利率衍生性商品試算表之建構

Abstract

隨著電腦科技及財務工程技術的發展﹐各種匯率､利率避險工具如換匯､ 利率期貨､利率交換､利率選擇權､及一些較新穎的異型選擇權(Exotic option)等衍生性金融產品不斷的推陳出新。無論是企業界或金融機構莫 不競相利用此衍生性金融商品來規避匯率及利率因波動而形成之風險。然 衍生性金融商品固然有其避險功能﹐但因有大量運用其財務槓桿之特性﹐ 故若操作不當則其潛在風險相當大。最著名的例子即是英國霸菱商業銀行 因其一位交易員操作日經期貨選擇權之不當而造成約十四億美元的虧損以 至於公司倒閉事件。為此回顧國內過去相關的研究﹐卻沒有以整合性觀點 的報告對利率衍生性商品作資訊管理方面的探討。且有鑑於衍生性商品的 操作較具技術性﹐其評價模式也較為複雜﹐故以電腦來輔助人腦作分析與 研判的己是一不可避免之趨勢。故本研究針對利率衍生性金融商品之指標 ､相關定價模式及交易策略建立一個輔助的分析工具。其所提供的各項功 能﹐可以幫助使用者對衍生性商品資訊迅速地分析﹐進而作出正確之決策 。 The progress of computer science and financial engineering technologies have made tremendous development of innovative derivative securities. In recent years, derivative securities have become increasingly important in the field of finance. Derivative securities are often complex instruments, difficult to understand, and highly leveraged. Moreover, the high leverage means that small changes in the underlying asset*s price can cause large price swings in the derivative*s price. If this characteristic is misunderstood, huge losses may be realized.The major objective of this research is to construct a system of information value-added analysis model for the interest rate derivative securities. The functions provided by this system enable investors to analyze the information of derivative securities rapidly, then to make the proper decisions.