补充一下，能否吧他看作是一个普通的INTEREST RATE CALL OPTION，标的是3个月后的3个月shibo，行权价是3.50%。
有劳大家指教。

哈哈  是人民币的吗  到是挺值得买的

汗。。。shibo（shibor?)。。。
还有是不是应当考虑一下相同期限下的当前利率（3个月年化1.71%，6个月年化1.98%）呢？

我觉得在定价时折现因子可以用三个月的定期存款利率，你们认为呢？

我觉得这是一个option on 3 month shibor 3 month forward.

根据现在的利率３个月后的3 month shibor should be 4.17%, so if 3 month later, the spot 3 month shibor is higher than 4.17%, bank will not exercise this option, as borrowing cost will be higher than to continue to borrow from lenders.  If the spot rate 3 month later is lower than 4.17%, bank will exercise this option, to get lower rate from market for 3 month funding.