Interest Rate Options [Caps / Floors / Collars]

Presentation on theme: "Interest Rate Options [Caps / Floors / Collars]"— Presentation transcript:

1 Interest Rate Options [Caps / Floors / Collars]
Financial Engineering & Risk Management Interest Rate Options [Caps / Floors / Collars] 제일선물주식회사

2 Agenda • Caps • Floors • Collars [Caps & Floors] • Bond Options

3 Caps INTEREST RATE OPTIONS Protection against rising Interest rates
Interest rate call option - 변동금리 차입자에게 금리상승 위험을 제거 Rising interest rates ⇒ Rising value of the interest rate call option Cap Payoff = Max[(iT - i) F, 0 ] Example 행사금리[i] 6.0% CD 금리[iT] 7.0% 원금[F] 백만원 만기기간[] 1년 Cap : 분기 정산일에 시장금리가 캡 금리보다 높으면 차액에 해당하는 이자를 지불 Payoff = Max[(7.0% - 6.0%) ×1 ×1,000,000, 0] = 10,000

4 Floors INTEREST RATE OPTIONS Protection against falling Interest rates
Interest rate put option - 변동금리 대출자에게 금리하락 위험을 제거 Falling interest rates ⇒ Rising value of the interest rate put option Floor Payoff = Max[(i - iT) F, 0 ] Example 행사금리[i] 8.0% CD 금리[iT] 6.0% 원금[F] 백만원 만기기간[] 1년 Floor : 분기 정산일에 시장금리가 플로어 금리보다 낮으면 차액에 해당하는 이자를 지불 Payoff = Max[(8.0% - 6.0%) ×1 ×1,000,000, 0] = 20,000

5 Collars [Caps & Floors]
INTEREST RATE OPTIONS Cap Payoff Max[(iT - i) F, 0 ] / Max[(7.0%-6.5%) ×1 × , 0] 행사금리 6.5% CD 금리 7.0% 원금 백만원 만기기간 1년

6 Collars [Caps & Floors]
INTEREST RATE OPTIONS Floor Payoff Max[(i - iT) F, 0 ] / Max[(7.5%-7.0%) ×1 × , 0] 행사금리 7.5% CD 금리 7.0% 원금 백만원 만기기간 1년

7 Collars [Caps & Floors]
INTEREST RATE OPTIONS Collar [Cap + Floor] Collar Payoff = Max[(iT - i) F, 0 ] + Max[(i - iT) F, 0 ]]

8 Collars [Caps & Floors]
INTEREST RATE OPTIONS Long interest rate collar[buy cap / sell floor] = Pay-fixed interest rate swap Short interest rate collar[sell cap / buy floor] = Receive-fixed interest rate swap Cap Floor 금리수준 이자율 옵션 국채옵션 금리상승 위험 Buy Cap Buy Put 금리하락 위험 Sell Cap Sell Put Buy Floor Buy Call Sell Floor Sell Call

9 Bond Options INTEREST RATE OPTIONS
Interest rate option and Zero Coupon Bond Option are equivalent[Cap = Put Option Payoff] 행사가격 = 1 / 행사금리 Zero Coupon Bond Option와 Cap의 Payoff를 동일한 유통수익률로 할인 Max[(iT-1 - i, 0] = (1 + i) Max[ , 0] 1 + iT i iT-1 Exercise interest rate 5.0% / 1 period before maturity 유통수익률 Zero coupon bond option [Put] Interest rate option [Cap] 7.00% 1.05 Max[1/1.05-1/1.07,0] = Max[ ,0] / 1.07 = 5.50% 1.05 Max[1/1.05-1/1.055,0] = Max[ ,0] / = 4.00% 1.05 Max[1/1.05-1/1.04,0] = Max[ ,0] / 1.04 =

10 http://www.cjfutures.co.kr Interest rate options INTEREST RATE OPTIONS
제일선물(주) 투자공학팀 김태선 제일선물주식회사