本研究以Hull and White(1990)的利率模型為主要研究方法，其主要特色：均數復歸的特性，且其能符合市場的利率期間結構。而實證結果發現以下兩點：一、長期相對短期利率波動度σ和殖利率曲線平移敏感度分析中，可以看出殖利率曲線平移對債券價格變化影響力會大於波動度σ的影響。二、利率反轉速度a和長期相對短期利率波動度σ的分析，以利率反轉速度a對債券價格則產生較大的影響。 This study is mainly in view of the interest rate structure product by the financial engineering method. Providing the investor and the distributor to understand about the structure product characteristic and the risk. This study analyzes the bond price in the structure product, and discuss weather the bond price will be changed by the underlying asset volatility or other factors.
In this study, Hull and White (1990) model is the main research method. Its main characteristics are : mean-reverting, and it be can calculated from the initial yield curve describing the current term structure of interest rates during the period. And the empirical results showed the following two points : Both interest rates volatility and yield curve sensitivity analysis, we can find out yield curve owns a greater impact than volatility . Second, the interest rate reversal rate in the bond prices also owns a greater impact than volatility.