Financial Instruments-Structured Products Handbook

１６６页　 六章 2.01M　

2004　英文　PDF　

This publication is meant to provide all interested market participants with a reference work about the valuation and replication of the structured bond products most widely traded in Austria. A partner institution of the Austrian credit institutions, the OeNB offers this service to all market players to ensure transparency.　

1 GENERAL OVERVIEW 7
2 INTRODUCTION 9
3 PRODUCTS OF INTEREST RATES 12
3.1 Zero Coupon Bonds 12
3.2 Coupon Bonds (Straight Bonds) 13
3.3 Floating Rate Notes (FRNs, Floaters) 14
3.4 Plain Vanilla Swaps 16
3.5 Forward Rate Agreements (FRAs) 17
3.6 Callable/Putable Zero Coupon Bonds 18
3.7 Callable/Putable Coupon Bonds 21
3.8 Putable Floaters 24
3.9 Swaptions 25
3.10 Floors, Caps and Collars 26
3.11 Floored Floating Rate Notes, Capped Floating Rate Notes and collared Floaters 29
3.12 Reverse Floating Rate Notes 31
3.13 Multitranches Bonds 33
3.14 Step-up/Step-down Bonds 34
3.15 Floating Rate/Fixed Rate Notes 36
3.16 Fixed Rate/Zero Coupon Bonds 37
3.17 Fixed to Floating Rate Notes 39
3.18 Digital Ranges 40
3.19 Range Floaters 43
3.20 Barrier Notes 45
3.21 Fixed/Floating Rate Bonds with Put Option 47
3.22 Annex — Product Replication Overview 48
4 PRODUCTS OF EQUITIES DERIVATIVES 50
4.1 Convertible Bonds 50
4.2 High-Yield Products 54
4.2.1 Introduction 54
4.2.3 Cash-or-Share Bonds-Various Currencies 59
4.2.4 High-Yield Index Bonds 61
4.2.5 High-Yield Basket Bonds 63
4.2.6 High-Yield Lookback Bonds 66
4.3 Capital-Guaranted Products 68
4.3.1 Introduction 68
4.3.2 European Call Options 69
4.3.3 European Put Options 75
4.3.4 Asian Options (Average Rate Options) 81

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5.21 Asian FX-Linked Zero Coupon Bonds 150
5.22 Currency Basket Bonds with Call Options 152
5.23 Currency Basket Bonds with Caps and Floors 155
5.24 Annex — Product Replication Overview 158
6 GLOSSARY AND LITERATURE 161
6.1 Glossary 161
6.2 Literature 164

[此贴子已经被作者于2007-1-26 9:48:28编辑过]