金融商品設計與評價 HW10

第六組

一、ICON 評價

ICON

ICON 函數將 Index Currency Option Notes (ICON) 拆解成兩個執行價格不同買權與一個零息

債券，分別用 Black-Scholes Formula 和折現公式算出現在的價值後，加總成為此 ICON 現在的價

值。當我們使用原本給定的參數時， ICON 的價值為 159.7799。而當我們將 sigma 調整為

0.1625 時，價值則會是 226.4551，如同講義中所寫的介在 226 與 227 元之間。

function P = ICON()
S0=input('S0=');
r=input('r=');
rf=input('rf=');
sigma=input('sigma=');
T=input('T=');
K1=input('K1=');
K2=input('K2=');
cont=input('contract size=');

C1=blsprice(S0,K1,r,T,sigma,rf); % price of a call with a

lower strike price
Code C2=blsprice(S0,K2,r,T,sigma,rf); % price of a call with a
higher strike price
C1=C1*cont;
C2=C2*cont;

B=1000*exp(-r*T); % price of the zero-coupon bond

P=-C1+C2+B; % price of an ICON

end

% S0=1/106.47; r=0.0564; rf=0.0364; sigma=0.102; T=10;

K1=1/169; K2=1/84.5; contract_size=169000;
 % S0=1/106.47; r=0.0564; rf=0.0364; sigma=0.1625; T=10;
K1=1/169; K2=1/84.5; contract_size=169000;

Outcome
二、TRF 評價

TRF_BS

TRF_BS 函數將 Target Redemption Forward (TRF) 拆解成一個賣權、一個買權與一個 cash-or-

nothing，分別用 Black-Scholes Formula 計算出價值，加總成為此 TRF 的價值。當我們使用第一

組參數：S0=6.1; exer=6.12; prot=6.18; r=0.05; rf=0.03; T=1; sigma=0.05;

時，TRF 價值為 0.2114。接著，我們分別調整執行價、保護價與本國利率，在各自為 6.2973、

6.7712 與 0.025 時，都能使價格非常接近 0。

function Price = TRF_BS(S0,exer,prot,r,rf,T,sigma)

% Calculate the price of a short put

d1_exer = (log(S0/exer)+(r-rf+sigma^2/2)*T) /
(sigma*sqrt(T)) ;
d2_exer = (log(S0/exer)+(r-rf-sigma^2/2)*T) /
(sigma*sqrt(T)) ;
P = exer*exp(-r*T)*normcdf(-d2_exer) - S0*exp(-
rf*T)*normcdf(-d1_exer) ;

% Calculate the price of a long call

d1_prot = (log(S0/prot)+(r+sigma^2/2)*T) / (sigma*sqrt(T)) ;
d2_prot = (log(S0/prot)+(r-sigma^2/2)*T) / (sigma*sqrt(T)) ;
Code C = S0*exp(-rf*T)*normcdf(d1_prot) - prot*exp(-
r*T)*normcdf(d2_prot) ;

% Calculate a long cash-or-nothing

CON = (prot-exer)*exp(-r*T)*normcdf(d2_prot) ;

% Calculate the price of TRF

Price = -P + 2*C + CON;
end

% The initial input set

% S0=6.1; exer=6.12; prot=6.18; r=0.05; rf=0.03; T=1;
sigma=0.05;
 % The input set with the adjusted exercise price
% S0=6.1; exer=6.2973; prot=6.18; r=0.05; rf=0.03; T=1;
sigma=0.05;

% The input set with the adjusted protect price

% S0=6.1; exer=6.12; prot=6.7712; r=0.05; rf=0.03; T=1;
sigma=0.05;

% The input set with the adjusted domestic interest rate

% S0=6.1; exer=6.12; prot=6.18; r=0.025; rf=0.03; T=1;
sigma=0.05;

Outcome
 或使用 solve function 解出最佳解 :

syms S0 exer prot r rf T sigma

exer_ans =
solve(TRF_BS(6.1,exer,6.18,0.05,0.03,1,0.05)==0,exer,'Real',
true)
prot_ans =
solve(TRF_BS(6.1,6.12,prot,0.05,0.03,1,0.05)==0,prot,'Real',
true)
r_ans =
solve(TRF_BS(6.1,6.12,6.18,r,0.03,1,0.05)==0,r,'Real',true)

Code