LIBOR시장모형과 Hull-White모형 하에서 구조화스왑의 모수 추정과 가격결정에 관한 연구

In this study, structured swaps were developed by using market information to quickly and accurately estimate the volatility period structure and correlation matrix of the forward interest rate, which are inherent in the LIBOR market model, which explains the movement of the forward interest rate under arbitrage conditions. is to set the price. In practice, we intend to determine the price of structured swaps using the simplest and most suitable parameter estimation method. First, we show how accurately the swaption surface is restored with parameters estimated by the LIBOR market model using Korean market information. Unlike the Hull-White model, it shows that the entire volatility surface is restored evenly, and the European 5 by 5 swaption price is calculated using two models. For the price of European swap option, the distribution of 5Y swap rate after 5Y can be seen, and the two prices almost coincided with a difference of 2bp.Afterwards, the instantaneous correlation coefficient matrix was estimated by the dimensionality reduction method of the LMM model and the full rank method. As a result of comparison, there was no difference with an average of 2.4394E-14. Finally, the price of Spread Range Accrual, which is a practically issued product, was determined by the dimensional reduction method, the full rank method, and the Hull-White method, and the calculation efficiency was confirmed about five times by the three-factor dimension reduction method.