쫕틦뗄튵컱닺욷ꆣ쯼쫇튻룶뷡뫏만뚨쫕틦닺욷폫톡퓱좨ퟩ뫏탎쪽뗄닺욷붻틗ꆣ쯼춸맽톡퓱좨폫만뚨쫕틦닺욷볤뗄뷡뫏ꎬ쪹뗃뷡릹탔닺욷뗄춶놨돪폫솬뷓떽뇪뗄맘솪닺볛룱늨뚯닺짺솬뚯킧펦ꎬ뿉틔듯떽퓚튻뚨돌뛈짏놣헏놾뷰믲믱뗃뷏룟춶놨돪싊뗄릦쓜ꆣ 퓚뷡릹탔듦뿮랢햹돵웚ꎬ틸탐횻쓜뛔뗈횵300췲쏀풪틔짏뗄듳뛮췢믣듦뿮쳡릩헢훖닺욷ꆣ듓2004쓪돵뾪쪼ꎬ킡뛮췢믣뷡릹탔듦뿮퓚컒맺쇷탐웰살ꎬ쯼쏇뗄쏻돆룷틬ꎬ샽죧훐탐뗄ꆰ믣뻛놦ꆱꎬ릤탐뗄ꆰ믣닆놦ꆱꎬ붨탐뗄ꆰ믣뗃샻ꆱ뚼쫴폚췢믣뷡릹탔듦뿮ꆣ듓룷탐췆돶뗄헢샠닺욷뾴ꎬ쯼뗄쳘뗣쫇듦뿮웚쿞뷏뎤ꎬ뛌퓲튻쓪ꎨ평틸탐뻶뚨ꎩ뎤퓲3훁5쓪ꎬ쿖뷗뛎춶헟붫뷰틔듦뿮랽쪽붻폚틸탐뫳ꎬ튻냣평틸탐쿲맺췢듺샭탐탰ퟶ뷡릹탔듦뿮ꎬ늢룸폨듳훂퓚ꎥ훁ꎥ횮볤ꎨ룟폚춬웚쾢싊1ꆪ2놶ꎩ뗄만뚨쫕틦ꆣ평폚폐룟돶춬웚듦뿮쫽놶뗄뷏룟쫕틦ꎬ퓚쒿잰췢믣춶쟾뗀쿁햭ꎬ럧쿕뷏룟ꎬ쫕틦뷏뗍뗄쟩뿶쿂ꎬ췢믣뷡릹탔듦뿮ퟔ좻짮쫜춶헟뗄쟠뫍ힷ엵ꆣ 뷡릹탔듦뿮뗄럖샠 ꎨ1ꎩ내헕뿉쳡잰훕횹뗄듎쫽뮮럖ꎬ뷡릹탔듦뿮뗄튻룶뗤탍쳘헷쫇틸탐폐좨솦쳡잰훕횹듦뿮ꎬ웕춨뗄뚨웚듦뿮쫇쫇뿍뮧폐좨쳡잰훕횹듦뿮ꆣ웕춨뗄뚨웚듦뿮늻쿞훆뿍뮧쳡잰횧좡뗄쪱볤뫍듎쫽ꎬ떫췢믣뷡릹탔듦뿮튻냣뛔쳡잰훕횹뗄쪱볤뫍듎쫽폐쿞훆ꎬ횻폐튻듎쳡잰훕횹좨솦뗄뻍쫇튻듎뿉쳡잰훕횹뷡릹탔듦뿮ꎬ폐뛠듎쳡잰훕횹좨솦뗄퓲쫇뛠듎뿉쳡잰훕횹뷡릹탔듦뿮ꆣ ꎨ2ꎩ내헕놾뷰폐컞럧쿕뮮럖ꎬ쒿잰쫐뎡짏뗄췢믣뷡릹탔듦뿮뿉틔럖돉솽훖샠탍,벴"놾뷰폐럧쿕샠"뫍"놾뷰컞럧쿕샠"ꆣ ꎨ3ꎩ내맒릳뇪뗄뮮럖ꎬ쒿잰폐폫믣싊맒릳뗄뷡릹탔듦뿮ꎬ폫샻싊맒릳뗄뷡릹탔듦뿮ꎬ폫웤쯻뇪뗄컯맒릳뗄뷡릹탔듦뿮ꎬ죧폫맺볊쫐뎡믆뷰볛룱맒릳ꆢ폫펢맺놱몣풭폍볛룱맒릳ꆢ폫쳘뚨뗘쟸쳬웸ힴ첬맒릳뗈ꆣ 춶폚헢샠닺욷탨뛔톡뚨뗄맒릳뇪뗄컯뗄늨뚯쟷쫆폐짮죫뗄
쇋뷢,에뛏쪧컳붫믡떼훂쫕틦싊뗄붵뗍ꆣ ꎨ4ꎩ내쫕틦싊뗄샠탍뮮럖ꎬ퓚쫕틦싊뗄톡퓱짏ꎬ틸탐짨볆쇋솽훖샠탍ꎺ튻훖쫇쫕틦만뚨탍ꎬ벴돐억ꇁꇁꎥ뗄믘놨ꆣ쇭튻훖쫇쫕틦뗝뷸탍ꆣ폫잰헟늻춬뗄쫇ꎬ퓚헻룶춶웚쓚ꎬ닉좡춶쫕틦럖뛎볆쾢ꆢ럖듎횧뢶뗄랽쪽ꆣ죧훐탐췆돶뗄ꆰ뻛놦엨ꆱꎬ돐억뗚튻룶냫쓪폐6ꎥ뗄믘놨ꎬ틔뫳퓲내쳘뚨쯣램훰쓪뇤뮯ꎬ횱떽ퟜ쫕틦듯떽8ꎥ훕횹뫏춬ꆣ 2. 췢믣뷡릹탔듦뿮뗄뚨볛풭샭 췢믣뷡릹탔듦뿮뗄믹놾짨볆풭샭쫇냑듦뿮뫍웚좨릤뻟뷸탐듲냼ꎬ춨맽룷훖웚좨릤뻟뗄퓋폃ꎬ룄뇤뒫춳듦뿮닺욷뗄쳘탔ꎬ믽벫톰쟳뫏샭뗄럧쿕쫕틦ꆣ뎣폃뗄웚좨릤뻟폐ꎺ뾴헇웚좨ꆢ뾴뗸웚좨ꆢ랶캧웚좨ꆢ솽횵웚좨ꆢ헏낭웚좨ꆢ샻싊뮥뮻웚좨ꆢ샻싊짏쿂쿞웚좨뗈ꆣ췢믣뷡릹탔듦뿮뚨볛뗄맘볼퓚폚룸쓚잶퓚웤훐뗄퇜짺닺욷뚨볛ꆣ쿂쏦컒쏇틔폫샻싊맘솪뗄뷡릹탔듦뿮캪샽뷢쫍췢믣뷡릹탔듦뿮뗄뚨볛랽램ꆣ 쪵볊짏컒쏇뿉틔붫폫샻싊맘솪뗄췢믣뷡릹탔듦뿮뾴돉쫇뿉쫪믘햮좯살뚨볛ꎬ틲캪쯼쿠떱폚쫪믘볛룱뫣뗈폚듦뿮놾뷰뗄뿉쫪믘햮좯ꎬ튪힢틢뗄쫇헢샯뗄쫪믘좨평랢탐죋뛸늻쫇춶헟펵폐ꎬ틲듋컒쏇뿉틔붫뿉쫪믘햮좯뗄뚨볛랽램짔캢뗷헻틔뫳뻍뿉틔횱뷓퓋폃떽뷡릹탔듦뿮뗄뚨볛짏쏦ꆣ 뻙룶샽ퟓꎬ죧맻컒쏇폃샻싊뛾닦쫷살룸뿉쫪믘햮좯뚨볛ꎬ볙짨컒쏇틑뺭맀볆돶쇋샻싊뗄뛾닦쫷춼ꎬ평듋뿉틔볆쯣늻뿉쳡잰쫪믘햮좯뗄볛룱쫷춼ꎨ돽쾢뫳뗄ꎬex-couponꎩꎬ컒쏇폃PNC듺뇭늻뿉쳡잰쫪믘햮좯퓚쒳튻룶뷚뗣뗄볛횵ꎬr듺뇭룃뷚뗣뛔펦뗄샻싊ꎬP캪뿉쫪믘햮좯뗄Cud볛룱ꎬC뫍C듺뇭짏탐뫍쿂탐ힴ뿶뗄쫪믘좨뗄볛횵ꎬ뛸C듺뇭룃뷚뗣뗄톡퓱좨뗄볛횵ꎬ캪쇋놣횤쫐뎡늻늻듦퓚컞럧쿕뗄쳗샻믺믡ꎬ뇘탫폐 P=P−C CNC볆쯣뿉쫪믘햮좯볛횵뗄튻냣램퓲쫇ꎺ +=돖폐1+rC=Max0,P−P()횴탐CNC C=MaxC,C()돖폐횴탐P=P−CCNC3ꎮ퇐뺿짨볆 룹뻝짏쫶풭샭ꎬ컒쏇뎢쫔룸훷튪짌튵틸탐퓚2004쓪돵틔살췆돶뗄췢믣뷡릹탔듦뿮뷸탐
뚨볛ꎬ쾣췻쓜릻뗃돶튻킩폐틦뗄뷡싛ꆣ 3ꎮ1 퇐뺿훐쪹폃뗄샻싊쒣탍 컒쏇쪹폃쇷탐뗄BDT쒣탍ꎨBlackꎬDerman뫍Toyꎬ1990ꎩ맀볆샻싊뚯첬ꎬBDT쒣탍뗄믹놾뷡릹죧쿂ꎺ 1/21/2m+m′τ+στ+σ′τ()remτ+στrem+m′τ+στ−σ′τ()re1/2r1/2m+m′′τ−στ+σ′τ()remτ−στrem+m′′τ−στ−σ′τ()re1/21/2 3ꎮ2 쏀풪샻싊쫽뻝뗄믱좡 1놾컄쪹폃뗄쏀풪샻싊쫽뻝캪듓쏀맺닆헾늿뗄맙랽췸햾짏쿂퓘뗄쏀맺맺햮쫕틦싊쟺쿟ꎨTreasury Yield Curveꎩ쫽뻝ꎬ쫕틦싊뗄늨뚯싊튲쫇룹뻝룃쫽뻝맀볆뛸뗃ꆣ퓚쏀맺햮좯쫐뎡ꎬ쫕틦뗄놨볛쪹뗃쯼쏇럂런쎿쓪뷸탐2듎놾뮯ꆣ헢훖뛀쳘맟샽뗄랴펳헢퇹튻룶쫂쪵ꎬ퓚쏀맺ꎬ뒫춳짏햮좯쎿쓪뢶쾢솽듎ꎬ벴늻쫇쎿쓪뢴샻ꎬ뛸쫇냫쓪뢴샻ꆣ쏀맺닆헾늿맙랽릫늼뗄쏀맺맺햮쫕틦싊쟺쿟쫽뻝쫇룹뻝쎿죕햮좯쫕엌볛룱퓋폃죽듎뛠쿮쪽ꎨCubic Polynomialꎩ듓쾢욱햮2좯훐볆쯣돶살뗄ꆣ횣헱쇺ꆢ쇖몣ꎨ2003ꎩ뫍Lin and Zheng(2003)뛔훐맺쫕틦싊쟺쿟뗄맀볆ퟷ쇋뫜뫃뗄첽쯷ꆣ 쓢뚨볛뗄뷡릹탔듦뿮 컒쏇톡좡쇋훐맺틸탐ꆢ릤짌틸탐뫍붨짨틸탐췆돶뗄췢믣믺릹탔듦뿮뷸탐뚨볛ꆣ룷볒틸탐뗄뷡릹탔듦뿮놨볛죧쿂ꎺ 훐맺틸탐ꎺꆰ믣뻛놦ꆱ 훐탐ꆰ믣뻛놦ꆱꎨ뗚튻웚ꎩ쏀풪 욷훖 ꆰ웚쿞뿉뇤ꆱ샭닆볆뮮 ꆰ죕뷸뚷뷰ꆱ샭닆볆뮮 쳘뗣 뷰쒼벯웚 2004쓪1퓂14죕ꆪ2004쓪1퓂18죕 뷶5쳬 웰쾢죕 2004쓪1퓂20죕 2004쓪1퓂20죕 떽웚죕 2007쓪1퓂20죕2007쓪1퓂20죕 1 췸횷캪ꎺ 2 닎볻췸햾짏뗄쿠맘쮵쏷ꎬ뗘횷캪ꎺ
춶웚쿞 ퟮ뛌튻쓪ꎻퟮ뎤죽쓪 ퟮ뛌쇹룶퓂ꎻퟮ뎤죽쓪 ꎨ늻좷뚨ꎩ 퓚샭닆볆뮮횴탐뫳뗄뗚튻쓪쒩뻶뚨쫇퓚쎿룶볆쾢죕ꎬ훐맺틸탐폐좨뻶뚨럱훕횹룃볆뮮ꎬ 쫇럱훕횹룃샭닆볆뮮 죽쓪쓚ꎬ뿍뮧늻뿉훷뚯쳡잰훕횹볆뮮 죽쓪쓚뿍뮧늻뿉훷뚯쳡잰훕횹룃볆뮮 춶믘놨싊 쓪쫕틦ꎺ좷놣% 쓪쫕틦ꎺ%ꎬ룟돶떱잰틸탐듦뿮 룟 쿠떱폚튻쓪웚틸탐듦뿮쓪쫕틦싊쓪쫕틦싊쫽놶 %뗄놶 춶럧쿕 놾뷰100%낲좫,쫕틦럡뫱 놾뷰100%낲좫,쫕틦럡뫱 뗍 벴뇣튻쓪뫳틸탐훕횹샭닆볆뮮,쓺뿉퓙벴뇣틸탐퓚쒳룶뢶쾢죕훕횹샭닆볆춶웤쯼샭닆닺욷 뮮,쓺뿉퓙춶웤쯼샭닆닺욷 쏢돐떣럑폃 늻뇘붻쓉죏릺럑뫍뷰맜샭럑 늻뇘붻쓉죏릺럑뫍뷰맜샭럑 볆쾢믹뒡 30/360(쎿퓂내30쳬볆ꎬ쎿쓪내360쳬Act (쪵볊쳬쫽)/360(쎿쓪내360쳬볆) 볆) 쫕틦횧뢶 쎿냫쓪뢶쾢튻듎ꎬ춶헟뿉붫쫕틦뷸탐쎿냫쓪뢶쾢튻듎(내풼뚨뗄볆쯣랽(쎿냫쓪튻듎) 퓙춶ꎬ뗈춬쿭쫜뢴샻뗄뫃뒦 램)ꆣ춶헟뿉붫쫕틦뷸탐퓙춶ꎬ뗈춬쿭쫜뢴샻뗄뫃뒦ꆣ 붨짨틸탐ꎺ믣뗃샻 뇒 훖ꎺ 쏀풪 풤풼쪱볤ꎺ 2004쓪 02퓂12죕훁18죕15ꎺ00쪱ꎨ훜쒩헕뎣뿉풤풼ꎩ 붻틗웰쪼죕ꎺ 2004쓪02퓂20죕 떽 웚 죕ꎺ 2007쓪02퓂20죕 웚 쿞ꎺ 3쓪ꆣퟮ뛌3룶퓂ꎬퟮ뎤3쓪ꎬ쫓틸탐쫇럱쳡잰훕횹뛸뚨ꆣ 쫕 틦 싊ꎺ %ꎬ5000쏀풪틔짏%(퓝뚨) 쫕틦횧뢶욵싊ꎺ쎿죽룶퓂횧뢶튻듎쫕틦 캯 췐 뷰 뛮ꎺ 쿖뎮믲쿖믣늻짙폚1000쏀풪ꎬ 늻튻뚨튪쫇1000쏀풪뗄헻쫽놶ꎻퟮ킡떥캻떽풪 캯 췐 럑 폃ꎺ 틸탐늻쫕죏릺럑뫍뷰맜샭럑 쳡잰훕횹좨ꎺ 쎿룶뢶쾢죕틸탐폐좨좡쿻쪣폠웚쿞뗄붻틗ꆣ
뢽쫴쳵볾ꎺ 뷡릹탔샭닆뷰늻뗃쳡잰횧좡ꎬ늻뗃맒쪧ꎬ늻뗃죃ꆣ 릤짌틸탐ꎺꆰ믣닆놦ꆱ 웰듦뷰뛮1000쏀풪ꎬ놣횤만뚨쓪쫕틦싊%ꎬ릤탐쎿3룶퓂횧뢶튻듎춶쫕틦ꎬ늢룹뻝맺볊쫐뎡쟩뿶톡퓱쫇럱쳡잰훕횹룃샭닆닺욷ꎬ쎿3룶퓂쿭폐1듎훕횹좨ꆣ죴릤탐쎻폐톡퓱쳡잰훕횹ꎬ퓲놾뷡릹듦뿮뗄쪵볊웚쿞캪5쓪ꆣ뗚5쓪쒩붫튻듎탔횧뢶좫뛮놾뷰뫍ퟮ뫳3 룶퓂뗄춶쫕틦ꆣ랢탐웚듓2004쓪2퓂25죕훁3퓂3죕ꎬ릲8쳬ꆣ 4ꎮ뚨볛뷡맻폫럖컶 훐맺틸탐ꆰ믣뻛놦ꆱ뗄뚨볛뷡맻 평폚ꆰ믣뻛놦ꆱ웚쿞뷏뛌ꎬ횻폐3쓪ꎬ뛸쟒틸탐횻폐퓚뗚튻쓪쒩닅폐좨횴탐쳡잰쟥뎥뗄좨솦ꎬ쯹틔뛔펦뗄샻싊쫷춼맀볆뇈뷏볲떥ꎬ횱뷓폃EXCEL뗄맀볆뷡맻죧쿂ꎺ 2004쓪1퓂20죕쏀맺맺햮쫕틦싊뛾닦쫷 힢ꎺ맀볆쒣탍쫇BDT쒣탍ꎬ웚쿞캪죽쓪ꎬ쎿냫쓪캪튻룶쪱볤볤룴ꆣ 퓚짏쫶샻싊뚯첬맽돌뗄믹뒡짏ꎬ뛔ꆰ믣뻛놦ꆱ뗄솽룶욷훖뚨볛죧쿂ꎺ ꆰ웚쿞뿉뇤ꆱ샭닆볆뮮 돽쾢뫳듦뿮뗄볛횵ꎨ늻뾼싇쳡잰쫪믘ꎩ 1000 1000 1000 1000
1000 1000 1000 쿖퓚 쓪 1쓪 쓪 2쓪 쓪 3쓪 톡퓱좨볛횵쫷춼ꎺMAX(돖폐ꎬ횴탐) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 쿖퓚쓪 1쓪쓪2쓪쓪 3쓪 듦뿮뗄볛횵ꎨ뾼싇쳡잰쫪믘ꎩꎺ늻뿉쫪믘뗄듦뿮볛횵ꎭ톡퓱좨볛횵ꎫ샻쾢 쿖퓚 쓪 1쓪쓪2쓪쓪 3쓪 죕뷸뚷뷰ꆱ샭닆볆뮮
돽쾢뫳듦뿮뗄볛횵ꎨ늻뾼싇쳡잰쫪믘ꎩ 1000 1000 1000 1000 1000 1000 1000 쿖퓚 쓪 1쓪쓪2쓪쓪 3쓪 톡퓱좨볛횵쫷춼ꎺMAX(돖폐ꎬ횴탐) 0 0 0 0 0 0 0 0 0 0 쿖퓚 쓪 1쓪쓪2쓪쓪 3쓪 듦뿮뗄볛횵ꎨ뾼싇쳡잰쫪믘ꎩꎺ늻뿉쫪믘뗄듦뿮볛횵ꎭ톡퓱좨볛횵ꎫ샻쾢 1000 1000 1000 1000 1000 1000 1000 1000 1000 1000 1000 1000
1000 1000 1000 1000 1000 1000 1000 1000 1000 쿖퓚쓪 1쓪쓪2쓪쓪 3쓪 붨짨틸탐ꆰ믣뗃샻ꆱ뫍릤짌틸탐ꆰ믣닆놦ꆱ뗄뚨볛뷡맻 평폚ꆰ믣뗃샻ꆱ쎿벾뛈횧뢶튻듎샻쾢ꎬ뛸쟒웚쿞캪5쓪ꎬ쯹틔샻싊쫷춼횱뷓폃EXCEL맀볆믡뇈뷏랱쯶ꎬ쯹틔컒쏇톡퓱쇋폃MATLAB살맀볆ꆣ릤짌틸탐ꆰ믣닆놦ꆱ뗄샻싊쫷춼튲쫇폃MATLAB맀볆뗄ꆣ맀볆뷡맻뇭쏷붨짨틸탐ꆰ믣뗃샻ꆱ뗄볛횵캪ꎬ릤짌틸탐ꆰ믣닆놦ꆱ뗄볛횵캪ꆣ 5ꎮ뷡싛폫붨틩 뚨볛뷡맻뇭쏷ꎬ죽볒틸탐랢탐뗄뷡릹탔듦뿮뗄볛횵뻹룟폚웤놾뷰ꎬ튲뻍쫇쮵늻쫇욽볛랢탐ꎬ떼훂헢룶뷡맻풭틲뿉쓜쫇ꎺ 컒쏇퓚뚨볛맽돌훐쪹폃뗄쳹쿖싊쫇쏀맺맺햮뗄쫕틦싊ꎬ헢퇹ퟶ뗄튻룶틾몬볙뚨쫇헢죽볒틸탐랢탐뗄뷡릹탔듦뿮뗄럧쿕뗈벶뫍쏀맺맺햮뗄쫕틦싊쫇튻퇹뗄ꎬ벴튲쫇컞럧쿕뗄ꆣ쪵볊짏컒쏇뗄틸탐퓚췢믣뷡릹듦뿮뗄닙ퟷ맽돌훐쫇횱뷓떽맺볊쫐뎡짏붫듦뿮싴ꎬ웤럧쿕뗈벶쿔좻룟폚쏀맺맺햮뗄쫕틦싊ꎬ쯹틔돶쿖헢훖뷡맻쫇뫏샭뗄ꆣ튲뻍쫇쮵뷡릹탔듦뿮쪵볊짏쫇폐럧쿕뗄ꆣ 쓇쎴맺쓚뗄틸탐헢퇹닙ퟷ뻍믡폐뫜듳컊쳢ꎬ틲캪맺쓚뗄듦뿮죋쪵볊짏붫뷡릹탔듦뿮쫓춬컞럧쿕뗄듦뿮ꎬ틲캪쯼폐맺볒탅폃ퟷ캪떣놣ꎬ쓇쎴뷡릹탔듦뿮뗄럧쿕쪵볊짏쫇평짌튵틸탐돐떣뗄ꎬ뛸맺폐짌튵틸탐뗄헢훖럧쿕ퟮ훕뮹쫇튪볞떽헾뢮짭짏ꆣ쯹틔ꎬ헢샯듦퓚럧쿕뫍쫕틦늻뛔돆뗄쟩뿶ꎬ벴믱뗃쫕틦뗄죋쎻폐돐떣좫늿뗄럧쿕ꎬ듋쪱ퟮ죝틗돶쿖뗀뗂럧쿕ꎬ쏦뛔헢훖쟩뿶ꎬ컒쏇뗄볠맜떱뻖펦룃틽웰ퟣ릻뗄훘쫓ꆣ 뻍뷡릹탔듦뿮뛸퇔ꎬ평폚쯼놾짭쫇튻훖뫜폐짺쏼솦뗄듦뿮뒴탂ꎬ컒쏇늻펦룃볲떥뗘뷻횹ꎬ뛸쫇펦룃듓짌튵틸탐뗄럧쿕뿘훆죫쫖ꎬ튪쟳짌튵틸탐랢탐뷡릹탔듦뿮뇘탫뷸탐럧쿕뿘훆ꎬ뻍쫇쮵늻쫇볲떥뗄싴ꎬ튪돤럖뗘붫듦뿮뗄럧쿕뛔돥ꆣ뛔듋볠맜떱뻖뿉틔헫뛔뷡릹탔듦뿮훆뚨쏅뗄럧쿕볠뿘횸뇪ꆣ 닎뾼컄쿗ꎺ Black, Fisher, Emanuel Derman and William Toy, 1990, “A One Factor Model of Interest Rates
and Its Application to Treasury Bond Options”, Financial Analysts Journal, January-February, 33-39. Lin, Hai and Zhenlong Zheng, 2003, Dynamic Behavior of Interest Rates in China, Chinese Business Review, Nov., Vol. 2, No. 4. 쇖몣ꆢ횣헱쇺ꎨ2004ꎩꎺꆶ훐맺샻싊웚쿞뷡릹ꎺ샭싛폫퓋폃ꆷꎬ훐맺닆뺭돶냦짧ꆣ 횣헱쇺ꆢ쇖몣ꎨ2003ꎩꎺꆰ훐맺쫐뎡샻싊웚쿞뷡릹뗄뺲첬맀볆ꆱꎬꆶ커몺뷰죚ꆷꎬ뗚3웚ꆣ
