這是主約保險
這張保險可以單獨購買，也可以搭配其他附約保險一起購買。
這是終身險
可以保障終身，你可以選擇要分幾期繳完，假設選擇30年期，代表保費要繳30年，每年保費都不會變，30年後就不用再繳保費，可以保障一輩子。
這張保險還沒做好 :(
保險商品真的太多了......再給我們一點時間。
如果急著想了解這張商品，問問網站其他會員，
可以得到即時的建議哦！
1 105
備查文號: (97)全球壽(市產)字第 032801 號
備查日期:97 年 3 月 28 日
全球人壽萬利變額萬能壽險
全球人壽萬利變額萬能壽險全球人壽萬利變額萬能壽險
全球人壽萬利變額萬能壽險
0800-000-662
2 105
3 105
4 105
5 105
6 105
7 105
8 105
9 105
10 105
11 105
12 105
【
【【
【附件一
附件一附件一
附件一】
】】
】保險金最低比率
被保險人到達年齡所對應之「保險金最低比率」，其數值如下表。
被保險人之到達年齡 40 歲（含）以下
41 歲至 70 歲 71 歲（含）以上
最低比率 130% 115% 101%
13 105
【
【【
【附件
附件附件
附件二
二二
二】
】】
】費用結構
費用結構費用結構
費用結構
全球人壽
全球人壽全球人壽
全球人壽萬利
萬利萬利
萬利變額萬能壽險保險公司收取之相關費用表
變額萬能壽險保險公司收取之相關費用表變額萬能壽險保險公司收取之相關費用表
變額萬能壽險保險公司收取之相關費用表
14 105
全球人壽
全球人壽全球人壽
全球人壽萬利
萬利萬利
萬利變額萬能壽險投資機構收取之相
變額萬能壽險投資機構收取之相變額萬能壽險投資機構收取之相
變額萬能壽險投資機構收取之相關費用表
關費用表關費用表
關費用表
( )
15 105
16 105
【
【【
【附件
附件附件
附件二
二二
二之
之之
之一
一一
一】
】】
】臺灣壽險業第
臺灣壽險業第臺灣壽險業第
臺灣壽險業第四
四四
四回經驗生命表死亡率的百分之
回經驗生命表死亡率的百分之回經驗生命表死亡率的百分之
回經驗生命表死亡率的百分之百
百百
百
17 105
【
【【
【附件
附件附件
附件三
三三
三】
】】
】投資標的說明
投資標的說明投資標的說明
投資標的說明
18 105
19 105
20 105
21 105
【
【【
【附件四
附件四附件四
附件四】
】】
】結構型債券說明
結構型債券說明結構型債券說明
結構型債券說明
22 105
I
S&P 500 Index ( 500 )
1. 500
2. 1941~1943 10
DJ Eurostoxx 50 Index ( 50 )
1. 50
2. 1991 12 31 1000
Nikkei 225 Index 225
1. 225
2. 1949 5 16
KOSPI KOSPI
1.
2. 1980 1 4 100
Kospi 200 Index KOSPI200
1. 200
2. 1990 1 3 100
Nasdaq 100 Index 100
1. NASDAQ
2. 1985 2 1 125
Dow Jones Industrial Average
30
Nasdaq Composite Index
1. Nasdaq
2. 1971 2 5 100
Hang Seng Index
1.
2. 1964 7 31 100
CAC-40 Index 40
1.
40 Paris Bourse
2. 1987 12 31 1,000
FTSE 100 Index 100
23 105
1.
100
2. 1984 1 3 1,000
Topix Index /
1. First Section
2. 1968 1 4 100
Philadelphia Semiconductor Index ( )
1.
2. 1993 12 1 ( 100)
NASDAQ Biotech Index ( )
1.
2. 1993 11 1 ( 200)
DJ Global Titan Index ( )
50
Straits Times Index ( )
S&P/ASX 200 Index ( ASX200 )
ASX200 200
Thailand Set 50 Index ( SET50 )
1. SET50 50
2. 1995 8 16 100
1. 11:00
2. British
Bankers Association 25% 25%
3.
CBOE CBOE Gold Index
1.
2. 1994/12/16 1,00
S&P 500 S&P 500 Real Estate Index
Brent Crude Index
REIT
London Gold Market Fixing Ltd.
3
NYMEX/New York Merchantile Exchange
1. 1 30
2. USD swap rate or USD CMS
24 105
3.
REIT
1.
2. 1987
1.
2. 19
1. 35
2. 1989/1
1.
2. 1988/6/30 1,500
TECDAX
1.
2. 1997/12/
1.MSCI World
2.MSCI World Index
1. Russell 3000 2000
2. 1986/12/31
1.
2. 1977 1 2 100 I
/NIFTY
1. 50
2. 1995/11/3 1,000
1.
2.
1.
2.
1.
2.
1.
2.
1.
2.
25 105
1.
2.
1.
2.
1.
2.
1.
2.
1.
2.
1.
2.
1.
2. 1978-1979 100
1. RTS ( Russian
Trading System)
2. 1995 9 1 100
(S&P GSCI Index)
(S&P GSCI Index)
(S&P GSCI Index)
1. WilderHill New Energy Finance,LLC
2. 2002 12 30 100
MSCI GDP
26 105
1. MSCI
2. 1988 1 1 100
S&P GSCI Excess Return Index
1. Jim Rogers
2.
…
3.1998/07/31
1. Jim Rogers
2.
…
3. 1998/07/31
1. RICI RICI Enhanced Index ER
2.1998/07/31
1. RICI RICI Enhanced Index
2.1998/07/31
1. RICI RICI Enhanced Index ER
Brent RBOB heating oil gasoil
2.1998/07/31
1. RICI RICI Enhanced Index
Brent RBOB heating oil gasoil
2.1998/07/31
1. RICI RICI Enhanced Index ER
Wheat Kansas City Wheat Minneapolis Wheat
Coffee Robusta Soymeal
Orange Juice Live Cattle Lumber
Barley
2.1998/07/31
1. RICI RICI Enhanced Index
Wheat Kansas City Wheat Minneapolis Wheat
Coffee Robusta Soymeal
Orange Juice Live Cattle Lumber
Barley
2. 1998/07/31
27 105
28 105
29 105
30 105
31 105
32 105
33 105
34 105
35 105
36 105
37 105
38 105
39 105
40 105
41 105
42 105
43 105
44 105
45 105
46 105
47 105
48 105
49 105
50 105
51 105
52 105
53 105
54 105
—
h × h
h R
h
1. h=1
( )
××+=
11
1
1
1111
,, CapFloor
G
g
PortfolioPRAMaxMinR
2. h= 2,3,……,T 2
(1)
etargt
h
i
i
RR <
∑
−
=
1
1
R
target
( )
××+=
∑
−
=
−
1
1
arg
,,,
h
i
ietthh
h
h
hhhh
RRCapFloor
G
g
PortfolioPRAMaxMinR
(2)
ett
h
i
i
RR
arg
1
1
≥
∑
−
=
R
target
R
h+i
= F i=0,1,2,…,T-h ( )
3. K R
target
R
K
AD
K
4.
R
T
ED
T
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1
2 3 6 12
h
t
mi
6 t
mi
= 6 M
i
= 2 2003/7/3
2003/7/3 2004/1/3 2004/1/3
2004/7/3 2004/7/3 2005/1/3
A
h
,PR
h
,Floor
h
,Cap
h
g
h
h Barrier
h
Libor CMS
55 105
G
h
h
Barrier
h
h
R
target
AD
K
ED
T
F
h Portfolio
h
∑
=
−
×=
N
n
hh
n
n
h
n
h
nh
UFUC
Underlying
UnderlyingUnderlying
MinMaxWPortfolio
1
0
0
,,
N
h
n
W
n h
1
1
=
∑
=
N
n
h
n
W
0
n
Underlying
n
h
n
Underlying
n h dh
UC
h
h dh
UF
h
h dh
dh
1.1997 8 8 6 H 6 10,000
2. 6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12
3. 5 N = 5 5
5/1...
521
====
hhh
WWW
4.A
h
=3% PR
h
=150% Floor
h
=0% Cap
h
=10% R
target
=30% dh=5 UC
h
=50% UF
h
= -20%
5.F 2 6 Libor
6.
30%
1~3
4~5
6 7 8 9 10
11
12
AD
k
0%
2%
3%
4%
5%
6%
7%
8%
9%
7. 8%
ED
T
=8%
8.
Barrier
h
56 105
h Barrier
h
1 0%~5.75%
2 0%~5.75%
3 0%~5.75%
4 0%~5.75%
5 0%~6.25%
6 0%~6.25%
7 0%~6.25%
8 0%~6.25%
9 0%~6.5%
10 0%~6.5%
11 0%~6.5%
12 0%~6.5%
1 1997/8/8~1998/2/9 h = 1
(1). 5
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
1 1998/2/9 5 1998/2/2
66.68 31.50 55.72 46.44 31.13
1 Portfolio
1
=
+
−
−+
−× -20%50%1,
46.76
55.72
-20%50%1,
31.04
31.50
-20%50%1,
42.93
66.68
5
1
, , , MinMaxMinMaxMinMax
−+−+ -20%50%1,
23.00
31.13
-20%50%1,
36.59
46.44
, , MinMaxMinMax
=
[ ]
35.35%26.92%19.16%1.48%50.00%
5
1
++++×
= 26.58%
(2). 1 1997/8/8~1998/2/2 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1997/8/8 5.84%
1997/9/16 5.84%
1997/10/22
5.91%
1997/11/27
5.91%
1998/1/7 5.72%
2
1997/8/11 5.88%
1997/9/17 5.81%
1997/10/23
5.88%
1997/11/28
5.91%
1998/1/8 5.72%
3
1997/8/12 5.88%
1997/9/18 5.81%
1997/10/24
5.88%
1997/12/1 5.94%
1998/1/9 5.66%
4
1997/8/13 5.88%
1997/9/19 5.81%
1997/10/27
5.84%
1997/12/2 5.94%
1998/1/12 5.56%
5
1997/8/14 5.85%
1997/9/22 5.81%
1997/10/28
5.78%
1997/12/3 5.94%
1998/1/13 5.59%
6
1997/8/15 5.84%
1997/9/23 5.81%
1997/10/29
5.84%
1997/12/4 5.94%
1998/1/14 5.63%
7
1997/8/18 5.81%
1997/9/24 5.81%
1997/10/30
5.78%
1997/12/5 5.91%
1998/1/15 5.60%
8
1997/8/19 5.81%
1997/9/25 5.81%
1997/10/31
5.79%
1997/12/8 5.97%
1998/1/16 5.63%
9
1997/8/20 5.81%
1997/9/26 5.84%
1997/11/3 5.81%
1997/12/9 6.00%
1998/1/19 5.66%
10
1997/8/21 5.83%
1997/9/29 5.84%
1997/11/4 5.81%
1997/12/10
5.97%
1998/1/20 5.63%
11
1997/8/22 5.84%
1997/9/30 5.84%
1997/11/5 5.84%
1997/12/11
5.94%
1998/1/21 5.63%
12
1997/8/26 5.84%
1997/10/1 5.84%
1997/11/6 5.83%
1997/12/12
5.91%
1998/1/22 5.63%
13
1997/8/27 5.84%
1997/10/2 5.82%
1997/11/7 5.81%
1997/12/15
5.91%
1998/1/23 5.63%
14
1997/8/28 5.84%
1997/10/3 5.81%
1997/11/10
5.84%
1997/12/16
5.91%
1998/1/26 5.63%
15
1997/8/29 5.84%
1997/10/6 5.78%
1997/11/11
5.88%
1997/12/17
5.91%
1998/1/27 5.63%
16
1997/9/1 5.84%
1997/10/7 5.78%
1997/11/12
5.94%
1997/12/18
5.91%
1998/1/28 5.66%
17
1997/9/2 5.84%
1997/10/8 5.78%
1997/11/13
5.91%
1997/12/19
5.91%
1998/1/29 5.66%
57 105
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
18
1997/9/3 5.84%
1997/10/9 5.81%
1997/11/14
5.91%
1997/12/22
5.91%
1998/1/30 5.63%
19
1997/9/4 5.84%
1997/10/10
5.82%
1997/11/17
5.91%
1997/12/23
5.91%
1998/2/2 5.63%
20
1997/9/5 5.84%
1997/10/13
5.85%
1997/11/18
5.91%
1997/12/24
5.91%
21
1997/9/8 5.84%
1997/10/14
5.85%
1997/11/19
5.91%
1997/12/29
5.91%
22
1997/9/9 5.84%
1997/10/15
5.84%
1997/11/20
5.91%
1997/12/30
5.84%
23
1997/9/10 5.84%
1997/10/16
5.88%
1997/11/21
5.91%
1997/12/31
5.84%
24
1997/9/11 5.86%
1997/10/17
5.88%
1997/11/24
5.89%
1998/1/2 5.84%
25
1997/9/12 5.87%
1997/10/20
5.91%
1997/11/25
5.91%
1998/1/5 5.81%
26
1997/9/15 5.84%
1997/10/21
5.91%
1997/11/26
5.91%
1998/1/6 5.75%
G
1
= 1 6 Libor =123( )
g
1
= 1 6 Libor 0%~5.75%
= 20( )
(3). (1) (2) 1
( ) ( )
××+=××+= ,10%,0%
123
26.58%150%3%,10%,0%150%3%
20
MaxMin
G
g
PortfolioMaxMinR
1
1
1
1
=
[
]
{
}
,10%6.97%,0%MaxMin
=6.97%
=10000 × 6.97% = 697
2 1998/2/9~1998/8/10 h = 2
(1). 5
T US
DOW
US
MRK
US
VZ US
BLS US
1997/8/8
42.93
31.04
46.76
36.59
23.00
2 1998/8/10 5 1998/8/3
63.16
30.23
57.50
46.63
34.72
2 Portfolio
2
=
+
−
−+
−× -20%,50% 1,
46.76
57.50
-20%,50% 1,
31.04
30.23
-20%,50% 1,
42.93
63.16
5
1
MinMaxMinMaxMinMax
−+−+ -20%,50% 1,
23.00
34.72
-20%,50% 1,
36.59
46.63
MinMaxMinMax
=
( )
[ ]
50.00%27.44%22.97%2.61%47.12%
5
1
+++−+×
=28.98%
(2). 2 1998/2/3~1998/8/3 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1998/2/3 5.63%
1998/3/11 5.72%
1998/4/20 5.72%
1998/5/28 5.75%
1998/7/3 5.75%
2
1998/2/4 5.63%
1998/3/12 5.71%
1998/4/21 5.75%
1998/5/29 5.75%
1998/7/6 5.75%
3
1998/2/5 5.63%
1998/3/13 5.69%
1998/4/22 5.75%
1998/6/1 5.74%
1998/7/7 5.75%
4
1998/2/6 5.63%
1998/3/16 5.69%
1998/4/23 5.75%
1998/6/2 5.74%
1998/7/8 5.75%
5
1998/2/9 5.63%
1998/3/17 5.69%
1998/4/24 5.78%
1998/6/3 5.75%
1998/7/9 5.75%
6
1998/2/10 5.65%
1998/3/18 5.69%
1998/4/27 5.78%
1998/6/4 5.75%
1998/7/10 5.75%
7
1998/2/11 5.66%
1998/3/19 5.69%
1998/4/28 5.81%
1998/6/5 5.75%
1998/7/13 5.75%
8
1998/2/12 5.66%
1998/3/20 5.71%
1998/4/29 5.81%
1998/6/8 5.75%
1998/7/14 5.75%
9
1998/2/13 5.63%
1998/3/23 5.71%
1998/4/30 5.81%
1998/6/9 5.75%
1998/7/15 5.75%
10
1998/2/16 5.63%
1998/3/24 5.71%
1998/5/1 5.78%
1998/6/10 5.75%
1998/7/16 5.75%
11
1998/2/17 5.63%
1998/3/25 5.72%
1998/5/5 5.78%
1998/6/11 5.75%
1998/7/17 5.75%
58 105
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
12
1998/2/18 5.63%
1998/3/26 5.74%
1998/5/6 5.78%
1998/6/12 5.72%
1998/7/20 5.75%
13
1998/2/19 5.63%
1998/3/27 5.75%
1998/5/7 5.75%
1998/6/15 5.72%
1998/7/21 5.75%
14
1998/2/20 5.63%
1998/3/30 5.75%
1998/5/8 5.75%
1998/6/16 5.72%
1998/7/22 5.75%
15
1998/2/23 5.63%
1998/3/31 5.75%
1998/5/11 5.75%
1998/6/17 5.72%
1998/7/23 5.75%
16
1998/2/24 5.66%
1998/4/1 5.75%
1998/5/12 5.78%
1998/6/18 5.75%
1998/7/24 5.75%
17
1998/2/25 5.69%
1998/4/2 5.75%
1998/5/13 5.76%
1998/6/19 5.75%
1998/7/27 5.75%
18
1998/2/26 5.70%
1998/4/3 5.72%
1998/5/14 5.75%
1998/6/22 5.74%
1998/7/28 5.75%
19
1998/2/27 5.70%
1998/4/6 5.69%
1998/5/15 5.77%
1998/6/23 5.75%
1998/7/29 5.75%
20
1998/3/2 5.69%
1998/4/7 5.69%
1998/5/18 5.78%
1998/6/24 5.75%
1998/7/30 5.75%
21
1998/3/3 5.72%
1998/4/8 5.69%
1998/5/19 5.78%
1998/6/25 5.75%
1998/7/31 5.75%
22
1998/3/4 5.72%
1998/4/9 5.69%
1998/5/20 5.77%
1998/6/26 5.75%
1998/8/3 5.75%
23
1998/3/5 5.71%
1998/4/14 5.72%
1998/5/21 5.75%
1998/6/29 5.78%
24
1998/3/6 5.72%
1998/4/15 5.72%
1998/5/22 5.78%
1998/6/30 5.78%
25
1998/3/9 5.72%
1998/4/16 5.72%
1998/5/26 5.78%
1998/7/1 5.78%
26
1998/3/10 5.72%
1998/4/17 5.72%
1998/5/27 5.75%
1998/7/2 5.75%
G
2
= 2 6 Libor =126( )
g
2
= 2 6 Libor 0%~5.75%
= 107( )
(3). (1) (2) 2
R
1
6.97% 30%
( )
××+= 6.97%,10%,30%-,0%150%3%
2
2
22
G
g
PortfolioMaxMinR
( )
××+= %,10%,23.03,0%
126
107
28.98%150%3%
MaxMin
=
[
]
{
}
10%,23.03%39.46%,0% ,MaxMin
=10%
=10000 × 10% = 1000
3 1998/8/10~1999/2/8 h = 3
(1). 5
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
3 1999/2/8 5 1999/2/1
99.32 30.27 69.54 59.50 45.13
3 Portfolio
3
=
+
−
−+
−× -20%,50% 1,
46.76
69.54
-20%,50% 1,
31.04
30.27
-20%,50% 1,
42.93
99.32
5
1
MinMaxMinMaxMinMax
−+−−+ -20%,50% 1,
23.00
45.13
20%,50% 1,
36.59
59.50
MinMaxMinMax
=
( )
[ ]
50.00%50.00%48.72%2.48%50.00%
5
1
+++−+×
=39.25%
(2). 3 1998/8/4~1999/2/1 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1998/8/4 5.75%
1998/9/10 5.50%
1998/10/16
4.94%
1998/11/23
5.12%
1998/12/31
5.07%
2
1998/8/5 5.75%
1998/9/11 5.41%
1998/10/19
4.94%
1998/11/24
5.13%
1999/1/4 5.06%
3
1998/8/6 5.75%
1998/9/14 5.41%
1998/10/20
4.94%
1998/11/25
5.13%
1999/1/5 5.06%
4
1998/8/7 5.75%
1998/9/15 5.41%
1998/10/21
4.95%
1998/11/26
5.13%
1999/1/6 5.06%
59 105
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
5
1998/8/10 5.72%
1998/9/16 5.41%
1998/10/22
4.96%
1998/11/27
5.15%
1999/1/7 5.06%
6
1998/8/11 5.72%
1998/9/17 5.41%
1998/10/23
4.97%
1998/11/30
5.15%
1999/1/8 5.06%
7
1998/8/12 5.72%
1998/9/18 5.41%
1998/10/26
4.97%
1998/12/1 5.15%
1999/1/11 5.08%
8
1998/8/13 5.72%
1998/9/21 5.41%
1998/10/27
4.99%
1998/12/2 5.13%
1999/1/12 5.09%
9
1998/8/14 5.72%
1998/9/22 5.41%
1998/10/28
4.97%
1998/12/3 5.10%
1999/1/13 5.03%
10
1998/8/17 5.72%
1998/9/23 5.41%
1998/10/29
4.97%
1998/12/4 5.08%
1999/1/14 5.01%
11
1998/8/18 5.72%
1998/9/24 5.34%
1998/10/30
4.98%
1998/12/7 5.10%
1999/1/15 4.97%
12
1998/8/19 5.72%
1998/9/25 5.25%
1998/11/2 5.06%
1998/12/8 5.12%
1999/1/18 4.99%
13
1998/8/20 5.72%
1998/9/28 5.25%
1998/11/3 5.11%
1998/12/9 5.09%
1999/1/19 4.97%
14
1998/8/21 5.72%
1998/9/29 5.25%
1998/11/4 5.13%
1998/12/10
5.07%
1999/1/20 5.00%
15
1998/8/24 5.69%
1998/9/30 5.25%
1998/11/5 5.19%
1998/12/11
5.04%
1999/1/21 5.00%
16
1998/8/25 5.69%
1998/10/1 5.21%
1998/11/6 5.19%
1998/12/14
5.06%
1999/1/22 4.97%
17
1998/8/26 5.69%
1998/10/2 5.13%
1998/11/9 5.23%
1998/12/15
5.06%
1999/1/25 4.97%
18
1998/8/27 5.69%
1998/10/5 5.13%
1998/11/10
5.19%
1998/12/16
5.06%
1999/1/26 4.97%
19
1998/8/28 5.59%
1998/10/6 5.14%
1998/11/11
5.19%
1998/12/17
5.06%
1999/1/27 4.97%
20
1998/9/1 5.56%
1998/10/7 5.19%
1998/11/12
5.20%
1998/12/18
5.06%
1999/1/28 4.97%
21
1998/9/2 5.56%
1998/10/8 5.16%
1998/11/13
5.19%
1998/12/21
5.06%
1999/1/29 4.97%
22
1998/9/3 5.56%
1998/10/9 5.15%
1998/11/16
5.21%
1998/12/22
5.11%
1999/2/1 4.98%
23
1998/9/4 5.56%
1998/10/12 5.16%
1998/11/17
5.19%
1998/12/23
5.12%
24
1998/9/7 5.54%
1998/10/13 5.16%
1998/11/18
5.06%
1998/12/24
5.16%
25
1998/9/8 5.53%
1998/10/14 5.16%
1998/11/19
5.09%
1998/12/29
5.16%
26
1998/9/9 5.50%
1998/10/15 5.16%
1998/11/20
5.12%
1998/12/30
5.08%
G
3
= 3 6 Libor =126( )
g
3
= 3 6 Libor 0%~5.75%
= 126( )
(3). (1) (2) 3
R
1
+ R
2
16.97% 30%
( )
××+= 16.97%-10%,30%0%150%3%
3
,,
G
g
PortfolioMaxMinR
3
3
3
( )
××+= %,10%,13.03,0%
126
126
39.25%150%3%
MaxMin
=
[
]
{
}
10%,13.03%61.88%,0% ,MaxMin
=10%
=10000 × 10% = 1000
4 1999/2/8~1999/8/9 h = 4
(1). 5
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
4 1999/8/9 5 1999/8/2
82.00 42.10 63.77 65.00 49.63
4 Portfolio
4
=
+
−
−+
−× -20%,50% 1,
46.76
63.77
-20%,50% 1,
31.04
42.10
-20%,50% 1,
42.93
82.00
5
1
MinMaxMinMaxMinMax
−+−+ -20%,50% 1,
23.00
49.63
-20%,50% 1,
36.59
65.00
MinMaxMinMax
=
[ ]
50.00%50.00%36.38%35.63%50.00%
5
1
++++×
=44.40%
(2). 4 1999/2/2~1999/8/2 6 Libor
60 105
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1999/2/2 5.00%
1999/3/10 5.06%
1999/4/19 5.06%
1999/5/26 5.18%
1999/7/2 5.59%
2
1999/2/3 5.00%
1999/3/11 5.06%
1999/4/20 5.05%
1999/5/27 5.19%
1999/7/5 5.59%
3
1999/2/4 5.00%
1999/3/12 5.06%
1999/4/21 5.05%
1999/5/28 5.25%
1999/7/6 5.59%
4
1999/2/5 5.03%
1999/3/15 5.06%
1999/4/22 5.05%
1999/6/1 5.25%
1999/7/7 5.60%
5
1999/2/8 5.04%
1999/3/16 5.06%
1999/4/23 5.06%
1999/6/2 5.29%
1999/7/8 5.60%
6
1999/2/9 5.04%
1999/3/17 5.06%
1999/4/26 5.06%
1999/6/3 5.28%
1999/7/9 5.60%
7
1999/2/10 5.03%
1999/3/18 5.06%
1999/4/27 5.06%
1999/6/4 5.29%
1999/7/12 5.60%
8
1999/2/11 5.03%
1999/3/19 5.06%
1999/4/28 5.06%
1999/6/7 5.29%
1999/7/13 5.60%
9
1999/2/12 5.04%
1999/3/22 5.06%
1999/4/29 5.06%
1999/6/8 5.29%
1999/7/14 5.60%
10
1999/2/15 5.08%
1999/3/23 5.06%
1999/4/30 5.04%
1999/6/9 5.30%
1999/7/15 5.60%
11
1999/2/16 5.06%
1999/3/24 5.06%
1999/5/4 5.07%
1999/6/10 5.33%
1999/7/16 5.60%
12
1999/2/17 5.06%
1999/3/25 5.06%
1999/5/5 5.07%
1999/6/11 5.35%
1999/7/19 5.60%
13
1999/2/18 5.06%
1999/3/26 5.06%
1999/5/6 5.07%
1999/6/14 5.37%
1999/7/20 5.60%
14
1999/2/19 5.06%
1999/3/29 5.05%
1999/5/7 5.09%
1999/6/15 5.37%
1999/7/21 5.58%
15
1999/2/22 5.06%
1999/3/30 5.06%
1999/5/10 5.08%
1999/6/16 5.38%
1999/7/22 5.58%
16
1999/2/23 5.06%
1999/3/31 5.06%
1999/5/11 5.08%
1999/6/17 5.36%
1999/7/23 5.63%
17
1999/2/24 5.09%
1999/4/1 5.06%
1999/5/12 5.08%
1999/6/18 5.34%
1999/7/26 5.64%
18
1999/2/25 5.12%
1999/4/6 5.06%
1999/5/13 5.08%
1999/6/21 5.35%
1999/7/27 5.64%
19
1999/2/26 5.13%
1999/4/7 5.06%
1999/5/14 5.07%
1999/6/22 5.37%
1999/7/28 5.64%
20
1999/3/1 5.12%
1999/4/8 5.06%
1999/5/17 5.13%
1999/6/23 5.40%
1999/7/29 5.65%
21
1999/3/2 5.15%
1999/4/9 5.04%
1999/5/18 5.14%
1999/6/24 5.43%
1999/7/30 5.71%
22
1999/3/3 5.13%
1999/4/12 5.03%
1999/5/19 5.18%
1999/6/25 5.45%
1999/8/2 5.74%
23
1999/3/4 5.13%
1999/4/13 5.04%
1999/5/20 5.18%
1999/6/28 5.46%
24
1999/3/5 5.13%
1999/4/14 5.04%
1999/5/21 5.18%
1999/6/29 5.62%
25
1999/3/8 5.09%
1999/4/15 5.04%
1999/5/24 5.18%
1999/6/30 5.65%
26
1999/3/9 5.09%
1999/4/16 5.04%
1999/5/25 5.18%
1999/7/1 5.58%
G
4
= 4 6 Libor = 126( )
g
4
= 4 6 Libor 0%~5.75%
= 126( )
(3). (1) (2) 4
R
1
+ R
2
+ R
3
26.97% 30%
( )
××+= 26.97%-10%,30%0%150%3%
4
,,
G
g
PortfolioMaxMinR
4
4
4
××+= ,10%,3.03%,0%
126
126
44.40%)150%(3%
MaxMin
=
[
]
{
}
10%,3.03%69.6%,0%
,MaxMin
=3.03%
=10000 × 3.03% =303
(4). 4 =
%
i
i
R
30
4
1
=
∑
=
30% 4 303
2% =10,000 ×2% 200
5 h = 5,6,…,12
4 =
%
i
i
R
30
4
1
=
∑
=
30%
5 6 Libor R
5+i
= F = 2 6
Libor i = 0,1,…,7
5 12 2 6 Libor
61 105
h 2
2 6
Libor
5 1999/8/5 5.77%
6 2000/2/4 6.31%
7 2000/8/4 6.87%
8 2001/2/6 5.27%
9 2001/8/6 3.66%
10 2002/2/6 2.02%
11 2002/8/6 1.73%
12 2003/2/6 1.35%
R
5
= 5 2 6 Libor = 5.77% 5
= 10,000 × 5.77%÷2 = 289
R
6
= 6 2 6 Libor = 6.31% 6
= 10,000 × 6.31%÷2 = 316
R
7
= 7 2 6 Libor = 6.87% 7
= 10,000 × 6.87%÷2 = 344
R
8
= 8 2 6 Libor = 5.27% 8
= 10,000 × 5.27%÷2 = 264
R
9
= 9 2 6 Libor = 3.66% 9
= 10,000 × 3.66%÷2 = 183
R
10
= 10 2 6 Libor = 2.02% 10
= 10,000 × 2.02%÷2 = 101
R
11
= 11 2 6 Libor = 1.73% 11
= 10,000 × 1.73%÷2 = 87
R
12
= 12 2 6 Libor = 1.35% 12
= 10,000 × 1.35%÷2 = 68
= = 10,000
4
62 105
h × h
h R
h
1.h=1,…,K K R
h
=C
h
2.h= K+1,K+2,……,T K+1
(1)
etargt
h
i
i
RR <
∑
−
=
1
1
R
target
( )
×+=
∑
−
=
−
1
1
arg
,,
h
i
ietthhhhh
RRPortfolioFEDMaxMinR
(2)
etargt
h
i
i
RR ≥
∑
−
=
1
1
R
target
R
h+i
= F i=0,1,2,…,T-h ( )
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1
2 3 6 12
h
t
mi
6
t
mi
= 6 M
i
= 2 2003/7/3
2003/7/3 2004/1/3 2004/1/3 2004/7/3
2004/7/3 2005/1/3
C
h
,D
h
,E
h
,F
h
R
target
K
F
h Portfolio
h
∑
=
×=
N
n
h
n
h
nh
AdjUnderlyingWPortfolio
1
−
>
>
=
−
0
0
0
1
0
n
n
h
n
h
n
n
h
n
h
n
Underlying
UnderlyingUnderlying
AdjUnderlying
UnderlyingUnderlyingXX
AdjUnderlying
N
h
n
W
n h
1
1
=
∑
=
N
n
h
n
W
63 105
0
n
Underlying
n
h
n
Underlying
n h dh
XX
0
dh
1.1997 7 31 6 H = 6 10,000
2. 6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12 ;
3. 10 N = 10 10
10/1...
1021
====
hhh
WWW
4.C
h
=5% D
h
=0% E
h
=4% F
h
=2% K=2 R
target
=21% XX 12% dh=5
5.F 2 6 Libor
6. 10 2 6 Libor
h
5
AIG
US
AXP
US
BAC
US
DOW
US
GE
US
GM
US
JNJ
US
JPM
US
KO
US
PG
US
0 1997/7/31
37.87
27.92
71.19
31.67
23.38
48.88
31.06
37.85
69.13
37.74
5
2
2
6
Libor
1
1998/2/2
1998/1/26
38.40
26.46
59.63
30.25
24.90
47.65
33.59
34.04
63.06
38.95
1998/1/29
5.66%
2
1998/7/31
1998/7/24
51.87
35.69
82.25
31.06
30.56
59.28
38.28
49.08
83.44
43.54
1998/7/29
5.75%
3
1999/2/1
1999/1/25
52.60
33.83
64.69
29.50
33.50
74.87
39.38
49.63
62.94
41.49
1999/1/28
4.97%
4
1999/8/2
1999/7/26
63.83
45.50
69.81
40.33
38.00
65.94
48.63
55.25
63.06
43.32
1999/7/29
5.64%
5
2000/1/31
2000/1/24
67.71
50.67
44.56
42.10
46.04
79.81
41.84
48.67
64.88
51.04
2000/1/27
6.22%
6
2000/7/31
2000/7/24
79.50
57.06
47.44
29.53
54.00
59.31
47.23
51.56
59.25
30.76
2000/7/27
6.89%
7
2001/1/31
2001/1/24
87.88
46.25
51.06
32.00
46.31
53.44
45.28
53.25
58.06
34.70
2001/1/29
5.45%
8
2001/7/31
2001/7/24
82.89
37.80
62.01
33.88
44.00
62.08
52.71
42.68
44.20
33.78
2001/7/27
3.72%
9
2002/1/31
2002/1/24
77.38
36.75
64.00
28.00
37.55
48.13
58.04
35.90
44.22
38.59
2002/1/29
1.88%
10
2002/7/31
2002/7/24
53.38
30.43
59.00
27.45
26.53
44.75
47.70
23.30
46.85
41.13
2002/7/29
1.91%
11
2003/1/31
2003/1/24
56.04
33.70
69.62
29.50
23.06
37.55
53.61
23.81
42.83
42.11
2003/1/29
1.37%
12
2003/7/31
2003/7/24
62.20
44.40
81.96
33.75
27.44
36.27
51.70
34.58
44.52
44.12
2003/7/29
1.12%
7.
h
AIG US
AXP US
BAC US
DOW US
GE US
GM US
JNJ US
JPM US
KO US
PG US
Portfolio
h
1
1998/1/26 12.00%
-5.22%
-16.24%
-4.47%
12.00%
-2.52%
12.00%
-10.07%
-8.77%
12.00%
0.07%
2
1998/7/24 12.00%
12.00%
12.00%
-1.91%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
10.61%
3
1999/1/25 12.00%
12.00%
12.00%
-6.84%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
10.12%
4
1999/7/26 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
5
2000/1/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
6
2000/7/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
7
2001/1/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
8
2001/7/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
9
2002/1/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
10
2002/7/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
11
2003/1/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
64 105
h
AIG US
AXP US
BAC US
DOW US
GE US
GM US
JNJ US
JPM US
KO US
PG US
Portfolio
h
12
2003/7/24 12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
12.00%
1 h = 1
AIG US 38.40 37.87 =12%
12%
AXP US 26.46 27.92 = (26.46/27.92)-1 -5.22%
…
PS US 38.95 37.74 =12%
12%
Portfolio
1
=
( )
0.07%12%(-8.77%)(-16.24%)(-5.22%)12%
10
1
=++…+++×
2 h = 2
AXP US 35.69 27.92 =12%
12%
BAC US 82.25 71.19 =12%
12%
…
KO US 83.44 69.13 =12%
12%
Portfolio
2
=
( )
10.61%12%12%(-1.91%)12%12%12%
10
1
=++…++++×
3 h = 3
DOW US 29.50 31.67 = (29.50/31.67)-1 -6.84%
Portfolio
3
=
( )
10.12%12%12%(-6.84%)12%12%12%
10
1
=++…++++×
4 h = 4, 5, …, 12
DOW US 40.33 31.67 =12%
12%
Portfolio
4
=
( )
12%12%12%12%12%12%12%
10
1
=++…++++×
1 2 h 1, 2
R
1
R
2
5%
10000 ×5% 500
3 h 3
R
1
R
2
5% 5% 10% 21% 3
R
3
Min [Max 0% 4% 2%×Portfolio
3
, 21% 10% ] Min [Max 0 4.20% , 11%]
Min [4.20% , 11%] 4.20%
10000 ×4.20% 420
4 h 4
R
1
R
2
R
3
14.20% 21% 4
R
4
Min [Max 0% 4% 2%×Portfolio
4
, 21% 14.20% ] Min [Max 0 4.24% , 6.80%]
Min [4.24% , 6.80%] 4.24%
10000 ×4.24% 424
5 h 5
R
1
R
2
R
3
R
4
18.44% 21% 5
65 105
R
5
Min [Max 0% 4% 2%×Portfolio
5
, 21% 18.44% ] Min [Max 0 4.24% , 2.56%]
Min [4.24% ,2.56%] 2.56%
10000 ×2.56% 256
6 h 6,7,…,12
5 =
%
i
i
R
21
5
1
=
∑
=
21% 6
6 Libor R
6+i
= F = 2 6 Libor i = 0,1,…,6
R
6
= 6 2 6 Libor = 6.89% 6
= 10,000 × 6.89%÷2 = 345
R
7
= 7 2 6 Libor = 5.45% 7
= 10,000 × 5.45%÷2 = 273
R
8
= 8 2 6 Libor = 3.72% 8
= 10,000 × 3.72%÷2 = 186
R
9
= 9 2 6 Libor = 1.88% 9
= 10,000 × 1.88%÷2 = 94
R
10
= 10 2 6 Libor = 1.91% 10
= 10,000 × 1.91%÷2 = 96
R
11
= 11 2 6 Libor = 1.37% 11
= 10,000 × 1.37%÷2 = 69
R
12
= 12 2 6 Libor = 1.12% 12
= 10,000 × 1.12%÷2 = 56
= = 10,000
66 105
h × h
h R
h
1. h=1 1
( )
××+=
11
1
1
1111
,, CapFloor
G
g
PortfolioPRAMaxMinR
2. h= 2,3,……,T 2
(1)
(
)
0121
,..., BPBPBPBPMax
h
<
−
( 1 h-1
)
( )
××+=
hh
h
h
hhhh
CapFloor
G
g
PortfolioPRAMaxMinR ,,
(2)
(
)
0121
,..., BPBPBPBPMax
h
≥
−
( 1 h-1
)
R
h+i
= F i=0,1,2,…,T-h ( )
3. K
R
K
AD
K
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2
3 6 12
h
t
mi
6
t
mi
=6,M
i
=2 2003/7/3
2003/7/3 2004/1/3 2004/1/3 2004/7/3 2004/7/3
2005/1/3
h
h=1 dh
h=2 dh
dh h=3
dh dh
dh
BP
h
h BP
0
A
h
,PR
h
,Floor
h
,Cap
h
g
h
h Barrier
h
Libor CMS
G
h
h
h
Barrier
h
AD
K
67 105
F
h Portfolio
h
∑
=
−
×=
N
n
hh
n
n
h
n
h
nh
UFUC
Underlying
UnderlyingUnderlying
MinMaxWPortfolio
1
0
0
,,
N
h
n
W
n h
1
1
=
∑
=
N
n
h
n
W
0
n
Underlying
n
h
n
Underlying
n h dh
h
UC
h dh
h
UF
h dh
1.1997 8 8 6 H 6 10,000
2. 6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12
3. 5 N = 5 5
5/1...
521
====
hhh
WWW
4.BP
0
=1.00 A
h
=3% PR
h
=150% Floor
h
=0% Cap
h
=10% dh=5 UC
h
=50% UF
h
= -20%
5.F 2 6 Libor
6.
1~3
4~5
6 7 8 9 10 11 12
AD
k
0%
2%
3%
4%
5%
6%
7%
8%
9%
7. Barrier
h
BP
h
h
Barrier
h
BP
h
1 0%~5.75% 0.93
2 0%~5.75% 0.95
3 0%~5.75% 0.98
4 0%~5.75% 1.01
5 0%~6.25% 0.99
6 0%~6.25% 1.01
7 0%~6.25% 1.00
8 0%~6.25% 0.99
9 0%~6.5% 1.00
10 0%~6.5% 1.01
11 0%~6.5% 1.00
12 0%~6.5% 1.00
1 1997/8/8~1998/2/9 h = 1
68 105
(1).
5
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
1 1998/2/9 5 1998/2/2
66.68 31.50 55.72 46.44 31.13
1 Portfolio
1
=
+
−
−+
−×
-20%50%1,
46.76
55.72
-20%50%1,
31.04
31.50
-20%50%1,
42.93
66.68
5
1
, , , MinMaxMinMaxMinMax
−+−+
-20%50%1,
23.00
31.13
-20%50%1,
36.59
46.44
, , MinMaxMinMax
=
[ ]
35.35%26.92%19.16%1.48%50.00%
5
1
++++×
= 26.58%
(2). 1 1997/8/8~1998/2/2 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1997/8/8 5.84%
1997/9/16 5.84%
1997/10/22 5.91%
1997/11/27
5.91%
1998/1/7 5.72%
2
1997/8/11 5.88%
1997/9/17 5.81%
1997/10/23 5.88%
1997/11/28
5.91%
1998/1/8 5.72%
3
1997/8/12 5.88%
1997/9/18 5.81%
1997/10/24 5.88%
1997/12/1 5.94%
1998/1/9 5.66%
4
1997/8/13 5.88%
1997/9/19 5.81%
1997/10/27 5.84%
1997/12/2 5.94%
1998/1/12 5.56%
5
1997/8/14 5.85%
1997/9/22 5.81%
1997/10/28 5.78%
1997/12/3 5.94%
1998/1/13 5.59%
6
1997/8/15 5.84%
1997/9/23 5.81%
1997/10/29 5.84%
1997/12/4 5.94%
1998/1/14 5.63%
7
1997/8/18 5.81%
1997/9/24 5.81%
1997/10/30 5.78%
1997/12/5 5.91%
1998/1/15 5.60%
8
1997/8/19 5.81%
1997/9/25 5.81%
1997/10/31 5.79%
1997/12/8 5.97%
1998/1/16 5.63%
9
1997/8/20 5.81%
1997/9/26 5.84%
1997/11/3 5.81%
1997/12/9 6.00%
1998/1/19 5.66%
10
1997/8/21 5.83%
1997/9/29 5.84%
1997/11/4 5.81%
1997/12/10
5.97%
1998/1/20 5.63%
11
1997/8/22 5.84%
1997/9/30 5.84%
1997/11/5 5.84%
1997/12/11
5.94%
1998/1/21 5.63%
12
1997/8/26 5.84%
1997/10/1 5.84%
1997/11/6 5.83%
1997/12/12
5.91%
1998/1/22 5.63%
13
1997/8/27 5.84%
1997/10/2 5.82%
1997/11/7 5.81%
1997/12/15
5.91%
1998/1/23 5.63%
14
1997/8/28 5.84%
1997/10/3 5.81%
1997/11/10 5.84%
1997/12/16
5.91%
1998/1/26 5.63%
15
1997/8/29 5.84%
1997/10/6 5.78%
1997/11/11 5.88%
1997/12/17
5.91%
1998/1/27 5.63%
16
1997/9/1 5.84%
1997/10/7 5.78%
1997/11/12 5.94%
1997/12/18
5.91%
1998/1/28 5.66%
17
1997/9/2 5.84%
1997/10/8 5.78%
1997/11/13 5.91%
1997/12/19
5.91%
1998/1/29 5.66%
18
1997/9/3 5.84%
1997/10/9 5.81%
1997/11/14 5.91%
1997/12/22
5.91%
1998/1/30 5.63%
19
1997/9/4 5.84%
1997/10/10 5.82%
1997/11/17 5.91%
1997/12/23
5.91%
1998/2/2 5.63%
20
1997/9/5 5.84%
1997/10/13 5.85%
1997/11/18 5.91%
1997/12/24
5.91%
21
1997/9/8 5.84%
1997/10/14 5.85%
1997/11/19 5.91%
1997/12/29
5.91%
22
1997/9/9 5.84%
1997/10/15 5.84%
1997/11/20 5.91%
1997/12/30
5.84%
23
1997/9/10 5.84%
1997/10/16 5.88%
1997/11/21 5.91%
1997/12/31
5.84%
24
1997/9/11 5.86%
1997/10/17 5.88%
1997/11/24 5.89%
1998/1/2 5.84%
25
1997/9/12 5.87%
1997/10/20 5.91%
1997/11/25 5.91%
1998/1/5 5.81%
26
1997/9/15 5.84%
1997/10/21 5.91%
1997/11/26 5.91%
1998/1/6 5.75%
G
1
= 1 6 Libor =123 ( )
g
1
= 1 6 Libor 0%~5.75%
= 20 ( )
(3). (1) (2) 1
( ) ( )
××+=××+=
,10%,0%
123
26.58%150%3%,10%,0%150%3%
20
MaxMin
G
g
PortfolioMaxMinR
1
1
1
1
=
[
]
{
}
,10%6.97%,0%MaxMin
=6.97%
=10000 × 6.97% =697
2 1998/2/9~1998/8/10 h = 2
(1). 5
69 105
T US
DOW
US
MRK
US
VZ US
BLS US
1997/8/8
42.93
31.04
46.76
36.59
23.00
2 1998/8/10 5 1998/8/3
63.16
30.23
57.50
46.63
34.72
2 Portfolio
2
=
+
−
−+
−×
-20%,50% 1,
46.76
57.50
-20%,50% 1,
31.04
30.23
-20%,50% 1,
42.93
63.16
5
1
MinMaxMinMaxMinMax
−+−+
-20%,50% 1,
23.00
34.72
-20%,50% 1,
36.59
46.63
MinMaxMinMax
=
( )
[ ]
50.00%27.44%22.97%2.61%47.12%
5
1
+++−+×
=28.98%
(2). 2 1998/2/3~1998/8/3 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1998/2/3 5.63%
1998/3/11 5.72%
1998/4/20 5.72%
1998/5/28 5.75%
1998/7/3 5.75%
2
1998/2/4 5.63%
1998/3/12 5.71%
1998/4/21 5.75%
1998/5/29 5.75%
1998/7/6 5.75%
3
1998/2/5 5.63%
1998/3/13 5.69%
1998/4/22 5.75%
1998/6/1 5.74%
1998/7/7 5.75%
4
1998/2/6 5.63%
1998/3/16 5.69%
1998/4/23 5.75%
1998/6/2 5.74%
1998/7/8 5.75%
5
1998/2/9 5.63%
1998/3/17 5.69%
1998/4/24 5.78%
1998/6/3 5.75%
1998/7/9 5.75%
6
1998/2/10 5.65%
1998/3/18 5.69%
1998/4/27 5.78%
1998/6/4 5.75%
1998/7/10 5.75%
7
1998/2/11 5.66%
1998/3/19 5.69%
1998/4/28 5.81%
1998/6/5 5.75%
1998/7/13 5.75%
8
1998/2/12 5.66%
1998/3/20 5.71%
1998/4/29 5.81%
1998/6/8 5.75%
1998/7/14 5.75%
9
1998/2/13 5.63%
1998/3/23 5.71%
1998/4/30 5.81%
1998/6/9 5.75%
1998/7/15 5.75%
10
1998/2/16 5.63%
1998/3/24 5.71%
1998/5/1 5.78%
1998/6/10 5.75%
1998/7/16 5.75%
11
1998/2/17 5.63%
1998/3/25 5.72%
1998/5/5 5.78%
1998/6/11 5.75%
1998/7/17 5.75%
12
1998/2/18 5.63%
1998/3/26 5.74%
1998/5/6 5.78%
1998/6/12 5.72%
1998/7/20 5.75%
13
1998/2/19 5.63%
1998/3/27 5.75%
1998/5/7 5.75%
1998/6/15 5.72%
1998/7/21 5.75%
14
1998/2/20 5.63%
1998/3/30 5.75%
1998/5/8 5.75%
1998/6/16 5.72%
1998/7/22 5.75%
15
1998/2/23 5.63%
1998/3/31 5.75%
1998/5/11 5.75%
1998/6/17 5.72%
1998/7/23 5.75%
16
1998/2/24 5.66%
1998/4/1 5.75%
1998/5/12 5.78%
1998/6/18 5.75%
1998/7/24 5.75%
17
1998/2/25 5.69%
1998/4/2 5.75%
1998/5/13 5.76%
1998/6/19 5.75%
1998/7/27 5.75%
18
1998/2/26 5.70%
1998/4/3 5.72%
1998/5/14 5.75%
1998/6/22 5.74%
1998/7/28 5.75%
19
1998/2/27 5.70%
1998/4/6 5.69%
1998/5/15 5.77%
1998/6/23 5.75%
1998/7/29 5.75%
20
1998/3/2 5.69%
1998/4/7 5.69%
1998/5/18 5.78%
1998/6/24 5.75%
1998/7/30 5.75%
21
1998/3/3 5.72%
1998/4/8 5.69%
1998/5/19 5.78%
1998/6/25 5.75%
1998/7/31 5.75%
22
1998/3/4 5.72%
1998/4/9 5.69%
1998/5/20 5.77%
1998/6/26 5.75%
1998/8/3 5.75%
23
1998/3/5 5.71%
1998/4/14 5.72%
1998/5/21 5.75%
1998/6/29 5.78%
24
1998/3/6 5.72%
1998/4/15 5.72%
1998/5/22 5.78%
1998/6/30 5.78%
25
1998/3/9 5.72%
1998/4/16 5.72%
1998/5/26 5.78%
1998/7/1 5.78%
26
1998/3/10 5.72%
1998/4/17 5.72%
1998/5/27 5.75%
1998/7/2 5.75%
G
2
= 2 6 Libor =126 ( )
g
2
= 2 6 Libor 0%~5.75% (
)
=107 ( )
(3). (1) (2) 2
1 BP
1
=0.93
BP
0
=1.00
( )
××+=
,10%,0%150%3%
2
2
22
G
g
PortfolioMaxMinR
( )
××+=
,10%,0%
126
107
28.98%150%3%
MaxMin
=
[
]
{
}
10% 39.46%,0% ,MaxMin
=10%
=10000 × 10% = 1000
3 1998/8/10~1999/2/8 h = 3
(1). 5
70 105
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
3 1999/2/8 5 1999/2/1
99.32 30.27 69.54 59.50 45.13
3 Portfolio
3
=
+
−
−+
−×
-20%,50% 1,
46.76
69.54
-20%,50% 1,
31.04
30.27
-20%,50% 1,
42.93
99.32
5
1
MinMaxMinMaxMinMax
−+−−+
-20%,50% 1,
23.00
45.13
20%,50% 1,
36.59
59.50
MinMaxMinMax
=
( )
[ ]
50.00%50.00%48.72%2.48%50.00%
5
1
+++−+×
=39.25%
(2). 3 1998/8/4~1999/2/1 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1998/8/4 5.75%
1998/9/10 5.50%
1998/10/16 4.94%
1998/11/23 5.12%
1998/12/31 5.07%
2
1998/8/5 5.75%
1998/9/11 5.41%
1998/10/19 4.94%
1998/11/24 5.13%
1999/1/4 5.06%
3
1998/8/6 5.75%
1998/9/14 5.41%
1998/10/20 4.94%
1998/11/25 5.13%
1999/1/5 5.06%
4
1998/8/7 5.75%
1998/9/15 5.41%
1998/10/21 4.95%
1998/11/26 5.13%
1999/1/6 5.06%
5
1998/8/10 5.72%
1998/9/16 5.41%
1998/10/22 4.96%
1998/11/27 5.15%
1999/1/7 5.06%
6
1998/8/11 5.72%
1998/9/17 5.41%
1998/10/23 4.97%
1998/11/30 5.15%
1999/1/8 5.06%
7
1998/8/12 5.72%
1998/9/18 5.41%
1998/10/26 4.97%
1998/12/1 5.15%
1999/1/11 5.08%
8
1998/8/13 5.72%
1998/9/21 5.41%
1998/10/27 4.99%
1998/12/2 5.13%
1999/1/12 5.09%
9
1998/8/14 5.72%
1998/9/22 5.41%
1998/10/28 4.97%
1998/12/3 5.10%
1999/1/13 5.03%
10
1998/8/17 5.72%
1998/9/23 5.41%
1998/10/29 4.97%
1998/12/4 5.08%
1999/1/14 5.01%
11
1998/8/18 5.72%
1998/9/24 5.34%
1998/10/30 4.98%
1998/12/7 5.10%
1999/1/15 4.97%
12
1998/8/19 5.72%
1998/9/25 5.25%
1998/11/2 5.06%
1998/12/8 5.12%
1999/1/18 4.99%
13
1998/8/20 5.72%
1998/9/28 5.25%
1998/11/3 5.11%
1998/12/9 5.09%
1999/1/19 4.97%
14
1998/8/21 5.72%
1998/9/29 5.25%
1998/11/4 5.13%
1998/12/10 5.07%
1999/1/20 5.00%
15
1998/8/24 5.69%
1998/9/30 5.25%
1998/11/5 5.19%
1998/12/11 5.04%
1999/1/21 5.00%
16
1998/8/25 5.69%
1998/10/1 5.21%
1998/11/6 5.19%
1998/12/14 5.06%
1999/1/22 4.97%
17
1998/8/26 5.69%
1998/10/2 5.13%
1998/11/9 5.23%
1998/12/15 5.06%
1999/1/25 4.97%
18
1998/8/27 5.69%
1998/10/5 5.13%
1998/11/10 5.19%
1998/12/16 5.06%
1999/1/26 4.97%
19
1998/8/28 5.59%
1998/10/6 5.14%
1998/11/11 5.19%
1998/12/17 5.06%
1999/1/27 4.97%
20
1998/9/1 5.56%
1998/10/7 5.19%
1998/11/12 5.20%
1998/12/18 5.06%
1999/1/28 4.97%
21
1998/9/2 5.56%
1998/10/8 5.16%
1998/11/13 5.19%
1998/12/21 5.06%
1999/1/29 4.97%
22
1998/9/3 5.56%
1998/10/9 5.15%
1998/11/16 5.21%
1998/12/22 5.11%
1999/2/1 4.98%
23
1998/9/4 5.56%
1998/10/12 5.16%
1998/11/17 5.19%
1998/12/23 5.12%
24
1998/9/7 5.54%
1998/10/13 5.16%
1998/11/18 5.06%
1998/12/24 5.16%
25
1998/9/8 5.53%
1998/10/14 5.16%
1998/11/19 5.09%
1998/12/29 5.16%
26
1998/9/9 5.50%
1998/10/15 5.16%
1998/11/20 5.12%
1998/12/30 5.08%
G
3
= 3 6 Libor =126 ( )
g
3
= 3 6 Libor 0%~5.75% (
)
=126 ( )
(3). (1) (2) 3
1 2 BP
1
=0.93 BP
2
=0.95
BP
0
=1.00
( )
××+= %,%,
G
g
Portfolio%%MaxMinR
1001503
3
3
3
3
( )
××+=
,10%,0%
126
126
39.25%150%3%
MaxMin
=
[
]
{
}
10% 61.88%,0% ,MaxMin
=10%
=10000 × 10% = 1000
4 1999/2/8~1999/8/9 h = 4
(1).
5
71 105
T US DOW US
MRK US
VZ US
BLS US
1997/8/8
42.93 31.04 46.76 36.59 23.00
4 1999/8/9 5 1999/8/2
82.00 42.10 63.77 65.00 49.63
4 Portfolio
4
=
+
−
−+
−×
-20%,50% 1,
46.76
63.77
-20%,50% 1,
31.04
42.10
-20%,50% 1,
42.93
82.00
5
1
MinMaxMinMaxMinMax
−+−+ -20%,50% 1,
23.00
49.63
-20%,50% 1,
36.59
65.00
MinMaxMinMax
=
[ ]
50.00%50.00%36.38%35.63%50.00%
5
1
++++×
=44.40%
(2). 4 1999/2/2~1999/8/2 6 Libor
1 2 3 4 5
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
Libor
1
1999/2/2 5.00%
1999/3/10 5.06%
1999/4/19 5.06%
1999/5/26 5.18%
1999/7/2 5.59%
2
1999/2/3 5.00%
1999/3/11 5.06%
1999/4/20 5.05%
1999/5/27 5.19%
1999/7/5 5.59%
3
1999/2/4 5.00%
1999/3/12 5.06%
1999/4/21 5.05%
1999/5/28 5.25%
1999/7/6 5.59%
4
1999/2/5 5.03%
1999/3/15 5.06%
1999/4/22 5.05%
1999/6/1 5.25%
1999/7/7 5.60%
5
1999/2/8 5.04%
1999/3/16 5.06%
1999/4/23 5.06%
1999/6/2 5.29%
1999/7/8 5.60%
6
1999/2/9 5.04%
1999/3/17 5.06%
1999/4/26 5.06%
1999/6/3 5.28%
1999/7/9 5.60%
7
1999/2/10 5.03%
1999/3/18 5.06%
1999/4/27 5.06%
1999/6/4 5.29%
1999/7/12 5.60%
8
1999/2/11 5.03%
1999/3/19 5.06%
1999/4/28 5.06%
1999/6/7 5.29%
1999/7/13 5.60%
9
1999/2/12 5.04%
1999/3/22 5.06%
1999/4/29 5.06%
1999/6/8 5.29%
1999/7/14 5.60%
10
1999/2/15 5.08%
1999/3/23 5.06%
1999/4/30 5.04%
1999/6/9 5.30%
1999/7/15 5.60%
11
1999/2/16 5.06%
1999/3/24 5.06%
1999/5/4 5.07%
1999/6/10 5.33%
1999/7/16 5.60%
12
1999/2/17 5.06%
1999/3/25 5.06%
1999/5/5 5.07%
1999/6/11 5.35%
1999/7/19 5.60%
13
1999/2/18 5.06%
1999/3/26 5.06%
1999/5/6 5.07%
1999/6/14 5.37%
1999/7/20 5.60%
14
1999/2/19 5.06%
1999/3/29 5.05%
1999/5/7 5.09%
1999/6/15 5.37%
1999/7/21 5.58%
15
1999/2/22 5.06%
1999/3/30 5.06%
1999/5/10 5.08%
1999/6/16 5.38%
1999/7/22 5.58%
16
1999/2/23 5.06%
1999/3/31 5.06%
1999/5/11 5.08%
1999/6/17 5.36%
1999/7/23 5.63%
17
1999/2/24 5.09%
1999/4/1 5.06%
1999/5/12 5.08%
1999/6/18 5.34%
1999/7/26 5.64%
18
1999/2/25 5.12%
1999/4/6 5.06%
1999/5/13 5.08%
1999/6/21 5.35%
1999/7/27 5.64%
19
1999/2/26 5.13%
1999/4/7 5.06%
1999/5/14 5.07%
1999/6/22 5.37%
1999/7/28 5.64%
20
1999/3/1 5.12%
1999/4/8 5.06%
1999/5/17 5.13%
1999/6/23 5.40%
1999/7/29 5.65%
21
1999/3/2 5.15%
1999/4/9 5.04%
1999/5/18 5.14%
1999/6/24 5.43%
1999/7/30 5.71%
22
1999/3/3 5.13%
1999/4/12 5.03%
1999/5/19 5.18%
1999/6/25 5.45%
1999/8/2 5.74%
23
1999/3/4 5.13%
1999/4/13 5.04%
1999/5/20 5.18%
1999/6/28 5.46%
24
1999/3/5 5.13%
1999/4/14 5.04%
1999/5/21 5.18%
1999/6/29 5.62%
25
1999/3/8 5.09%
1999/4/15 5.04%
1999/5/24 5.18%
1999/6/30 5.65%
26
1999/3/9 5.09%
1999/4/16 5.04%
1999/5/25 5.18%
1999/7/1 5.58%
G
4
= 4 6 Libor =126 ( )
g
4
= 4 6 Libor 0%~5.75% (
)
=126 ( )
(3). (1) (2) 4
1 2 3 BP
1
=0.93 BP
2
=0.95 BP
3
=0.98
BP
0
=1.00
( )
××+= %,%,
G
g
Portfolio%%MaxMinR
1001503
4
4
4
4
××+=
,10%,0%
126
126
44.40%)150%(3%MaxMin
=
[
]
{
}
10% 69.6%,0% ,MaxMin
=10%
=10000 ×10% =1000
4 1
K=4 4 1000 2%
=10,000 ×2% 200
72 105
5 h = 5,6,…,12
4 BP
4
=1.01
BP
0
=1.00 5 6 Libor R
5+i
= F =
2 6 Libor i = 0,1,…,7
5 12 2 6 Libor
h 2
2 6
Libor
5 1999/8/5 5.77%
6 2000/2/4 6.31%
7 2000/8/4 6.87%
8 2001/2/6 5.27%
9 2001/8/6 3.66%
10 2002/2/6 2.02%
11 2002/8/6 1.73%
12 2003/2/6 1.35%
R
5
= 5 2 6 Libor = 5.77% 5
= 10,000 × 5.77%÷2 = 289
R
6
= 6 2 6 Libor = 6.31% 6
= 10,000 × 6.31%÷2 = 316
R
7
= 7 2 6 Libor = 6.87% 7
= 10,000 × 6.87%÷2 = 344
R
8
= 8 2 6 Libor = 5.27% 8
= 10,000 × 5.27%÷2 = 264
R
9
= 9 2 6 Libor = 3.66% 9
= 10,000 × 3.66%÷2 = 183
R
10
= 10 2 6 Libor = 2.02% 10
= 10,000 × 2.02%÷2 = 101
R
11
= 11 2 6 Libor = 1.73% 11
= 10,000 × 1.73%÷2 = 87
R
12
= 12 2 6 Libor = 1.35% 12
= 10,000 × 1.35%÷2 = 68
= = 10,000
73 105
= × [ 1 + Max ( ×
) ]
=
∑
=
T
h
h
W
1
× Portfolio
h
h Portfolio
h
1.h = 1 1 N 1 1
2.h = 2,3,…,T 2 N h-1 N –
h+1 h h
n =
−
0
0
n
n
h
n
Underlying
UnderlyingUnderlying
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1
2 3 6 12
h
t
mi
12 t
mi
= 12 M
i
= 1 2004/12/11
1 2004/12/11 2005/12/11 2 2005/12/11
2006/12/11 3 2006/12/11 2007/12/11
Portfolio
h
h
N
W
h
h
∑
=
T
1h
h
W
= 1
0
n
Underlying
n
h
n
Underlying
n h dh
dh
1.1997 3 31 6 H = 6 10,000
2.
6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12
74 105
3.
15 N = 15 W
1
= W
2
= … =W
12
= 1 / 12
4. 65% 23% dh=0
5.
h
MO
US
T
US
BLS
US
BMY
US
7751
JP
DOW
US
EOA
GR
7267
JP
LLOY
LN
MRK
US
NESN
VX
PRU
LN
RDEN
US
SGP
US
7203
JP
0 1997/03/31
38.04
37.02
21.06
28.08
2650
26.63
48.27
3690
499.50
39.87
168.50
567.00
38.64
26.25
3130
1 1997/09/30
41.56
46.97
23.13
39.38
3530
30.23
52.00
4210
834.50
47.29
202.60
690.50
50.55
30.72
3700
2 1998/03/31
41.69
69.80
33.72
49.64
3010
32.42
65.96
4800
929.00
60.66
291.30
878.00
53.55
43.37
3550
3 1998/09/30
46.25
62.03
37.63
49.43
2770
28.48
44.36
4150
659.00
61.31
275.40
860.00
42.43
44.38
3050
4 1999/03/31
35.19
84.72
40.06
61.03
2930
31.06
48.65
5350
937.00
75.83
268.90
807.50
49.25
47.19
3430
5 1999/09/30
34.19
69.26
45.00
64.24
3100
37.88
51.40
4460
755.00
61.34
282.00
933.00
54.50
51.06
3390
6 2000/03/31
20.75
89.67
46.88
54.37
4450
38.00
53.36
4240
662.00
58.80
298.00
946.50
61.01
42.13
5370
7 2000/10/02
29.44
46.18
40.50
54.73
4790
24.94
58.40
3980
631.00
70.45
360.00
923.00
68.49
49.88
4270
8 2001/04/02
47.45
33.92
40.92
56.54
4550
31.57
54.10
5120
691.50
71.84
361.70
752.50
62.99
44.63
4350
9 2001/10/01
48.29
39.57
41.55
55.56
3270
32.76
56.89
3870
650.00
63.03
345.00
700.00
55.22
47.12
3060
10
2002/04/01
52.67
32.19
36.86
40.49
4720
32.72
58.35
5380
721.00
54.50
374.00
708.00
62.75
37.44
3650
11
2002/09/30
38.80
24.62
18.36
23.80
3980
27.31
47.80
4930
469.50
43.26
322.00
339.50
40.85
20.10
3130
12
2003/03/31
29.96
16.20
21.67
21.13
4140
27.61
37.78
3950
322.00
51.85
267.50
308.50
37.31
20.06
2635
h
MO
US
T
US
BLS
US
BMY
US
7751
JP
DOW
US
EOA
GR
7267
JP
LLOY
LN
MRK
US
NESN
VX
PRU
LN
RDEN
US
SGP
US
7203
JP
Portfolio
h
1 9.25%
26.88%
9.83%
40.24%
33.21%
13.52%
7.73%
14.09%
67.07%
18.61%
20.24%
21.78%
30.82%
17.03%
18.21%
67.07%
2 9.60%
88.55%
60.11%
76.78%
13.58%
21.74%
36.65%
30.08%
52.14%
72.88%
54.85%
38.59%
65.22%
13.42%
88.55%
3 21.58%
78.68%
76.03%
4.53%
6.95%
-8.10%
12.47%
53.77%
63.44%
51.68%
9.81%
69.07%
-2.56%
78.68%
4 -7.49%
117.34%
10.57%
16.64%
0.79%
44.99%
90.19%
59.58%
42.42%
27.46%
79.77%
9.58%
117.34%
5 -10.12%
16.98%
42.25%
6.48%
20.87%
53.85%
67.36%
64.55%
41.05%
94.51%
8.31%
94.51%
6 -45.45%
67.92%
42.70%
10.54%
14.91%
47.48%
76.85%
66.93%
57.89%
71.57%
76.85%
7 -22.61%
80.75%
-6.35%
20.99%
7.86%
76.70%
62.79%
77.25%
36.42%
80.75%
8 24.74%
18.55%
12.08%
38.75%
80.19%
32.72%
63.02%
38.98%
80.19%
9 26.95%
23.02%
17.86%
4.88%
23.46%
42.91%
-2.24%
42.91%
10
38.46%
22.87%
20.88%
45.80%
24.87%
16.61%
45.80%
11
2.00%
2.55%
-0.97%
-40.12%
0.00%
2.55%
12
-21.24%
-21.73%
-45.59%
-15.81%
-15.81%
●
0.5 h = 1
MO US = 41.56 / 38.04 –1 = 9.25% T US = 46.97 / 37.02 –1 = 26.88% …
SBC US = 30.72 / 26.25 –1 = 17.03% 7203 JP = 3700 / 3130 –1 = 18.21%
Portfolio
1
= 15 = Max ( 9.25% 26.87% … 17.03% 18.21% ) = 67.07%
●
1 h = 2
MO US = 41.69 / 38.04 –1 = 9.60% T US = 69.80 / 37.02 –1 = 88.55% …
SBC US = 43.37 / 26.25 –1 = 65.22% 7203 JP = 3550 / 3130 –1 = 13.42%
Portfolio
2
= 14 = Max ( 9.60% 88.55% … 65.22% 13.42% ) = 88.55%
●
1.5 h = 3
MO US = 46.25 / 38.04 –1 = 21.58% BLS US = 37.63 / 21.06 –1 = 78.68% …
SBC US = 44.38 / 26.25 –1 = 69.07% 7203 JP = 3050 / 3130 –1 = - 2.56%
Portfolio
3
= 13 = Max ( 21.58% 78.68% … 69.07% - 2.56% ) = 78.68%
…
●
5.5 h = 11
MO US = 38.80 / 38.04 –1 = 2.00% DOW US = 27.31 / 26.63 –1 = 2.55%
EOA GR = 47.80 / 48.27 –1 = - 0.97% PRU LN = 339.50 / 567.00 –1 = - 40.12%
7203 JP = 3130 / 3130 –1 = 0.00%
Portfolio
11
= 5 = Max ( 2.00% 2.55% - 0.97% - 40.12% 0.00% ) = 2.55%
●
6 h = 12
MO US
= 29.96 / 38.04 –1 = - 21.24% EOA GR = 37.78 / 48.27 –1 = - 21.73%
PRU LN = 308.50 / 567.00 –1 = - 45.59% 7203 JP = 2635 / 3130 –1 = - 15.81%
Portfolio
12
= 4 = Max ( - 21.24% - 21.73% - 45.59% - 15.81% ) = - 15.81%
75 105
=
∑
=
12
1h
h
W
× Portfolio
h
= [ 67.07% + 88.55% + 78.68% + … + 2.55% + ( - 15.81% ) ] / 12
= 63.28%
= × [ 1 + Max ( ×
) ]
= 10,000 × [ 1 + Max ( 63.28% × 65% 23% ) ]
= 10,000 × [ 1 + Max ( 41.13% 23% ) ] = 14,113
76 105
= × ( 1 +
∑
=
T
h
h
CP
1
)
CP
h
= Max ( EC
h
, X
h
)
=
=
=
−
ThCP
hA
X
h
h
~2,
1,
1
EC
h
= ( × ) h = 1~T
= Min [ Return( Index
1,h
) , Return( Index
2,h
) ,…, Return( Index
N,h
) ]
Min [ Return( Index
1,1
) , Return( Index
2,1
) ,…, Return( Index
N,1
) ] h=1 1
Min [ Return( Index
1,2
) , Return( Index
2,2
) ,…, Return( Index
N,2
) ] h=2 2
…
Min [ Return( Index
1,T
) , Return( Index
2,T
) ,…, Return( Index
N,T
) ] h=T T
Return( Index
i,h
) i h
Return( Index
i,h
) =
1,
,
−
hi
hi
Index
Index
-1 i =1,2,…,N h = 1,2,…,T
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1
2 3 6 12
h
t
mi
12 t
mi
= 12 M
i
= 1 2004/12/11
1 2004/12/11 2005/12/11 2 2005/12/11
2006/12/11 3 2006/12/11 2007/12/11
A
N
1.1997 12 30 6 H = 6 10,000
2. S&P500 N = 2
3. t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
4.A = 3% = 20%
5.
77 105
h
S&P500
0 1997/12/30 970.84
13722.70
1 1998/12/30 1231.93 13739.07
2 1999/12/30 1464.47 11581.58
3 2001/01/02 1283.27 9510.62
4 2001/12/31 1148.08 12116.87
5 2002/12/30 879.39 13714.78
6 2003/12/30 1109.64
13722.70
h
Return( Index
1,h
)
Return( Index
2,h
)
EC
h
X
h
CP
h
1 26.89% 0.12% 0.12% 0.024% 3.00% 3.00%
2 18.88% -15.70% 15.70% 3.140% 3.00% 3.14%
3 -12.37% -17.88% 12.37% 2.474% 3.14% 3.14%
4 -10.53% 27.40% 10.53% 2.106% 3.14% 3.14%
5 -23.40% 13.19% 13.19% 2.638% 3.14% 3.14%
6 26.18% 0.06% 0.06% 0.012% 3.14% 3.14%
●
1 h = 1
=Min[ Return( Index
1,1
) , Return( Index
2,1
)
=Min[ 1231.93 / 970.84 - 1 , 13739.07 / 13722.70 - 1 ]
=Min[ 26.89% , 0.12% ]= 0.12%
CP
1
= Max ( EC
1
, X
1
)
= Max ( × , A )
= Max ( 20% × 0.12% ,3.00% )
= Max ( 0.024% ,3.00% )
= 3.00%
●
2 h = 2
=Min[ Return( Index
1,2
) , Return( Index
2,2
)
=Min[ 1464.47 / 1231.93 - 1 , 11581.58 / 13739.07 - 1 ]
=Min[ 18.88% , -15.70% ]= 15.70%
CP
2
= Max ( EC
2
, X
2
)
= Max ( × , CP
1
)
= Max ( 20% × 15.70% , 3.00% )
= Max ( 3.140% ,3.00% )
= 3.14%
…
●
6 h = 6
=Min[ Return( Index
1,6
) , Return( Index
2,6
)
=Min[ 1109.64 / 879.37 - 1 , 13722.70 / 13714.78 - 1 ]
=Min[ 26.18% , 0.06% ]= 0.06%
CP
6
= Max ( EC
6
, X
6
)
= Max ( × , CP
5
)
= Max ( 20% × 0.06% , 3.14% )
= Max ( 0.012% ,3.14% )
= 3.14%
= × ( 1 +
∑
=
T
h
h
CP
1
)
= 10,000 × [ 1 + 3.00% + 3.14% + 3.14% + 3.14% + 3.14% + 3.14% ]
= 11,870
78 105
h × h
h R
h
1.h=1 1
( )
××+=
11
1
1
1111
,,
][
CapFloor
G
g
PortfolioPRAMaxMinR
2.h=2,3,……,T 2
(1)
etargt
h
i
i
RR <
∑
−
=
1
1
R
target
( )
××+=
∑
−
=
−
1
1
arg
,,,
h
i
ietthh
h
h
hhhh
RRCapFloor
G
g
PortfolioPRAMaxMinR
(2)
ett
h
i
i
RR
arg
1
1
≥
∑
−
=
R
target
R
h+i
= F
i=0,1,2,…,
T-h
( )
3.
K R
target
R
K
AD
K
4.
R
T
ED
T
T
T
=
∑
=
H
i
i
M
1
H
M
i
i
M
i
= 12 /
t
mi
t
mi
i 1 2
3 6 12
Portfolio
h
h Portfolio
h
=[X]CMS
h
[Y]CMS
h
[
X
]
CMS
h
h dh
(
h
)
X
[
Y
]
CMS
h
h dh
(
h
)
Y
dh
h
t
mi
6
t
mi
= 6
M
i
= 2 2003/7/3
2003/7/3 2004/1/3 2004/1/3 2004/7/3
2004/7/3 2005/1/3
h
h
=1
dh
h
=2
dh
dh h
=3
dh
dh
R
target
79 105
g
h
h
d
h
Spread
Barrier
h
G
h
h
d
h
Spread
=
d
h
d
h
CMSYCMSX ][][ −
Barrier
h
h
d
h
CMSX ][
h d
X
d
h
CMSY ][
h d
Y
Y<X X Y
A
h
,B
h
,PR
h
,Floor
h
,Cap
h
AD
K
ED
T
F
1.1997 8 1 7
H
7 10,000
2. 12
t
mi
=12
M
i
=12/
t
mi
=12/12=1
T
=
∑
=
H
i
i
M
1
=
∑
=
7
1
1
i
= 7
3. (Constant Maturity Swap, CMS)
4.
A
h
=7%
PR
h
=100%
Floor
h
=1%
Cap
h
=10%
R
target
=20%
dh
=5
X
=10
Y
=2
B
h
=100%
5.
F
2 12 Libor
6.
20%
1~2
3~5
6 7 8 9 10
11
12
AD
K
0%
2%
3%
4%
5%
6%
7%
8%
9%
7. 8%
ED
T
=8%
8. [10]
CMS
h
[2]
CMS
h
Barrier
h
h
h
( 5
)
Barrier
h
[10]
CMS
h
[2]
CMS
h
Portfolio
h
1 1998/8/3 1998/7/27 0%~0.50% 6.03% 5.85% 0.18%
2 1999/8/2 1999/7/26 0%~0.75% 6.84% 6.16% 0.68%
3 2000/8/1 2000/7/25 0%~1.00% 7.23% 7.07% 0.16%
4 2001/8/1 2001/7/25 0%~1.50% 5.99% 4.51% 1.48%
5 2002/8/1 2002/7/25 0%~2.00% 5.01% 2.68% 2.33%
6 2003/8/1 2003/7/25 0%~2.00% 4.60% 1.71% 2.89%
7 2004/8/2 2004/7/26 0%~2.00% 4.98% 3.16% 1.82%
1
Portfolio
1
=
[10]
CMS
1
– [2]
CMS
1
= 6.03% - 5.85% = 0.18%
2
Portfolio
2
=
[10]
CMS
2
– [2]
CMS
2
= 6.84% - 6.16% = 0.68%
3
Portfolio
3
=
[10]
CMS
3
– [2]
CMS
3
= 7.23% - 7.07% = 0.16%
…
1 1997/8/1~1998/8/3
h
= 1
1 1997/8/1~1998/7/27
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
80 105
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
1
1997/8/1
6.59%
6.17%
0.42%
67
1997/11/3
6.42%
6.07%
0.35%
133
1998/2/3
6.02%
5.67%
0.35%
199
1998/5/6
6.16%
5.93%
0.23%
2
1997/8/4
6.62%
6.20%
0.42%
68
1997/11/4
6.46%
6.08%
0.38%
134
1998/2/4
6.01%
5.66%
0.35%
200
1998/5/7
6.18%
5.95%
0.23%
3
1997/8/5
6.64%
6.21%
0.43%
69
1997/11/5
6.41%
6.05%
0.36%
135
1998/2/5
6.10%
5.70%
0.40%
201
1998/5/8
6.20%
5.98%
0.22%
4
1997/8/6
6.62%
6.20%
0.42%
70
1997/11/6
6.38%
6.07%
0.31%
136
1998/2/6
6.08%
5.70%
0.38%
202
1998/5/11
6.25%
6.02%
0.23%
5
1997/8/7
6.66%
6.24%
0.42%
71
1997/11/7
6.42%
6.09%
0.33%
137
1998/2/9
6.11%
5.72%
0.39%
203
1998/5/12
6.20%
5.98%
0.22%
6
1997/8/8
6.79%
6.31%
0.48%
72
1997/11/10
6.41%
6.10%
0.31%
138
1998/2/10
6.08%
5.74%
0.34%
204
1998/5/13
6.15%
5.98%
0.17%
7
1997/8/11
6.78%
6.30%
0.48%
73
1997/11/11
6.41%
6.10%
0.31%
139
1998/2/11
6.03%
5.71%
0.32%
205
1998/5/14
6.20%
6.00%
0.20%
8
1997/8/12
6.83%
6.34%
0.49%
74
1997/11/12
6.36%
6.09%
0.27%
140
1998/2/12
6.01%
5.70%
0.31%
206
1998/5/15
6.21%
6.00%
0.21%
9
1997/8/13
6.77%
6.24%
0.53%
75
1997/11/13
6.36%
6.09%
0.27%
141
1998/2/13
5.99%
5.68%
0.31%
207
1998/5/18
6.18%
5.97%
0.21%
10
1997/8/14
6.69%
6.20%
0.49%
76
1997/11/14
6.37%
6.10%
0.27%
142
1998/2/16
5.99%
5.68%
0.31%
208
1998/5/19
6.18%
5.96%
0.22%
11
1997/8/15
6.67%
6.15%
0.52%
77
1997/11/17
6.32%
6.09%
0.23%
143
1998/2/17
5.95%
5.67%
0.28%
209
1998/5/20
6.13%
5.94%
0.19%
12
1997/8/18
6.66%
6.14%
0.52%
78
1997/11/18
6.34%
6.08%
0.26%
144
1998/2/18
5.98%
5.69%
0.29%
210
1998/5/21
6.17%
5.99%
0.18%
13
1997/8/19
6.65%
6.15%
0.50%
79
1997/11/19
6.30%
6.07%
0.23%
145
1998/2/19
6.00%
5.71%
0.29%
211
1998/5/22
6.17%
5.99%
0.18%
14
1997/8/20
6.68%
6.19%
0.49%
80
1997/11/20
6.33%
6.10%
0.23%
146
1998/2/20
6.03%
5.71%
0.32%
212
1998/5/25
6.17%
5.99%
0.18%
15
1997/8/21
6.76%
6.24%
0.52%
81
1997/11/21
6.29%
6.04%
0.25%
147
1998/2/23
6.06%
5.74%
0.32%
213
1998/5/26
6.10%
5.93%
0.17%
16
1997/8/22
6.79%
6.25%
0.54%
82
1997/11/24
6.32%
6.06%
0.26%
148
1998/2/24
6.13%
5.86%
0.27%
214
1998/5/27
6.12%
5.93%
0.19%
17
1997/8/25
6.82%
6.27%
0.55%
83
1997/11/25
6.30%
6.07%
0.23%
149
1998/2/25
6.09%
5.82%
0.27%
215
1998/5/28
6.11%
5.94%
0.17%
18
1997/8/26
6.77%
6.25%
0.52%
84
1997/11/26
6.31%
6.09%
0.22%
150
1998/2/26
6.13%
5.88%
0.25%
216
1998/5/29
6.09%
5.92%
0.17%
19
1997/8/27
6.79%
6.27%
0.52%
85
1997/11/27
6.31%
6.09%
0.22%
151
1998/2/27
6.11%
5.86%
0.25%
217
1998/6/1
6.07%
5.87%
0.20%
20
1997/8/28
6.73%
6.22%
0.51%
86
1997/11/28
6.33%
6.11%
0.22%
152
1998/3/2
6.18%
5.88%
0.30%
218
1998/6/2
6.08%
5.89%
0.19%
21
1997/8/29
6.77%
6.26%
0.51%
87
1997/12/1
6.31%
6.14%
0.17%
153
1998/3/3
6.26%
5.94%
0.32%
219
1998/6/3
6.08%
5.90%
0.18%
22
1997/9/1
6.77%
6.26%
0.51%
88
1997/12/2
6.31%
6.11%
0.20%
154
1998/3/4
6.21%
5.90%
0.31%
220
1998/6/4
6.13%
5.93%
0.20%
23
1997/9/2
6.71%
6.21%
0.50%
89
1997/12/3
6.28%
6.06%
0.22%
155
1998/3/5
6.26%
5.93%
0.33%
221
1998/6/5
6.11%
5.94%
0.17%
24
1997/9/3
6.75%
6.26%
0.49%
90
1997/12/4
6.29%
6.05%
0.24%
156
1998/3/6
6.19%
5.88%
0.31%
222
1998/6/8
6.10%
5.94%
0.16%
25
1997/9/4
6.76%
6.26%
0.50%
91
1997/12/5
6.36%
6.16%
0.20%
157
1998/3/9
6.14%
5.87%
0.27%
223
1998/6/9
6.12%
5.95%
0.17%
26
1997/9/5
6.77%
6.26%
0.51%
92
1997/12/8
6.41%
6.20%
0.21%
158
1998/3/10
6.14%
5.86%
0.28%
224
1998/6/10
6.05%
5.91%
0.14%
27
1997/9/8
6.74%
6.26%
0.48%
93
1997/12/9
6.38%
6.16%
0.22%
159
1998/3/11
6.13%
5.87%
0.26%
225
1998/6/11
5.99%
5.82%
0.17%
28
1997/9/9
6.75%
6.26%
0.49%
94
1997/12/10
6.34%
6.11%
0.23%
160
1998/3/12
6.07%
5.82%
0.25%
226
1998/6/12
5.98%
5.82%
0.16%
29
1997/9/10
6.78%
6.29%
0.49%
95
1997/12/11
6.27%
6.05%
0.22%
161
1998/3/13
6.09%
5.84%
0.25%
227
1998/6/15
5.93%
5.77%
0.16%
30
1997/9/11
6.81%
6.31%
0.50%
96
1997/12/12
6.20%
5.99%
0.21%
162
1998/3/16
6.05%
5.82%
0.23%
228
1998/6/16
6.00%
5.86%
0.14%
31
1997/9/12
6.70%
6.22%
0.48%
97
1997/12/15
6.26%
6.04%
0.22%
163
1998/3/17
6.08%
5.86%
0.22%
229
1998/6/17
6.08%
5.90%
0.18%
32
1997/9/15
6.71%
6.22%
0.49%
98
1997/12/16
6.24%
6.04%
0.20%
164
1998/3/18
6.07%
5.84%
0.23%
230
1998/6/18
6.06%
5.88%
0.18%
33
1997/9/16
6.52%
6.11%
0.41%
99
1997/12/17
6.27%
6.08%
0.19%
165
1998/3/19
6.08%
5.85%
0.23%
231
1998/6/19
6.02%
5.86%
0.16%
34
1997/9/17
6.53%
6.10%
0.43%
100
1997/12/18
6.21%
6.04%
0.17%
166
1998/3/20
6.06%
5.86%
0.20%
232
1998/6/22
6.02%
5.88%
0.14%
35
1997/9/18
6.56%
6.14%
0.42%
101
1997/12/19
6.20%
6.02%
0.18%
167
1998/3/23
6.07%
5.87%
0.20%
233
1998/6/23
6.01%
5.87%
0.14%
36
1997/9/19
6.53%
6.12%
0.41%
102
1997/12/22
6.19%
6.03%
0.16%
168
1998/3/24
6.08%
5.87%
0.21%
234
1998/6/24
6.02%
5.87%
0.15%
37
1997/9/22
6.50%
6.11%
0.39%
103
1997/12/23
6.19%
6.01%
0.18%
169
1998/3/25
6.15%
5.93%
0.22%
235
1998/6/25
6.02%
5.88%
0.14%
38
1997/9/23
6.52%
6.14%
0.38%
104
1997/12/24
6.23%
6.05%
0.18%
170
1998/3/26
6.19%
5.98%
0.21%
236
1998/6/26
6.01%
5.87%
0.14%
39
1997/9/24
6.48%
6.10%
0.38%
105
1997/12/25
6.23%
6.04%
0.19%
171
1998/3/27
6.20%
6.00%
0.20%
237
1998/6/29
6.02%
5.88%
0.14%
40
1997/9/25
6.56%
6.18%
0.38%
106
1997/12/26
6.23%
6.04%
0.19%
172
1998/3/30
6.22%
5.99%
0.23%
238
1998/6/30
6.00%
5.84%
0.16%
41
1997/9/26
6.54%
6.15%
0.39%
107
1997/12/29
6.25%
6.05%
0.20%
173
1998/3/31
6.17%
5.95%
0.22%
239
1998/7/1
5.99%
5.85%
0.14%
42
1997/9/29
6.54%
6.15%
0.39%
108
1997/12/30
6.27%
6.04%
0.23%
174
1998/4/1
6.10%
5.94%
0.16%
240
1998/7/2
5.97%
5.82%
0.15%
43
1997/9/30
6.55%
6.15%
0.40%
109
1997/12/31
6.22%
6.01%
0.21%
175
1998/4/2
6.08%
5.90%
0.18%
241
1998/7/3
5.97%
5.82%
0.15%
44
1997/10/1
6.49%
6.12%
0.37%
110
1998/1/1
6.22%
6.00%
0.22%
176
1998/4/3
6.01%
5.82%
0.19%
242
1998/7/6
5.96%
5.81%
0.15%
45
1997/10/2
6.46%
6.09%
0.37%
111
1998/1/2
6.12%
5.93%
0.19%
177
1998/4/6
6.04%
5.83%
0.21%
243
1998/7/7
5.99%
5.82%
0.17%
46
1997/10/3
6.44%
6.04%
0.40%
112
1998/1/5
6.01%
5.92%
0.09%
178
1998/4/7
6.06%
5.84%
0.22%
244
1998/7/8
5.99%
5.83%
0.16%
47
1997/10/6
6.42%
6.01%
0.41%
113
1998/1/6
5.96%
5.75%
0.21%
179
1998/4/8
6.11%
5.86%
0.25%
245
1998/7/9
5.96%
5.80%
0.16%
48
1997/10/7
6.38%
5.98%
0.40%
114
1998/1/7
6.01%
5.79%
0.22%
180
1998/4/9
6.10%
5.87%
0.23%
246
1998/7/10
5.97%
5.79%
0.18%
49
1997/10/8
6.55%
6.10%
0.45%
115
1998/1/8
5.98%
5.68%
0.30%
181
1998/4/10
6.10%
5.87%
0.23%
247
1998/7/13
6.04%
5.84%
0.20%
50
1997/10/9
6.54%
6.10%
0.44%
116
1998/1/9
5.94%
5.57%
0.37%
182
1998/4/13
6.17%
5.94%
0.23%
248
1998/7/14
6.05%
5.84%
0.21%
51
1997/10/10
6.60%
6.18%
0.42%
117
1998/1/12
5.90%
5.56%
0.34%
183
1998/4/14
6.12%
5.93%
0.19%
249
1998/7/15
6.05%
5.83%
0.22%
52
1997/10/13
6.61%
6.18%
0.43%
118
1998/1/13
5.95%
5.65%
0.30%
184
1998/4/15
6.10%
5.92%
0.18%
250
1998/7/16
6.06%
5.84%
0.22%
53
1997/10/14
6.54%
6.14%
0.40%
119
1998/1/14
5.96%
5.65%
0.31%
185
1998/4/16
6.09%
5.89%
0.20%
251
1998/7/17
6.07%
5.84%
0.23%
54
1997/10/15
6.58%
6.16%
0.42%
120
1998/1/15
5.97%
5.63%
0.34%
186
1998/4/17
6.10%
5.90%
0.20%
252
1998/7/20
6.03%
5.84%
0.19%
55
1997/10/16
6.57%
6.18%
0.39%
121
1998/1/16
6.03%
5.72%
0.31%
187
1998/4/20
6.16%
5.95%
0.21%
253
1998/7/21
6.00%
5.83%
0.17%
56
1997/10/17
6.64%
6.26%
0.38%
122
1998/1/19
6.03%
5.71%
0.32%
188
1998/4/21
6.17%
5.97%
0.20%
254
1998/7/22
6.02%
5.84%
0.18%
57
1997/10/20
6.62%
6.24%
0.38%
123
1998/1/20
6.07%
5.73%
0.34%
189
1998/4/22
6.17%
5.97%
0.20%
255
1998/7/23
6.00%
5.84%
0.16%
58
1997/10/21
6.61%
6.24%
0.37%
124
1998/1/21
6.03%
5.69%
0.34%
190
1998/4/23
6.19%
5.99%
0.20%
256
1998/7/24
6.02%
5.86%
0.16%
59
1997/10/22
6.60%
6.25%
0.35%
125
1998/1/22
6.06%
5.68%
0.38%
191
1998/4/24
6.15%
5.98%
0.17%
257
1998/7/27
6.03%
5.85%
0.18%
60
1997/10/23
6.49%
6.15%
0.34%
126
1998/1/23
6.18%
5.75%
0.43%
192
1998/4/27
6.26%
6.06%
0.20%
61
1997/10/24
6.47%
6.10%
0.37%
127
1998/1/26
6.11%
5.72%
0.39%
193
1998/4/28
6.30%
6.09%
0.21%
62
1997/10/27
6.50%
6.16%
0.34%
128
1998/1/27
6.16%
5.79%
0.37%
194
1998/4/29
6.30%
6.10%
0.20%
63
1997/10/28
6.50%
6.10%
0.40%
129
1998/1/28
6.16%
5.79%
0.37%
195
1998/4/30
6.17%
5.97%
0.20%
64
1997/10/29
6.40%
6.00%
0.40%
130
1998/1/29
6.04%
5.70%
0.34%
196
1998/5/1
6.16%
5.97%
0.19%
65
1997/10/30
6.35%
6.00%
0.35%
131
1998/1/30
5.99%
5.66%
0.33%
197
1998/5/4
6.16%
5.97%
0.19%
66
1997/10/31
6.37%
6.02%
0.35%
132
1998/2/2
6.05%
5.71%
0.34%
198
1998/5/5
6.21%
6.01%
0.20%
G
1
=
1 =257( )
81 105
g
1
= 1
d
Spread
1
0%~0.50% = 245( )
1
( ) ( )
××+=××+= ,10%,1%
257
245
0.18%100%7%,10%,1%100%7% MaxMin
G
g
PortfolioMaxMinR
1
1
1
1
=
Min
{
Max
( 6.84%, 1% ) , 10% } = 6.84%
=10,000 × 6.84% = 684
2 1998/8/3~1999/8/2
h
= 2
2 1998/7/28~1999/7/26
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
1
1998/7/28
6.05%
5.85%
0.20%
67
1998/10/28
5.38%
4.60%
0.78%
133
1999/1/28
5.44%
5.11%
0.33%
199
1999/4/30
6.06%
5.51%
0.55%
2
1998/7/29
6.08%
5.90%
0.18%
68
1998/10/29
5.32%
4.59%
0.73%
134
1999/1/29
5.40%
5.13%
0.27%
200
1999/5/3
6.06%
5.52%
0.54%
3
1998/7/30
6.06%
5.89%
0.17%
69
1998/10/30
5.37%
4.70%
0.67%
135
1999/2/1
5.46%
5.15%
0.31%
201
1999/5/4
6.10%
5.54%
0.56%
4
1998/7/31
6.05%
5.88%
0.17%
70
1998/11/2
5.57%
4.84%
0.73%
136
1999/2/2
5.53%
5.21%
0.32%
202
1999/5/5
6.08%
5.54%
0.54%
5
1998/8/3
6.01%
5.85%
0.16%
71
1998/11/3
5.52%
4.80%
0.72%
137
1999/2/3
5.59%
5.22%
0.37%
203
1999/5/6
6.17%
5.60%
0.57%
6
1998/8/4
5.98%
5.80%
0.18%
72
1998/11/4
5.63%
4.96%
0.67%
138
1999/2/4
5.62%
5.26%
0.36%
204
1999/5/7
6.20%
5.59%
0.61%
7
1998/8/5
6.01%
5.83%
0.18%
73
1998/11/5
5.64%
5.03%
0.61%
139
1999/2/5
5.68%
5.31%
0.37%
205
1999/5/10
6.18%
5.55%
0.63%
8
1998/8/6
6.03%
5.82%
0.21%
74
1998/11/6
5.68%
5.12%
0.56%
140
1999/2/8
5.68%
5.30%
0.38%
206
1999/5/11
6.21%
5.58%
0.63%
9
1998/8/7
6.00%
5.78%
0.22%
75
1998/11/9
5.58%
5.09%
0.49%
141
1999/2/9
5.65%
5.26%
0.39%
207
1999/5/12
6.21%
5.57%
0.64%
10
1998/8/10
6.00%
5.78%
0.22%
76
1998/11/10
5.54%
5.03%
0.51%
142
1999/2/10
5.69%
5.25%
0.44%
208
1999/5/13
6.12%
5.51%
0.61%
11
1998/8/11
6.01%
5.76%
0.25%
77
1998/11/11
5.54%
5.03%
0.51%
143
1999/2/11
5.70%
5.32%
0.38%
209
1999/5/14
6.34%
5.68%
0.66%
12
1998/8/12
6.00%
5.75%
0.25%
78
1998/11/12
5.51%
5.02%
0.49%
144
1999/2/12
5.81%
5.34%
0.47%
210
1999/5/17
6.35%
5.69%
0.66%
13
1998/8/13
6.05%
5.80%
0.25%
79
1998/11/13
5.55%
5.05%
0.50%
145
1999/2/15
5.83%
5.39%
0.44%
211
1999/5/18
6.37%
5.75%
0.62%
14
1998/8/14
6.01%
5.74%
0.27%
80
1998/11/16
5.63%
5.10%
0.53%
146
1999/2/16
5.78%
5.37%
0.41%
212
1999/5/19
6.33%
5.76%
0.57%
15
1998/8/17
6.03%
5.75%
0.28%
81
1998/11/17
5.61%
5.07%
0.54%
147
1999/2/17
5.74%
5.36%
0.38%
213
1999/5/20
6.36%
5.76%
0.60%
16
1998/8/18
6.05%
5.76%
0.29%
82
1998/11/18
5.59%
5.04%
0.55%
148
1999/2/18
5.80%
5.37%
0.43%
214
1999/5/21
6.31%
5.72%
0.59%
17
1998/8/19
6.05%
5.77%
0.28%
83
1998/11/19
5.58%
5.11%
0.47%
149
1999/2/19
5.82%
5.41%
0.41%
215
1999/5/24
6.29%
5.73%
0.56%
18
1998/8/20
6.05%
5.76%
0.29%
84
1998/11/20
5.55%
5.12%
0.43%
150
1999/2/22
5.77%
5.42%
0.35%
216
1999/5/25
6.28%
5.72%
0.56%
19
1998/8/21
6.04%
5.68%
0.36%
85
1998/11/23
5.61%
5.19%
0.42%
151
1999/2/23
5.84%
5.47%
0.37%
217
1999/5/26
6.35%
5.80%
0.55%
20
1998/8/24
6.09%
5.69%
0.40%
86
1998/11/24
5.58%
5.20%
0.38%
152
1999/2/24
5.91%
5.55%
0.36%
218
1999/5/27
6.40%
5.86%
0.54%
21
1998/8/25
6.06%
5.66%
0.40%
87
1998/11/25
5.60%
5.21%
0.39%
153
1999/2/25
6.07%
5.66%
0.41%
219
1999/5/28
6.41%
5.86%
0.55%
22
1998/8/26
6.00%
5.62%
0.38%
88
1998/11/26
5.59%
5.20%
0.39%
154
1999/2/26
6.03%
5.64%
0.39%
220
1999/5/31
6.42%
5.86%
0.56%
23
1998/8/27
5.91%
5.52%
0.39%
89
1998/11/27
5.58%
5.17%
0.41%
155
1999/3/1
6.13%
5.68%
0.45%
221
1999/6/1
6.55%
5.99%
0.56%
24
1998/8/28
5.89%
5.48%
0.41%
90
1998/11/30
5.53%
5.07%
0.46%
156
1999/3/2
6.09%
5.68%
0.41%
222
1999/6/2
6.56%
5.99%
0.57%
25
1998/8/31
5.81%
5.36%
0.45%
91
1998/12/1
5.49%
5.05%
0.44%
157
1999/3/3
6.14%
5.66%
0.48%
223
1999/6/3
6.60%
5.99%
0.61%
26
1998/9/1
5.89%
5.46%
0.43%
92
1998/12/2
5.46%
5.00%
0.46%
158
1999/3/4
6.18%
5.69%
0.49%
224
1999/6/4
6.59%
6.00%
0.59%
27
1998/9/2
5.85%
5.47%
0.38%
93
1998/12/3
5.40%
4.91%
0.49%
159
1999/3/5
6.07%
5.59%
0.48%
225
1999/6/7
6.59%
6.01%
0.58%
28
1998/9/3
5.80%
5.45%
0.35%
94
1998/12/4
5.48%
5.04%
0.44%
160
1999/3/8
6.05%
5.60%
0.45%
226
1999/6/8
6.61%
6.01%
0.60%
29
1998/9/4
5.78%
5.43%
0.35%
95
1998/12/7
5.50%
5.10%
0.40%
161
1999/3/9
5.97%
5.49%
0.48%
227
1999/6/9
6.67%
6.06%
0.61%
30
1998/9/7
5.78%
5.43%
0.35%
96
1998/12/8
5.43%
5.03%
0.40%
162
1999/3/10
6.00%
5.54%
0.46%
228
1999/6/10
6.71%
6.09%
0.62%
31
1998/9/8
5.78%
5.41%
0.37%
97
1998/12/9
5.42%
5.02%
0.40%
163
1999/3/11
6.00%
5.53%
0.47%
229
1999/6/11
6.84%
6.15%
0.69%
32
1998/9/9
5.66%
5.26%
0.40%
98
1998/12/10
5.33%
4.97%
0.36%
164
1999/3/12
5.96%
5.49%
0.47%
230
1999/6/14
6.81%
6.11%
0.70%
33
1998/9/10
5.57%
5.15%
0.42%
99
1998/12/11
5.46%
5.03%
0.43%
165
1999/3/15
5.95%
5.47%
0.48%
231
1999/6/15
6.81%
6.12%
0.69%
34
1998/9/11
5.65%
5.19%
0.46%
100
1998/12/14
5.42%
4.98%
0.44%
166
1999/3/16
5.89%
5.44%
0.45%
232
1999/6/16
6.76%
6.04%
0.72%
35
1998/9/14
5.66%
5.22%
0.44%
101
1998/12/15
5.46%
5.02%
0.44%
167
1999/3/17
5.91%
5.45%
0.46%
233
1999/6/17
6.61%
5.93%
0.68%
36
1998/9/15
5.68%
5.24%
0.44%
102
1998/12/16
5.40%
4.92%
0.48%
168
1999/3/18
5.90%
5.44%
0.46%
234
1999/6/18
6.63%
5.98%
0.65%
37
1998/9/16
5.66%
5.24%
0.42%
103
1998/12/17
5.43%
5.01%
0.42%
169
1999/3/19
5.96%
5.49%
0.47%
235
1999/6/21
6.68%
6.02%
0.66%
38
1998/9/17
5.61%
5.18%
0.43%
104
1998/12/18
5.42%
5.01%
0.41%
170
1999/3/22
5.98%
5.51%
0.47%
236
1999/6/22
6.73%
6.05%
0.68%
39
1998/9/18
5.54%
5.17%
0.37%
105
1998/12/21
5.49%
5.08%
0.41%
171
1999/3/23
5.94%
5.45%
0.49%
237
1999/6/23
6.85%
6.14%
0.71%
40
1998/9/21
5.54%
5.16%
0.38%
106
1998/12/22
5.54%
5.11%
0.43%
172
1999/3/24
5.96%
5.46%
0.50%
238
1999/6/24
6.87%
6.14%
0.73%
41
1998/9/22
5.56%
5.16%
0.40%
107
1998/12/23
5.62%
5.24%
0.38%
173
1999/3/25
6.00%
5.49%
0.51%
239
1999/6/25
6.86%
6.16%
0.70%
42
1998/9/23
5.51%
5.05%
0.46%
108
1998/12/24
5.63%
5.26%
0.37%
174
1999/3/26
6.00%
5.47%
0.53%
240
1999/6/28
6.79%
6.10%
0.69%
43
1998/9/24
5.43%
4.95%
0.48%
109
1998/12/25
5.64%
5.27%
0.37%
175
1999/3/29
6.05%
5.47%
0.58%
241
1999/6/29
6.78%
6.14%
0.64%
44
1998/9/25
5.39%
4.93%
0.46%
110
1998/12/28
5.56%
5.21%
0.35%
176
1999/3/30
5.98%
5.42%
0.56%
242
1999/6/30
6.62%
5.99%
0.63%
45
1998/9/28
5.40%
4.95%
0.45%
111
1998/12/29
5.50%
5.16%
0.34%
177
1999/3/31
6.01%
5.43%
0.58%
243
1999/7/1
6.69%
6.04%
0.65%
46
1998/9/29
5.37%
4.95%
0.42%
112
1998/12/30
5.46%
5.12%
0.34%
178
1999/4/1
6.04%
5.46%
0.58%
244
1999/7/2
6.67%
6.05%
0.62%
47
1998/9/30
5.22%
4.79%
0.43%
113
1998/12/31
5.45%
5.11%
0.34%
179
1999/4/2
5.99%
5.43%
0.56%
245
1999/7/5
6.66%
6.04%
0.62%
48
1998/10/1
5.17%
4.73%
0.44%
114
1999/1/1
5.45%
5.13%
0.32%
180
1999/4/5
5.98%
5.42%
0.56%
246
1999/7/6
6.70%
6.07%
0.63%
49
1998/10/2
5.17%
4.75%
0.42%
115
1999/1/4
5.43%
5.10%
0.33%
181
1999/4/6
5.90%
5.37%
0.53%
247
1999/7/7
6.74%
6.08%
0.66%
50
1998/10/5
5.10%
4.64%
0.46%
116
1999/1/5
5.45%
5.16%
0.29%
182
1999/4/7
5.89%
5.38%
0.51%
248
1999/7/8
6.67%
6.04%
0.63%
51
1998/10/6
5.13%
4.68%
0.45%
117
1999/1/6
5.47%
5.10%
0.37%
183
1999/4/8
5.82%
5.35%
0.47%
249
1999/7/9
6.67%
6.07%
0.60%
52
1998/10/7
5.29%
4.77%
0.52%
118
1999/1/7
5.53%
5.16%
0.37%
184
1999/4/9
5.83%
5.35%
0.48%
250
1999/7/12
6.60%
6.01%
0.59%
53
1998/10/8
5.48%
4.82%
0.66%
119
1999/1/8
5.64%
5.25%
0.39%
185
1999/4/12
5.82%
5.37%
0.45%
251
1999/7/13
6.59%
6.01%
0.58%
54
1998/10/9
5.70%
4.92%
0.78%
120
1999/1/11
5.70%
5.31%
0.39%
186
1999/4/13
5.87%
5.38%
0.49%
252
1999/7/14
6.62%
6.05%
0.57%
55
1998/10/12
5.70%
4.91%
0.79%
121
1999/1/12
5.62%
5.21%
0.41%
187
1999/4/14
5.89%
5.40%
0.49%
253
1999/7/15
6.63%
6.07%
0.56%
56
1998/10/13
5.66%
4.82%
0.84%
122
1999/1/13
5.54%
5.13%
0.41%
188
1999/4/15
5.93%
5.42%
0.51%
254
1999/7/16
6.56%
6.00%
0.56%
57
1998/10/14
5.55%
4.82%
0.73%
123
1999/1/14
5.45%
5.05%
0.40%
189
1999/4/16
5.97%
5.47%
0.50%
255
1999/7/19
6.56%
5.99%
0.57%
58
1998/10/15
5.43%
4.71%
0.72%
124
1999/1/15
5.52%
5.10%
0.42%
190
1999/4/19
5.90%
5.41%
0.49%
256
1999/7/20
6.53%
5.94%
0.59%
59
1998/10/16
5.34%
4.56%
0.78%
125
1999/1/18
5.50%
5.10%
0.40%
191
1999/4/20
5.90%
5.42%
0.48%
257
1999/7/21
6.55%
5.93%
0.62%
82 105
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
60
1998/10/19
5.33%
4.55%
0.78%
126
1999/1/19
5.50%
5.05%
0.45%
192
1999/4/21
5.93%
5.44%
0.49%
258
1999/7/22
6.67%
6.04%
0.63%
61
1998/10/20
5.41%
4.61%
0.80%
127
1999/1/20
5.52%
5.16%
0.36%
193
1999/4/22
5.99%
5.49%
0.50%
259
1999/7/23
6.73%
6.12%
0.61%
62
1998/10/21
5.41%
4.65%
0.76%
128
1999/1/21
5.46%
5.10%
0.36%
194
1999/4/23
5.99%
5.48%
0.51%
260
1999/7/26
6.84%
6.16%
0.68%
63
1998/10/22
5.45%
4.67%
0.78%
129
1999/1/22
5.42%
5.06%
0.36%
195
1999/4/26
5.94%
5.46%
0.48%
64
1998/10/23
5.55%
4.70%
0.85%
130
1999/1/25
5.42%
5.09%
0.33%
196
1999/4/27
5.95%
5.44%
0.51%
65
1998/10/26
5.49%
4.67%
0.82%
131
1999/1/26
5.48%
5.11%
0.37%
197
1999/4/28
5.98%
5.47%
0.51%
66
1998/10/27
5.42%
4.62%
0.80%
132
1999/1/27
5.48%
5.09%
0.39%
198
1999/4/29
5.93%
5.41%
0.52%
G
2
=
2 =260( )
g
2
= 2
d
Spread
2
0%~0.75% = 248( )
R
1
6.84% 20% 2
( ) ( )
∑
××+=××+=
−
=
%,10%,13.16,1%
260
248
0.68%100%7%-,10%,20%,1%100%7% MaxMin
G
g
PortfolioMaxMinR
2
2
2
12
1
2
i
i
R
=
Min
{
Max
( 7.33%, 1% ) , 10%, 13.16% } = 7.33%
=10,000 × 7.33% = 733
3 1999/8/2~2000/8/1
h
= 3
3 1999/7/27~2000/7/25
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
1
1999/7/27
6.80%
6.13%
0.67%
67
1999/10/27
7.08%
6.55%
0.53%
133
2000/1/27
7.42%
7.01%
0.41%
199
2000/4/28
7.40%
7.32%
0.08%
2
1999/7/28
6.77%
6.12%
0.65%
68
1999/10/28
6.99%
6.48%
0.51%
134
2000/1/28
7.45%
7.09%
0.36%
200
2000/5/1
7.46%
7.36%
0.10%
3
1999/7/29
6.86%
6.22%
0.64%
69
1999/10/29
6.86%
6.36%
0.50%
135
2000/1/31
7.51%
7.15%
0.36%
201
2000/5/2
7.50%
7.34%
0.16%
4
1999/7/30
6.90%
6.27%
0.63%
70
1999/11/1
6.92%
6.38%
0.54%
136
2000/2/1
7.44%
7.13%
0.31%
202
2000/5/3
7.65%
7.43%
0.22%
5
1999/8/2
6.94%
6.33%
0.61%
71
1999/11/2
6.89%
6.37%
0.52%
137
2000/2/2
7.46%
7.16%
0.30%
203
2000/5/4
7.71%
7.48%
0.23%
6
1999/8/3
6.99%
6.34%
0.65%
72
1999/11/3
6.86%
6.34%
0.52%
138
2000/2/3
7.38%
7.16%
0.22%
204
2000/5/5
7.81%
7.58%
0.23%
7
1999/8/4
6.98%
6.27%
0.71%
73
1999/11/4
6.81%
6.29%
0.52%
139
2000/2/4
7.46%
7.22%
0.24%
205
2000/5/8
7.85%
7.61%
0.24%
8
1999/8/5
6.89%
6.23%
0.66%
74
1999/11/5
6.75%
6.24%
0.51%
140
2000/2/7
7.51%
7.23%
0.28%
206
2000/5/9
7.81%
7.58%
0.23%
9
1999/8/6
7.09%
6.41%
0.68%
75
1999/11/8
6.76%
6.23%
0.53%
141
2000/2/8
7.45%
7.21%
0.24%
207
2000/5/10
7.76%
7.52%
0.24%
10
1999/8/9
7.20%
6.49%
0.71%
76
1999/11/9
6.78%
6.25%
0.53%
142
2000/2/9
7.51%
7.19%
0.32%
208
2000/5/11
7.72%
7.52%
0.20%
11
1999/8/10
7.22%
6.52%
0.70%
77
1999/11/10
6.82%
6.33%
0.49%
143
2000/2/10
7.61%
7.19%
0.42%
209
2000/5/12
7.85%
7.64%
0.21%
12
1999/8/11
7.16%
6.47%
0.69%
78
1999/11/11
6.72%
6.32%
0.40%
144
2000/2/11
7.53%
7.14%
0.39%
210
2000/5/15
7.82%
7.61%
0.21%
13
1999/8/12
7.15%
6.43%
0.72%
79
1999/11/12
6.71%
6.28%
0.43%
145
2000/2/14
7.51%
7.15%
0.36%
211
2000/5/16
7.74%
7.62%
0.12%
14
1999/8/13
7.03%
6.37%
0.66%
80
1999/11/15
6.73%
6.28%
0.45%
146
2000/2/15
7.53%
7.16%
0.37%
212
2000/5/17
7.82%
7.67%
0.15%
15
1999/8/16
6.96%
6.34%
0.62%
81
1999/11/16
6.74%
6.34%
0.40%
147
2000/2/16
7.55%
7.17%
0.38%
213
2000/5/18
7.87%
7.66%
0.21%
16
1999/8/17
6.85%
6.27%
0.58%
82
1999/11/17
6.81%
6.38%
0.43%
148
2000/2/17
7.56%
7.23%
0.33%
214
2000/5/19
7.82%
7.61%
0.21%
17
1999/8/18
6.85%
6.22%
0.63%
83
1999/11/18
6.83%
6.40%
0.43%
149
2000/2/18
7.51%
7.22%
0.29%
215
2000/5/22
7.77%
7.58%
0.19%
18
1999/8/19
6.85%
6.24%
0.61%
84
1999/11/19
6.86%
6.39%
0.47%
150
2000/2/21
7.51%
7.22%
0.29%
216
2000/5/23
7.77%
7.60%
0.17%
19
1999/8/20
6.92%
6.23%
0.69%
85
1999/11/22
6.81%
6.37%
0.44%
151
2000/2/22
7.40%
7.13%
0.27%
217
2000/5/24
7.76%
7.60%
0.16%
20
1999/8/23
6.94%
6.24%
0.70%
86
1999/11/23
6.80%
6.35%
0.45%
152
2000/2/23
7.45%
7.16%
0.29%
218
2000/5/25
7.70%
7.56%
0.14%
21
1999/8/24
6.84%
6.20%
0.64%
87
1999/11/24
6.89%
6.48%
0.41%
153
2000/2/24
7.40%
7.10%
0.30%
219
2000/5/26
7.64%
7.52%
0.12%
22
1999/8/25
6.74%
6.13%
0.61%
88
1999/11/25
6.89%
6.48%
0.41%
154
2000/2/25
7.38%
6.97%
0.41%
220
2000/5/29
7.64%
7.53%
0.11%
23
1999/8/26
6.76%
6.18%
0.58%
89
1999/11/26
6.93%
6.51%
0.42%
155
2000/2/28
7.45%
7.07%
0.38%
221
2000/5/30
7.71%
7.61%
0.10%
24
1999/8/27
6.88%
6.26%
0.62%
90
1999/11/29
7.02%
6.50%
0.52%
156
2000/2/29
7.42%
7.07%
0.35%
222
2000/5/31
7.63%
7.54%
0.09%
25
1999/8/30
6.97%
6.33%
0.64%
91
1999/11/30
6.99%
6.47%
0.52%
157
2000/3/1
7.40%
7.06%
0.34%
223
2000/6/1
7.49%
7.46%
0.03%
26
1999/8/31
6.99%
6.37%
0.62%
92
1999/12/1
6.90%
6.55%
0.35%
158
2000/3/2
7.39%
7.05%
0.34%
224
2000/6/2
7.41%
7.35%
0.06%
27
1999/9/1
7.02%
6.36%
0.66%
93
1999/12/2
7.04%
6.60%
0.44%
159
2000/3/3
7.37%
7.04%
0.33%
225
2000/6/5
7.31%
7.28%
0.03%
28
1999/9/2
7.09%
6.38%
0.71%
94
1999/12/3
6.87%
6.54%
0.33%
160
2000/3/6
7.37%
7.06%
0.31%
226
2000/6/6
7.33%
7.28%
0.05%
29
1999/9/3
6.96%
6.27%
0.69%
95
1999/12/6
6.93%
6.44%
0.49%
161
2000/3/7
7.39%
7.05%
0.34%
227
2000/6/7
7.40%
7.35%
0.05%
30
1999/9/6
6.97%
6.28%
0.69%
96
1999/12/7
6.90%
6.51%
0.39%
162
2000/3/8
7.40%
7.06%
0.34%
228
2000/6/8
7.41%
7.37%
0.04%
31
1999/9/7
7.03%
6.34%
0.69%
97
1999/12/8
6.94%
6.53%
0.41%
163
2000/3/9
7.38%
7.06%
0.32%
229
2000/6/9
7.40%
7.36%
0.04%
32
1999/9/8
6.97%
6.30%
0.67%
98
1999/12/9
6.93%
6.51%
0.42%
164
2000/3/10
7.43%
7.11%
0.32%
230
2000/6/12
7.33%
7.30%
0.03%
33
1999/9/9
6.99%
6.32%
0.67%
99
1999/12/10
6.88%
6.48%
0.40%
165
2000/3/13
7.44%
7.10%
0.34%
231
2000/6/13
7.34%
7.27%
0.07%
34
1999/9/10
6.89%
6.26%
0.63%
100
1999/12/13
6.93%
6.52%
0.41%
166
2000/3/14
7.40%
7.08%
0.32%
232
2000/6/14
7.28%
7.18%
0.10%
35
1999/9/13
6.90%
6.22%
0.68%
101
1999/12/14
7.04%
6.62%
0.42%
167
2000/3/15
7.41%
7.10%
0.31%
233
2000/6/15
7.25%
7.24%
0.01%
36
1999/9/14
6.92%
6.28%
0.64%
102
1999/12/15
7.07%
6.64%
0.43%
168
2000/3/16
7.35%
7.10%
0.25%
234
2000/6/16
7.17%
7.14%
0.03%
37
1999/9/15
6.81%
6.13%
0.68%
103
1999/12/16
7.14%
6.72%
0.42%
169
2000/3/17
7.28%
7.08%
0.20%
235
2000/6/19
7.19%
7.18%
0.01%
38
1999/9/16
6.81%
6.19%
0.62%
104
1999/12/17
7.14%
6.73%
0.41%
170
2000/3/20
7.30%
7.09%
0.21%
236
2000/6/20
7.26%
7.25%
0.01%
39
1999/9/17
6.80%
6.17%
0.63%
105
1999/12/20
7.19%
6.78%
0.41%
171
2000/3/21
7.27%
7.08%
0.19%
237
2000/6/21
7.35%
7.29%
0.06%
40
1999/9/20
6.85%
6.23%
0.62%
106
1999/12/21
7.21%
6.80%
0.41%
172
2000/3/22
7.31%
7.08%
0.23%
238
2000/6/22
7.36%
7.27%
0.09%
41
1999/9/21
6.87%
6.22%
0.65%
107
1999/12/22
7.19%
6.78%
0.41%
173
2000/3/23
7.25%
7.10%
0.15%
239
2000/6/23
7.40%
7.30%
0.10%
42
1999/9/22
6.85%
6.20%
0.65%
108
1999/12/23
7.22%
6.80%
0.42%
174
2000/3/24
7.35%
7.23%
0.12%
240
2000/6/26
7.33%
7.27%
0.06%
43
1999/9/23
6.73%
6.13%
0.60%
109
1999/12/24
7.22%
6.80%
0.42%
175
2000/3/27
7.36%
7.25%
0.11%
241
2000/6/27
7.31%
7.25%
0.06%
44
1999/9/24
6.72%
6.11%
0.61%
110
1999/12/27
7.20%
6.77%
0.43%
176
2000/3/28
7.38%
7.23%
0.15%
242
2000/6/28
7.33%
7.23%
0.10%
45
1999/9/27
6.75%
6.14%
0.61%
111
1999/12/28
7.21%
6.79%
0.42%
177
2000/3/29
7.41%
7.23%
0.18%
243
2000/6/29
7.27%
7.19%
0.08%
46
1999/9/28
6.84%
6.19%
0.65%
112
1999/12/29
7.18%
6.76%
0.42%
178
2000/3/30
7.36%
7.16%
0.20%
244
2000/6/30
7.26%
7.21%
0.05%
83 105
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
47
1999/9/29
6.93%
6.22%
0.71%
113
1999/12/30
7.17%
6.75%
0.42%
179
2000/3/31
7.27%
7.16%
0.11%
245
2000/7/3
7.21%
7.15%
0.06%
48
1999/9/30
6.85%
6.20%
0.65%
114
1999/12/31
7.17%
6.77%
0.40%
180
2000/4/3
7.23%
7.11%
0.12%
246
2000/7/4
7.21%
7.11%
0.10%
49
1999/10/1
6.92%
6.31%
0.61%
115
2000/1/3
7.36%
6.92%
0.44%
181
2000/4/4
7.17%
6.99%
0.18%
247
2000/7/5
7.15%
7.09%
0.06%
50
1999/10/4
6.87%
6.29%
0.58%
116
2000/1/4
7.29%
6.86%
0.43%
182
2000/4/5
7.17%
7.00%
0.17%
248
2000/7/6
7.22%
7.15%
0.07%
51
1999/10/5
6.97%
6.36%
0.61%
117
2000/1/5
7.37%
6.91%
0.46%
183
2000/4/6
7.20%
7.06%
0.14%
249
2000/7/7
7.17%
7.05%
0.12%
52
1999/10/6
6.95%
6.43%
0.52%
118
2000/1/6
7.32%
6.86%
0.46%
184
2000/4/7
7.14%
7.03%
0.11%
250
2000/7/10
7.20%
7.10%
0.10%
53
1999/10/7
6.95%
6.43%
0.52%
119
2000/1/7
7.27%
6.85%
0.42%
185
2000/4/10
7.15%
6.98%
0.17%
251
2000/7/11
7.23%
7.09%
0.14%
54
1999/10/8
6.94%
6.41%
0.53%
120
2000/1/10
7.31%
6.89%
0.42%
186
2000/4/11
7.21%
7.02%
0.19%
252
2000/7/12
7.25%
7.13%
0.12%
55
1999/10/11
6.94%
6.41%
0.53%
121
2000/1/11
7.43%
6.96%
0.47%
187
2000/4/12
7.24%
7.04%
0.20%
253
2000/7/13
7.17%
7.07%
0.10%
56
1999/10/12
6.83%
6.39%
0.44%
122
2000/1/12
7.46%
6.99%
0.47%
188
2000/4/13
7.20%
7.02%
0.18%
254
2000/7/14
7.28%
7.19%
0.09%
57
1999/10/13
6.98%
6.44%
0.54%
123
2000/1/13
7.40%
6.93%
0.47%
189
2000/4/14
7.19%
7.04%
0.15%
255
2000/7/17
7.35%
7.22%
0.13%
58
1999/10/14
7.04%
6.54%
0.50%
124
2000/1/14
7.43%
6.95%
0.48%
190
2000/4/17
7.25%
7.03%
0.22%
256
2000/7/18
7.35%
7.20%
0.15%
59
1999/10/15
6.98%
6.39%
0.59%
125
2000/1/17
7.43%
6.95%
0.48%
191
2000/4/18
7.23%
6.99%
0.24%
257
2000/7/19
7.39%
7.25%
0.14%
60
1999/10/18
7.06%
6.53%
0.53%
126
2000/1/18
7.50%
6.99%
0.51%
192
2000/4/19
7.19%
7.03%
0.16%
258
2000/7/20
7.20%
7.09%
0.11%
61
1999/10/19
7.07%
6.47%
0.60%
127
2000/1/19
7.49%
6.98%
0.51%
193
2000/4/20
7.20%
7.02%
0.18%
259
2000/7/21
7.20%
7.07%
0.13%
62
1999/10/20
7.06%
6.46%
0.60%
128
2000/1/20
7.52%
7.00%
0.52%
194
2000/4/21
7.21%
7.03%
0.18%
260
2000/7/24
7.24%
7.10%
0.14%
63
1999/10/21
7.00%
6.54%
0.46%
129
2000/1/21
7.48%
6.95%
0.53%
195
2000/4/24
7.24%
7.06%
0.18%
261
2000/7/25
7.23%
7.07%
0.16%
64
1999/10/22
7.07%
6.51%
0.56%
130
2000/1/24
7.40%
6.91%
0.49%
196
2000/4/25
7.32%
7.14%
0.18%
65
1999/10/25
7.10%
6.54%
0.56%
131
2000/1/25
7.39%
6.93%
0.46%
197
2000/4/26
7.33%
7.14%
0.19%
66
1999/10/26
7.10%
6.49%
0.61%
132
2000/1/26
7.37%
6.94%
0.43%
198
2000/4/27
7.42%
7.26%
0.16%
G
3
=
3 =261( )
g
3
= 3
d
Spread
3
0%~1.00 % = 261( )
R
1
+
R
2
14.17% 20% 3
( ) ( )
∑
××+=××+=
−
=
,10%,5.83%,1%
261
261
0.16%100%7%-,10%,20%,1%100%7% MaxMin
G
g
PortfolioMaxMinR
3
3
3
13
1
3
i
i
R
=
Min
{
Max
( 7.16%, 1% ) , 10%, 5.83% } = 5.83%
=10,000 × 5.83% = 583
3 =
%
i
i
R 20
3
1
=
∑
=
20% 3 583
2% =10,000 ×2% 200
4
h
= 4,5,…,7
3 =
20%=
∑
=
3
1i
i
R
20% 4 12
Libor
R
4+i
=
F
= 2 12 Libor
i
= 0,1,2,3
4 7 2 12 Libor
h
2
2
12 Libor
4 2000/7/28 7.04%
5 2001/7/30 3.84%
6 2002/7/30 2.07%
7 2003/7/30 1.28%
R
4
=
4 2 12 Libor = 7.04% 4
= 10,000 × 7.04% = 704
R
5
=
5 2 12 Libor = 3.84% 5
= 10,000 × 3.84% = 384
R
6
=
6 2 12 Libor = 2.07% 6
= 10,000 × 2.07% = 207
R
7
=
7 2 12 Libor = 1.28% 7
= 10,000 × 1.28% = 128
= = 10,000
3
84 105
h
×
h
h R
h
1. 1
R
1
Max C PR
×
Portfolio
1
2. 2
h=
2,3,4
,...,T
(1)
ett
h
i
i
RR
arg
1
1
<
∑
−
=
R
target
( )
×+=
∑
−
=
−
1
1
arg
,,
h
i
ietthhhhh
RRPortfolioFEDMaxMinR
(2)
etargt
h
i
i
RR ≥
∑
−
=
1
1
R
target
R
h+i
= F
i=0,1,2,…,
T-h
( )
3.
K R
target
R
K
AD
K
R
target
C,PR
0
D
h
,E
h
,F
h
T
T
=
∑
=
H
i
i
M
1
H
：
M
i
i
M
i
= 12 /
t
mi
t
mi
i 1
2 3 6 12
AD
K
h
t
mi
12
t
mi
= 12
M
i
= 1 2003/7/3
2003/7/3 2004/7/3
2004/7/3 2005/7/3
F
h Portfolio
h
−
−
−=
−−−
1,...,1,1
11
2
2
1
1
1
h
N
h
N
h
h
h
h
h
Underlying
Underlying
abs
Underlying
Underlying
abs
Underlying
Underlying
absMinPortfolio
N
abs
(
x
)
x
85 105
0
n
Underlying
n
h
n
Underlying
n h dh
dh
1.1996 7 31 6
H
= 6 10,000
2. 12
t
mi
=12
M
i
=12/
t
mi
=12/12=1
T
=
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3. 5
N
= 5
4.
D
h
=5%
E
h
=4%
F
h
=5%
R
target
=21%
C=
5%
PR
10%
dh
=5
5.
F
2 12 Libor
6.
21%
1 2 3 4 5 6
AD
K
0%
2%
3%
4%
5%
6%
7. 5 12 Libor
h
5
AXP US
DOW US
GE US
JNJ US
KO US
2
2
12
Libor
Portfolio
h
0 1996/7/31
14.58
24.75 13.71
23.88
46.88
5
1 1997/7/31
1997/7/24
26.54
30.10 23.96
30.94
70.19
1996/7/29
-- 21.62%
2 1998/7/31
1998/7/24
35.69
31.06 30.56
38.28
83.44
1997/7/29
5.97% 3.19%
3 1999/8/1 1999/7/26
45.50
40.33 38.00
48.63
63.06
1998/7/29
5.81% 24.35%
4 2000/7/31
2000/7/24
57.06
29.53 54.00
47.23
59.25
1999/7/29
5.82% 2.88%
5 2001/7/31
2001/7/24
37.80
33.88 44.00
52.71
44.20
2000/7/27
7.05% 11.60%
6 2002/7/31
2002/7/24
30.43
27.45 26.53
47.70
46.85
2001/7/27
3.89% 6.00%
1
h
1 1
Portfolio
1
=
−−−−− 1
8846
1970
1
8823
9430
1
7113
9623
1
7524
1030
1
5814
5426
.
.
,abs
.
.
,abs
.
.
,abs
.
.
,abs
.
.
absMin
=
Min abs
(82.03%),
abs
(21.62%),
abs
(74.76%),
abs
(29.56%),
abs
(49.72%)
=
Min
82.03%, 21.62%, 74.76%, 29.56%, 49.72% = 21.62%
2
h
2 2
Portfolio
2
=
−−−−− 1
1970
4483
1
9430
2838
1
9623
5630
1
1030
0631
1
5426
6935
.
.
,abs
.
.
,abs
.
.
,abs
.
.
,abs
.
.
absMin
=
Min abs
(34.48%),
abs
(3.19%),
abs
(27.55%),
abs
(23.72%),
abs
(18.88%)
=
Min
34.48%, 3.19%, 27.55%, 23.72%, 18.88% = 3.19%
…
6
h
6 6
Portfolio
6
=
−−−−− 1
2044
8546
1
7152
7047
1
0044
5326
1
8833
4527
1
8037
4330
.
.
,abs
.
.
,abs
.
.
,abs
.
.
,abs
.
.
absMin
=
Min abs
(-19.50%),
abs
(-18.98%),
abs
(-39.70%),
abs
(-9.50%),
abs
(6.00%)
86 105
=
Min
19.50%, 18.98%, 39.70%, 9.50%, 6.00% = 6.00%
1
h
1
1
R
1
Max
5% 10%×
Portfolio
1
Max
5% 2.16% 5%
10000 ×5% 500
2
h
2
R
1
5% 21% 2
R
2
Min
[
Max
5% 4%+5%×
Portfolio
2
21%-5%]
Min
[
Max
5% 4.16% 16%] 5%
10000 ×5% 500
3
h
3
R
1
R
2
5% 5% 10% 21% 3
R
3
Min
[
Max
5% 4%+5%×
Portfolio
3
21%-10%]
Min
[
Max
5% 5.22% 11%] 5.22%
10000 ×5.22% 522
4
h
4
R
1
R
2
R
3
5% 5% 5.22% 15.22% 21% 4
R
4
Min
[
Max
5 % 4%+5%×
Portfolio
4
21%-15.22%]
Min
[
Max
5% 4.14% 6.22%] 5%
10000 ×5% 500
5
h
5
R
1
R
2
R
3
R
4
5% 5% 5.22% 5% 20.22%
21% 5
R
5
Min
[
Max
5% 4%+5%×
Portfolio
5
21%-20.22%]
Min
[
Max
5% 4.58% 0.78%] 0.78%
10000 ×0.78% 78
5
%
i
i
R 21
5
1
=
∑
=
21%
K
=5 5 78
5% =10,000 ×5% 500
6
h
6
%
i
i
R 21
5
1
=
∑
=
21% 6
R
6
=
6 2 12 Libor = 3.89% 6
= 10,000 × 3.89% = 389
= = 10,000
87 105
= × [ 1 + Max ( ×
) ]
=
∑
=
×
T
h
hh
Portfoliow
1
h Portfolio
h
−
×=
∑
=
N
n
n
n
h
n
h
nh
Underlying
UnderlyingUnderlying
WFMaxPortfolio
1
0
0
,
T
T
=
∑
=
H
i
i
M
1
H
M
i
i
M
i
= 12 /
t
mi
t
mi
i 1 2
3 6 12
h
t
mi
12
t
mi
= 12
M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
F
Portfolio
h
h
N
h
w
h
∑
=
T
n
n
w
1
=1
h
n
W
n h
∑
=
N
n
h
n
W
1
= 1
0
n
Underlying
n
h
n
Underlying
n h dh
dh
1.1998 6 30 6
H
= 6 10,000
2. 12
t
mi
= 12
M
i
= 12 /
t
mi
= 12 / 12 = 1
T
=
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3.
S&P500 DJ Eurostoxx 50 2
2/1
21
==
hh
WW
4.
w
1
=
w
2
=
… w
6
=1/6
88 105
5.
65% 23
dh
=0
F
=10%
6.
h
S&P500 DJ Eurostoxx 50
Portfolio
h
0 2000/6/30 1454.60 5145.35
1 2001/7/2 1236.72 4304.44 10.00%
2 2002/7/1 968.65 3131.39 10.00%
3 2003/6/30 974.50 2419.51 10.00%
4 2004/6/30
1140.84
2811.08
10.00%
5 2005/6/30 1191.33 3181.54 10.00%
6 2006/6/30
1270.20
3648.92
10.00%
●
1
h
= 1
( ){ }
%00.10%66.15%,10
35.5145
35.514544.4304
60.1454
60.145472.1236
2
1
%,10
1
=−=
−
+
−
×= MaxMaxPortfolio
●
2
h
= 2
( ){ }
%00.10%28.36%,10
35.5145
35.514539.3131
60.1454
60.145465.968
2
1
%,10
2
=−=
−
+
−
×= MaxMaxPortfolio
……
●
6
h
= 6
( ){ }
%00.10%88.02%,10
35.5145
35.514592.3648
60.1454
60.145420.1270
2
1
%,10
6
=−=
−
+
−
×= MaxMaxPortfolio
=
∑
=
6
1h
h
w
×
Portfolio
h
= (10.00% + 10.00% + 10.00% + 10.00% + 10.00% + 10.00% ) / 6
= 10.00%
= × [ 1 + Max ( ×
) ]
= 10,000 × [ 1 + Max ( 10.00% × 65% 23% ) ]
= 10,000 × [ 1 + Max ( 6.50% 23% ) ] = 12,300
89 105
=
h h
h R
h
1.
h
= 1 1
R
1
= Min { Max[ (A
1
+ PR
1
× Portfolio
1
) ×
1
1
G
g
, Floor
1
] , Cap
1
}
2.
h
= 2,3,4,…,
T
2
(1)
Max(BP
1
,BP
2
,…,BP
h-1
)<BP
0
(
1
h-1
)
R
h
= Min { Max[ (A
h
+ PR
h
× Portfolio
h
) ×
h
h
G
g
, Floor
h
] , Cap
h
}
(2)
Max(BP
1
,BP
2
,…,BP
h-1
)
≥
BP
0
( 1
h-1
)
R
h+i
= F
i=0,1,2,…,
T
-
h
( )
A
h
,PR
h
,Floor
h
,Cap
h
Portfolio
h
h Portfolio
h
=[X]CMS
h
[Y]CMS
h
[
X
]
CMS
h
h dh
(
h
)
X
[
Y
]
CMS
h
h dh
(
h
)
Y
dh
T
T
=
∑
=
H
i
i
M
1
H
M
i
i
M
i
= 12 /
t
mi
t
mi
i 1 2
3 6 12
h
t
mi
12
t
mi
= 12
M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
h
1 (
h
=1) 1
dh
( )
2 (
h
=2) 1
dh
( 1 )
2
dh
( ) 3 (
h
=3) 2
dh
( 2 ) 3
dh
( )
G
h
h
g
h
h
d
h
Spread
Barrier
h
d
h
Spread
=
d
h
d
h
CMSYCMSX
][][ −
Barrier
h
h
90 105
d
h
CMSX
][
h d
X
d
h
CMSY
][
h d
Y
Y<X X Y
BP
h
h BP
0
F
1.1997 8 1 6
H
= 6 10,000
2. 12
t
mi
= 12
M
i
= 12 /
t
mi
= 12 / 12 = 1
T
=
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3. (Constant Maturity Swap, CMS)
4.
A
h
=7% PR
h
=100% Floor
h
=1% Cap
h
=10% X=10 Y=2 BP
0
=1.00 dh=5
5.
F
2 12 Libor
6. [
10
]
CMS
h
[
2
]
CMS
h
Barrier
h
BP
h
h
h
(
5
)
Barrier
h
BP
h
[
10
]
CMS
h
[
2
]
CMS
h
Portfolio
h
1 1998/8/3
1998/7/27 0%~0.50%
0.98 6.03% 5.85% 0.18%
2 1999/8/2
1999/7/26 0%~0.75%
0.99 6.84% 6.16% 0.68%
3 2000/8/1
2000/7/25 0%~1.00%
1.01 7.23% 7.07% 0.16%
4 2001/8/1
2001/7/25 0%~1.50%
1.01 5.99% 4.51% 1.48%
5 2002/8/1
2002/7/25 0%~2.00%
0.99 5.01% 2.68% 2.33%
6 2003/8/1
2003/7/25 0%~2.00%
1.01 4.60% 1.71% 2.89%
1
Portfolio
1
=[
10
]
CMS
1
[
2
]
CMS
1
=6.03% 5.85%=0.18%
2
Portfolio
2
=[
10
]
CMS
2
[
2
]
CMS
2
=6.84% 6.16%=0.68%
…
6
Portfolio
6
=[
10
]
CMS
6
[
2
]
CMS
6
=4.60% 1.71%=2.89%
1
h
=1
1 (1997/8/1-1998/7/27)
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
1
1997/8/1
6.59%
6.17%
0.42%
67
1997/11/3
6.42%
6.07%
0.35%
133
1998/2/3
6.02%
5.67%
0.35%
199
1998/5/6
6.16%
5.93%
0.23%
2
1997/8/4
6.62%
6.20%
0.42%
68
1997/11/4
6.46%
6.08%
0.38%
134
1998/2/4
6.01%
5.66%
0.35%
200
1998/5/7
6.18%
5.95%
0.23%
3
1997/8/5
6.64%
6.21%
0.43%
69
1997/11/5
6.41%
6.05%
0.36%
135
1998/2/5
6.10%
5.70%
0.40%
201
1998/5/8
6.20%
5.98%
0.22%
4
1997/8/6
6.62%
6.20%
0.42%
70
1997/11/6
6.38%
6.07%
0.31%
136
1998/2/6
6.08%
5.70%
0.38%
202
1998/5/11
6.25%
6.02%
0.23%
5
1997/8/7
6.66%
6.24%
0.42%
71
1997/11/7
6.42%
6.09%
0.33%
137
1998/2/9
6.11%
5.72%
0.39%
203
1998/5/12
6.20%
5.98%
0.22%
6
1997/8/8
6.79%
6.31%
0.48%
72
1997/11/10
6.41%
6.10%
0.31%
138
1998/2/10
6.08%
5.74%
0.34%
204
1998/5/13
6.15%
5.98%
0.17%
7
1997/8/11
6.78%
6.30%
0.48%
73
1997/11/11
6.41%
6.10%
0.31%
139
1998/2/11
6.03%
5.71%
0.32%
205
1998/5/14
6.20%
6.00%
0.20%
91 105
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
8
1997/8/12
6.83%
6.34%
0.49%
74
1997/11/12
6.36%
6.09%
0.27%
140
1998/2/12
6.01%
5.70%
0.31%
206
1998/5/15
6.21%
6.00%
0.21%
9
1997/8/13
6.77%
6.24%
0.53%
75
1997/11/13
6.36%
6.09%
0.27%
141
1998/2/13
5.99%
5.68%
0.31%
207
1998/5/18
6.18%
5.97%
0.21%
10
1997/8/14
6.69%
6.20%
0.49%
76
1997/11/14
6.37%
6.10%
0.27%
142
1998/2/16
5.99%
5.68%
0.31%
208
1998/5/19
6.18%
5.96%
0.22%
11
1997/8/15
6.67%
6.15%
0.52%
77
1997/11/17
6.32%
6.09%
0.23%
143
1998/2/17
5.95%
5.67%
0.28%
209
1998/5/20
6.13%
5.94%
0.19%
12
1997/8/18
6.66%
6.14%
0.52%
78
1997/11/18
6.34%
6.08%
0.26%
144
1998/2/18
5.98%
5.69%
0.29%
210
1998/5/21
6.17%
5.99%
0.18%
13
1997/8/19
6.65%
6.15%
0.50%
79
1997/11/19
6.30%
6.07%
0.23%
145
1998/2/19
6.00%
5.71%
0.29%
211
1998/5/22
6.17%
5.99%
0.18%
14
1997/8/20
6.68%
6.19%
0.49%
80
1997/11/20
6.33%
6.10%
0.23%
146
1998/2/20
6.03%
5.71%
0.32%
212
1998/5/25
6.17%
5.99%
0.18%
15
1997/8/21
6.76%
6.24%
0.52%
81
1997/11/21
6.29%
6.04%
0.25%
147
1998/2/23
6.06%
5.74%
0.32%
213
1998/5/26
6.10%
5.93%
0.17%
16
1997/8/22
6.79%
6.25%
0.54%
82
1997/11/24
6.32%
6.06%
0.26%
148
1998/2/24
6.13%
5.86%
0.27%
214
1998/5/27
6.12%
5.93%
0.19%
17
1997/8/25
6.82%
6.27%
0.55%
83
1997/11/25
6.30%
6.07%
0.23%
149
1998/2/25
6.09%
5.82%
0.27%
215
1998/5/28
6.11%
5.94%
0.17%
18
1997/8/26
6.77%
6.25%
0.52%
84
1997/11/26
6.31%
6.09%
0.22%
150
1998/2/26
6.13%
5.88%
0.25%
216
1998/5/29
6.09%
5.92%
0.17%
19
1997/8/27
6.79%
6.27%
0.52%
85
1997/11/27
6.31%
6.09%
0.22%
151
1998/2/27
6.11%
5.86%
0.25%
217
1998/6/1
6.07%
5.87%
0.20%
20
1997/8/28
6.73%
6.22%
0.51%
86
1997/11/28
6.33%
6.11%
0.22%
152
1998/3/2
6.18%
5.88%
0.30%
218
1998/6/2
6.08%
5.89%
0.19%
21
1997/8/29
6.77%
6.26%
0.51%
87
1997/12/1
6.31%
6.14%
0.17%
153
1998/3/3
6.26%
5.94%
0.32%
219
1998/6/3
6.08%
5.90%
0.18%
22
1997/9/1
6.77%
6.26%
0.51%
88
1997/12/2
6.31%
6.11%
0.20%
154
1998/3/4
6.21%
5.90%
0.31%
220
1998/6/4
6.13%
5.93%
0.20%
23
1997/9/2
6.71%
6.21%
0.50%
89
1997/12/3
6.28%
6.06%
0.22%
155
1998/3/5
6.26%
5.93%
0.33%
221
1998/6/5
6.11%
5.94%
0.17%
24
1997/9/3
6.75%
6.26%
0.49%
90
1997/12/4
6.29%
6.05%
0.24%
156
1998/3/6
6.19%
5.88%
0.31%
222
1998/6/8
6.10%
5.94%
0.16%
25
1997/9/4
6.76%
6.26%
0.50%
91
1997/12/5
6.36%
6.16%
0.20%
157
1998/3/9
6.14%
5.87%
0.27%
223
1998/6/9
6.12%
5.95%
0.17%
26
1997/9/5
6.77%
6.26%
0.51%
92
1997/12/8
6.41%
6.20%
0.21%
158
1998/3/10
6.14%
5.86%
0.28%
224
1998/6/10
6.05%
5.91%
0.14%
27
1997/9/8
6.74%
6.26%
0.48%
93
1997/12/9
6.38%
6.16%
0.22%
159
1998/3/11
6.13%
5.87%
0.26%
225
1998/6/11
5.99%
5.82%
0.17%
28
1997/9/9
6.75%
6.26%
0.49%
94
1997/12/10
6.34%
6.11%
0.23%
160
1998/3/12
6.07%
5.82%
0.25%
226
1998/6/12
5.98%
5.82%
0.16%
29
1997/9/10
6.78%
6.29%
0.49%
95
1997/12/11
6.27%
6.05%
0.22%
161
1998/3/13
6.09%
5.84%
0.25%
227
1998/6/15
5.93%
5.77%
0.16%
30
1997/9/11
6.81%
6.31%
0.50%
96
1997/12/12
6.20%
5.99%
0.21%
162
1998/3/16
6.05%
5.82%
0.23%
228
1998/6/16
6.00%
5.86%
0.14%
31
1997/9/12
6.70%
6.22%
0.48%
97
1997/12/15
6.26%
6.04%
0.22%
163
1998/3/17
6.08%
5.86%
0.22%
229
1998/6/17
6.08%
5.90%
0.18%
32
1997/9/15
6.71%
6.22%
0.49%
98
1997/12/16
6.24%
6.04%
0.20%
164
1998/3/18
6.07%
5.84%
0.23%
230
1998/6/18
6.06%
5.88%
0.18%
33
1997/9/16
6.52%
6.11%
0.41%
99
1997/12/17
6.27%
6.08%
0.19%
165
1998/3/19
6.08%
5.85%
0.23%
231
1998/6/19
6.02%
5.86%
0.16%
34
1997/9/17
6.53%
6.10%
0.43%
100
1997/12/18
6.21%
6.04%
0.17%
166
1998/3/20
6.06%
5.86%
0.20%
232
1998/6/22
6.02%
5.88%
0.14%
35
1997/9/18
6.56%
6.14%
0.42%
101
1997/12/19
6.20%
6.02%
0.18%
167
1998/3/23
6.07%
5.87%
0.20%
233
1998/6/23
6.01%
5.87%
0.14%
36
1997/9/19
6.53%
6.12%
0.41%
102
1997/12/22
6.19%
6.03%
0.16%
168
1998/3/24
6.08%
5.87%
0.21%
234
1998/6/24
6.02%
5.87%
0.15%
37
1997/9/22
6.50%
6.11%
0.39%
103
1997/12/23
6.19%
6.01%
0.18%
169
1998/3/25
6.15%
5.93%
0.22%
235
1998/6/25
6.02%
5.88%
0.14%
38
1997/9/23
6.52%
6.14%
0.38%
104
1997/12/24
6.23%
6.05%
0.18%
170
1998/3/26
6.19%
5.98%
0.21%
236
1998/6/26
6.01%
5.87%
0.14%
39
1997/9/24
6.48%
6.10%
0.38%
105
1997/12/25
6.23%
6.04%
0.19%
171
1998/3/27
6.20%
6.00%
0.20%
237
1998/6/29
6.02%
5.88%
0.14%
40
1997/9/25
6.56%
6.18%
0.38%
106
1997/12/26
6.23%
6.04%
0.19%
172
1998/3/30
6.22%
5.99%
0.23%
238
1998/6/30
6.00%
5.84%
0.16%
41
1997/9/26
6.54%
6.15%
0.39%
107
1997/12/29
6.25%
6.05%
0.20%
173
1998/3/31
6.17%
5.95%
0.22%
239
1998/7/1
5.99%
5.85%
0.14%
42
1997/9/29
6.54%
6.15%
0.39%
108
1997/12/30
6.27%
6.04%
0.23%
174
1998/4/1
6.10%
5.94%
0.16%
240
1998/7/2
5.97%
5.82%
0.15%
43
1997/9/30
6.55%
6.15%
0.40%
109
1997/12/31
6.22%
6.01%
0.21%
175
1998/4/2
6.08%
5.90%
0.18%
241
1998/7/3
5.97%
5.82%
0.15%
44
1997/10/1
6.49%
6.12%
0.37%
110
1998/1/1
6.22%
6.00%
0.22%
176
1998/4/3
6.01%
5.82%
0.19%
242
1998/7/6
5.96%
5.81%
0.15%
45
1997/10/2
6.46%
6.09%
0.37%
111
1998/1/2
6.12%
5.93%
0.19%
177
1998/4/6
6.04%
5.83%
0.21%
243
1998/7/7
5.99%
5.82%
0.17%
46
1997/10/3
6.44%
6.04%
0.40%
112
1998/1/5
6.01%
5.92%
0.09%
178
1998/4/7
6.06%
5.84%
0.22%
244
1998/7/8
5.99%
5.83%
0.16%
47
1997/10/6
6.42%
6.01%
0.41%
113
1998/1/6
5.96%
5.75%
0.21%
179
1998/4/8
6.11%
5.86%
0.25%
245
1998/7/9
5.96%
5.80%
0.16%
48
1997/10/7
6.38%
5.98%
0.40%
114
1998/1/7
6.01%
5.79%
0.22%
180
1998/4/9
6.10%
5.87%
0.23%
246
1998/7/10
5.97%
5.79%
0.18%
49
1997/10/8
6.55%
6.10%
0.45%
115
1998/1/8
5.98%
5.68%
0.30%
181
1998/4/10
6.10%
5.87%
0.23%
247
1998/7/13
6.04%
5.84%
0.20%
50
1997/10/9
6.54%
6.10%
0.44%
116
1998/1/9
5.94%
5.57%
0.37%
182
1998/4/13
6.17%
5.94%
0.23%
248
1998/7/14
6.05%
5.84%
0.21%
51
1997/10/10
6.60%
6.18%
0.42%
117
1998/1/12
5.90%
5.56%
0.34%
183
1998/4/14
6.12%
5.93%
0.19%
249
1998/7/15
6.05%
5.83%
0.22%
52
1997/10/13
6.61%
6.18%
0.43%
118
1998/1/13
5.95%
5.65%
0.30%
184
1998/4/15
6.10%
5.92%
0.18%
250
1998/7/16
6.06%
5.84%
0.22%
53
1997/10/14
6.54%
6.14%
0.40%
119
1998/1/14
5.96%
5.65%
0.31%
185
1998/4/16
6.09%
5.89%
0.20%
251
1998/7/17
6.07%
5.84%
0.23%
54
1997/10/15
6.58%
6.16%
0.42%
120
1998/1/15
5.97%
5.63%
0.34%
186
1998/4/17
6.10%
5.90%
0.20%
252
1998/7/20
6.03%
5.84%
0.19%
55
1997/10/16
6.57%
6.18%
0.39%
121
1998/1/16
6.03%
5.72%
0.31%
187
1998/4/20
6.16%
5.95%
0.21%
253
1998/7/21
6.00%
5.83%
0.17%
56
1997/10/17
6.64%
6.26%
0.38%
122
1998/1/19
6.03%
5.71%
0.32%
188
1998/4/21
6.17%
5.97%
0.20%
254
1998/7/22
6.02%
5.84%
0.18%
57
1997/10/20
6.62%
6.24%
0.38%
123
1998/1/20
6.07%
5.73%
0.34%
189
1998/4/22
6.17%
5.97%
0.20%
255
1998/7/23
6.00%
5.84%
0.16%
58
1997/10/21
6.61%
6.24%
0.37%
124
1998/1/21
6.03%
5.69%
0.34%
190
1998/4/23
6.19%
5.99%
0.20%
256
1998/7/24
6.02%
5.86%
0.16%
59
1997/10/22
6.60%
6.25%
0.35%
125
1998/1/22
6.06%
5.68%
0.38%
191
1998/4/24
6.15%
5.98%
0.17%
257
1998/7/27
6.03%
5.85%
0.18%
60
1997/10/23
6.49%
6.15%
0.34%
126
1998/1/23
6.18%
5.75%
0.43%
192
1998/4/27
6.26%
6.06%
0.20%
61
1997/10/24
6.47%
6.10%
0.37%
127
1998/1/26
6.11%
5.72%
0.39%
193
1998/4/28
6.30%
6.09%
0.21%
62
1997/10/27
6.50%
6.16%
0.34%
128
1998/1/27
6.16%
5.79%
0.37%
194
1998/4/29
6.30%
6.10%
0.20%
63
1997/10/28
6.50%
6.10%
0.40%
129
1998/1/28
6.16%
5.79%
0.37%
195
1998/4/30
6.17%
5.97%
0.20%
64
1997/10/29
6.40%
6.00%
0.40%
130
1998/1/29
6.04%
5.70%
0.34%
196
1998/5/1
6.16%
5.97%
0.19%
65
1997/10/30
6.35%
6.00%
0.35%
131
1998/1/30
5.99%
5.66%
0.33%
197
1998/5/4
6.16%
5.97%
0.19%
66
1997/10/31
6.37%
6.02%
0.35%
132
1998/2/2
6.05%
5.71%
0.34%
198
1998/5/5
6.21%
6.01%
0.20%
G
1
= 1 =257( )
g
1
= 1
d
Spread
1
0%~0.5% ( ) =245( )
( )
××+=
××+= %10,%1,
257
245
%18.0%100%7,,
11
1
1
1111
MaxMinCapFloor
G
g
PortfolioPRAMaxMinR
(
)
[
]
%84.6%10,%1%,84.6
=
=
MaxMin
92 105
1 =10,000 ×6.84%=684
2 h=2
(
)
(
)
00.198.098.0
01
=<== BPMaxBPMax
R
2
= Min { Max[ (A
2
+ PR
2
× Portfolio
2
) ×
2
2
G
g
, Floor
2
] , Cap
2
}
2 (1998/7/28~1999/7/26)
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
1
1998/7/28
6.05%
5.85%
0.20%
67
1998/10/28
5.38%
4.60%
0.78%
133
1999/1/28
5.44%
5.11%
0.33%
199
1999/4/30
6.06%
5.51%
0.55%
2
1998/7/29
6.08%
5.90%
0.18%
68
1998/10/29
5.32%
4.59%
0.73%
134
1999/1/29
5.40%
5.13%
0.27%
200
1999/5/3
6.06%
5.52%
0.54%
3
1998/7/30
6.06%
5.89%
0.17%
69
1998/10/30
5.37%
4.70%
0.67%
135
1999/2/1
5.46%
5.15%
0.31%
201
1999/5/4
6.10%
5.54%
0.56%
4
1998/7/31
6.05%
5.88%
0.17%
70
1998/11/2
5.57%
4.84%
0.73%
136
1999/2/2
5.53%
5.21%
0.32%
202
1999/5/5
6.08%
5.54%
0.54%
5
1998/8/3
6.01%
5.85%
0.16%
71
1998/11/3
5.52%
4.80%
0.72%
137
1999/2/3
5.59%
5.22%
0.37%
203
1999/5/6
6.17%
5.60%
0.57%
6
1998/8/4
5.98%
5.80%
0.18%
72
1998/11/4
5.63%
4.96%
0.67%
138
1999/2/4
5.62%
5.26%
0.36%
204
1999/5/7
6.20%
5.59%
0.61%
7
1998/8/5
6.01%
5.83%
0.18%
73
1998/11/5
5.64%
5.03%
0.61%
139
1999/2/5
5.68%
5.31%
0.37%
205
1999/5/10
6.18%
5.55%
0.63%
8
1998/8/6
6.03%
5.82%
0.21%
74
1998/11/6
5.68%
5.12%
0.56%
140
1999/2/8
5.68%
5.30%
0.38%
206
1999/5/11
6.21%
5.58%
0.63%
9
1998/8/7
6.00%
5.78%
0.22%
75
1998/11/9
5.58%
5.09%
0.49%
141
1999/2/9
5.65%
5.26%
0.39%
207
1999/5/12
6.21%
5.57%
0.64%
10
1998/8/10
6.00%
5.78%
0.22%
76
1998/11/10
5.54%
5.03%
0.51%
142
1999/2/10
5.69%
5.25%
0.44%
208
1999/5/13
6.12%
5.51%
0.61%
11
1998/8/11
6.01%
5.76%
0.25%
77
1998/11/11
5.54%
5.03%
0.51%
143
1999/2/11
5.70%
5.32%
0.38%
209
1999/5/14
6.34%
5.68%
0.66%
12
1998/8/12
6.00%
5.75%
0.25%
78
1998/11/12
5.51%
5.02%
0.49%
144
1999/2/12
5.81%
5.34%
0.47%
210
1999/5/17
6.35%
5.69%
0.66%
13
1998/8/13
6.05%
5.80%
0.25%
79
1998/11/13
5.55%
5.05%
0.50%
145
1999/2/15
5.83%
5.39%
0.44%
211
1999/5/18
6.37%
5.75%
0.62%
14
1998/8/14
6.01%
5.74%
0.27%
80
1998/11/16
5.63%
5.10%
0.53%
146
1999/2/16
5.78%
5.37%
0.41%
212
1999/5/19
6.33%
5.76%
0.57%
15
1998/8/17
6.03%
5.75%
0.28%
81
1998/11/17
5.61%
5.07%
0.54%
147
1999/2/17
5.74%
5.36%
0.38%
213
1999/5/20
6.36%
5.76%
0.60%
16
1998/8/18
6.05%
5.76%
0.29%
82
1998/11/18
5.59%
5.04%
0.55%
148
1999/2/18
5.80%
5.37%
0.43%
214
1999/5/21
6.31%
5.72%
0.59%
17
1998/8/19
6.05%
5.77%
0.28%
83
1998/11/19
5.58%
5.11%
0.47%
149
1999/2/19
5.82%
5.41%
0.41%
215
1999/5/24
6.29%
5.73%
0.56%
18
1998/8/20
6.05%
5.76%
0.29%
84
1998/11/20
5.55%
5.12%
0.43%
150
1999/2/22
5.77%
5.42%
0.35%
216
1999/5/25
6.28%
5.72%
0.56%
19
1998/8/21
6.04%
5.68%
0.36%
85
1998/11/23
5.61%
5.19%
0.42%
151
1999/2/23
5.84%
5.47%
0.37%
217
1999/5/26
6.35%
5.80%
0.55%
20
1998/8/24
6.09%
5.69%
0.40%
86
1998/11/24
5.58%
5.20%
0.38%
152
1999/2/24
5.91%
5.55%
0.36%
218
1999/5/27
6.40%
5.86%
0.54%
21
1998/8/25
6.06%
5.66%
0.40%
87
1998/11/25
5.60%
5.21%
0.39%
153
1999/2/25
6.07%
5.66%
0.41%
219
1999/5/28
6.41%
5.86%
0.55%
22
1998/8/26
6.00%
5.62%
0.38%
88
1998/11/26
5.59%
5.20%
0.39%
154
1999/2/26
6.03%
5.64%
0.39%
220
1999/5/31
6.42%
5.86%
0.56%
23
1998/8/27
5.91%
5.52%
0.39%
89
1998/11/27
5.58%
5.17%
0.41%
155
1999/3/1
6.13%
5.68%
0.45%
221
1999/6/1
6.55%
5.99%
0.56%
24
1998/8/28
5.89%
5.48%
0.41%
90
1998/11/30
5.53%
5.07%
0.46%
156
1999/3/2
6.09%
5.68%
0.41%
222
1999/6/2
6.56%
5.99%
0.57%
25
1998/8/31
5.81%
5.36%
0.45%
91
1998/12/1
5.49%
5.05%
0.44%
157
1999/3/3
6.14%
5.66%
0.48%
223
1999/6/3
6.60%
5.99%
0.61%
26
1998/9/1
5.89%
5.46%
0.43%
92
1998/12/2
5.46%
5.00%
0.46%
158
1999/3/4
6.18%
5.69%
0.49%
224
1999/6/4
6.59%
6.00%
0.59%
27
1998/9/2
5.85%
5.47%
0.38%
93
1998/12/3
5.40%
4.91%
0.49%
159
1999/3/5
6.07%
5.59%
0.48%
225
1999/6/7
6.59%
6.01%
0.58%
28
1998/9/3
5.80%
5.45%
0.35%
94
1998/12/4
5.48%
5.04%
0.44%
160
1999/3/8
6.05%
5.60%
0.45%
226
1999/6/8
6.61%
6.01%
0.60%
29
1998/9/4
5.78%
5.43%
0.35%
95
1998/12/7
5.50%
5.10%
0.40%
161
1999/3/9
5.97%
5.49%
0.48%
227
1999/6/9
6.67%
6.06%
0.61%
30
1998/9/7
5.78%
5.43%
0.35%
96
1998/12/8
5.43%
5.03%
0.40%
162
1999/3/10
6.00%
5.54%
0.46%
228
1999/6/10
6.71%
6.09%
0.62%
31
1998/9/8
5.78%
5.41%
0.37%
97
1998/12/9
5.42%
5.02%
0.40%
163
1999/3/11
6.00%
5.53%
0.47%
229
1999/6/11
6.84%
6.15%
0.69%
32
1998/9/9
5.66%
5.26%
0.40%
98
1998/12/10
5.33%
4.97%
0.36%
164
1999/3/12
5.96%
5.49%
0.47%
230
1999/6/14
6.81%
6.11%
0.70%
33
1998/9/10
5.57%
5.15%
0.42%
99
1998/12/11
5.46%
5.03%
0.43%
165
1999/3/15
5.95%
5.47%
0.48%
231
1999/6/15
6.81%
6.12%
0.69%
34
1998/9/11
5.65%
5.19%
0.46%
100
1998/12/14
5.42%
4.98%
0.44%
166
1999/3/16
5.89%
5.44%
0.45%
232
1999/6/16
6.76%
6.04%
0.72%
35
1998/9/14
5.66%
5.22%
0.44%
101
1998/12/15
5.46%
5.02%
0.44%
167
1999/3/17
5.91%
5.45%
0.46%
233
1999/6/17
6.61%
5.93%
0.68%
36
1998/9/15
5.68%
5.24%
0.44%
102
1998/12/16
5.40%
4.92%
0.48%
168
1999/3/18
5.90%
5.44%
0.46%
234
1999/6/18
6.63%
5.98%
0.65%
37
1998/9/16
5.66%
5.24%
0.42%
103
1998/12/17
5.43%
5.01%
0.42%
169
1999/3/19
5.96%
5.49%
0.47%
235
1999/6/21
6.68%
6.02%
0.66%
38
1998/9/17
5.61%
5.18%
0.43%
104
1998/12/18
5.42%
5.01%
0.41%
170
1999/3/22
5.98%
5.51%
0.47%
236
1999/6/22
6.73%
6.05%
0.68%
39
1998/9/18
5.54%
5.17%
0.37%
105
1998/12/21
5.49%
5.08%
0.41%
171
1999/3/23
5.94%
5.45%
0.49%
237
1999/6/23
6.85%
6.14%
0.71%
40
1998/9/21
5.54%
5.16%
0.38%
106
1998/12/22
5.54%
5.11%
0.43%
172
1999/3/24
5.96%
5.46%
0.50%
238
1999/6/24
6.87%
6.14%
0.73%
41
1998/9/22
5.56%
5.16%
0.40%
107
1998/12/23
5.62%
5.24%
0.38%
173
1999/3/25
6.00%
5.49%
0.51%
239
1999/6/25
6.86%
6.16%
0.70%
42
1998/9/23
5.51%
5.05%
0.46%
108
1998/12/24
5.63%
5.26%
0.37%
174
1999/3/26
6.00%
5.47%
0.53%
240
1999/6/28
6.79%
6.10%
0.69%
43
1998/9/24
5.43%
4.95%
0.48%
109
1998/12/25
5.64%
5.27%
0.37%
175
1999/3/29
6.05%
5.47%
0.58%
241
1999/6/29
6.78%
6.14%
0.64%
44
1998/9/25
5.39%
4.93%
0.46%
110
1998/12/28
5.56%
5.21%
0.35%
176
1999/3/30
5.98%
5.42%
0.56%
242
1999/6/30
6.62%
5.99%
0.63%
45
1998/9/28
5.40%
4.95%
0.45%
111
1998/12/29
5.50%
5.16%
0.34%
177
1999/3/31
6.01%
5.43%
0.58%
243
1999/7/1
6.69%
6.04%
0.65%
46
1998/9/29
5.37%
4.95%
0.42%
112
1998/12/30
5.46%
5.12%
0.34%
178
1999/4/1
6.04%
5.46%
0.58%
244
1999/7/2
6.67%
6.05%
0.62%
47
1998/9/30
5.22%
4.79%
0.43%
113
1998/12/31
5.45%
5.11%
0.34%
179
1999/4/2
5.99%
5.43%
0.56%
245
1999/7/5
6.66%
6.04%
0.62%
48
1998/10/1
5.17%
4.73%
0.44%
114
1999/1/1
5.45%
5.13%
0.32%
180
1999/4/5
5.98%
5.42%
0.56%
246
1999/7/6
6.70%
6.07%
0.63%
49
1998/10/2
5.17%
4.75%
0.42%
115
1999/1/4
5.43%
5.10%
0.33%
181
1999/4/6
5.90%
5.37%
0.53%
247
1999/7/7
6.74%
6.08%
0.66%
50
1998/10/5
5.10%
4.64%
0.46%
116
1999/1/5
5.45%
5.16%
0.29%
182
1999/4/7
5.89%
5.38%
0.51%
248
1999/7/8
6.67%
6.04%
0.63%
51
1998/10/6
5.13%
4.68%
0.45%
117
1999/1/6
5.47%
5.10%
0.37%
183
1999/4/8
5.82%
5.35%
0.47%
249
1999/7/9
6.67%
6.07%
0.60%
52
1998/10/7
5.29%
4.77%
0.52%
118
1999/1/7
5.53%
5.16%
0.37%
184
1999/4/9
5.83%
5.35%
0.48%
250
1999/7/12
6.60%
6.01%
0.59%
53
1998/10/8
5.48%
4.82%
0.66%
119
1999/1/8
5.64%
5.25%
0.39%
185
1999/4/12
5.82%
5.37%
0.45%
251
1999/7/13
6.59%
6.01%
0.58%
54
1998/10/9
5.70%
4.92%
0.78%
120
1999/1/11
5.70%
5.31%
0.39%
186
1999/4/13
5.87%
5.38%
0.49%
252
1999/7/14
6.62%
6.05%
0.57%
55
1998/10/12
5.70%
4.91%
0.79%
121
1999/1/12
5.62%
5.21%
0.41%
187
1999/4/14
5.89%
5.40%
0.49%
253
1999/7/15
6.63%
6.07%
0.56%
56
1998/10/13
5.66%
4.82%
0.84%
122
1999/1/13
5.54%
5.13%
0.41%
188
1999/4/15
5.93%
5.42%
0.51%
254
1999/7/16
6.56%
6.00%
0.56%
57
1998/10/14
5.55%
4.82%
0.73%
123
1999/1/14
5.45%
5.05%
0.40%
189
1999/4/16
5.97%
5.47%
0.50%
255
1999/7/19
6.56%
5.99%
0.57%
58
1998/10/15
5.43%
4.71%
0.72%
124
1999/1/15
5.52%
5.10%
0.42%
190
1999/4/19
5.90%
5.41%
0.49%
256
1999/7/20
6.53%
5.94%
0.59%
59
1998/10/16
5.34%
4.56%
0.78%
125
1999/1/18
5.50%
5.10%
0.40%
191
1999/4/20
5.90%
5.42%
0.48%
257
1999/7/21
6.55%
5.93%
0.62%
60
1998/10/19
5.33%
4.55%
0.78%
126
1999/1/19
5.50%
5.05%
0.45%
192
1999/4/21
5.93%
5.44%
0.49%
258
1999/7/22
6.67%
6.04%
0.63%
61
1998/10/20
5.41%
4.61%
0.80%
127
1999/1/20
5.52%
5.16%
0.36%
193
1999/4/22
5.99%
5.49%
0.50%
259
1999/7/23
6.73%
6.12%
0.61%
62
1998/10/21
5.41%
4.65%
0.76%
128
1999/1/21
5.46%
5.10%
0.36%
194
1999/4/23
5.99%
5.48%
0.51%
260
1999/7/26
6.84%
6.16%
0.68%
93 105
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
63
1998/10/22
5.45%
4.67%
0.78%
129
1999/1/22
5.42%
5.06%
0.36%
195
1999/4/26
5.94%
5.46%
0.48%
64
1998/10/23
5.55%
4.70%
0.85%
130
1999/1/25
5.42%
5.09%
0.33%
196
1999/4/27
5.95%
5.44%
0.51%
65
1998/10/26
5.49%
4.67%
0.82%
131
1999/1/26
5.48%
5.11%
0.37%
197
1999/4/28
5.98%
5.47%
0.51%
66
1998/10/27
5.42%
4.62%
0.80%
132
1999/1/27
5.48%
5.09%
0.39%
198
1999/4/29
5.93%
5.41%
0.52%
G
2
= 2 =260( )
g
2
= 2
d
Spread
2
0%~0.75% ( ) =248( )
( )
××+=
××+= %10,%1,
260
248
%68.0%100%7,,
22
2
2
2222
MaxMinCapFloor
G
g
PortfolioPRAMaxMinR
(
)
[
]
%33.7%10,%1%,33.7
=
=
MaxMin
2 =10,000 ×7.33%=733
3 h=3
(
)
(
)
00.199.099.0,98.0,
021
=<== BPMaxBPBPMax
R
3
= Min { Max[ (A
3
+ PR
3
× Portfolio
3
) ×
3
3
G
g
, Floor
3
] , Cap
3
}
3 (1999/7/27~2000/7/25)
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
1
1999/7/27
6.80%
6.13%
0.67%
67
1999/10/27
7.08%
6.55%
0.53%
133
2000/1/27
7.42%
7.01%
0.41%
199
2000/4/28
7.40%
7.32%
0.08%
2
1999/7/28
6.77%
6.12%
0.65%
68
1999/10/28
6.99%
6.48%
0.51%
134
2000/1/28
7.45%
7.09%
0.36%
200
2000/5/1
7.46%
7.36%
0.10%
3
1999/7/29
6.86%
6.22%
0.64%
69
1999/10/29
6.86%
6.36%
0.50%
135
2000/1/31
7.51%
7.15%
0.36%
201
2000/5/2
7.50%
7.34%
0.16%
4
1999/7/30
6.90%
6.27%
0.63%
70
1999/11/1
6.92%
6.38%
0.54%
136
2000/2/1
7.44%
7.13%
0.31%
202
2000/5/3
7.65%
7.43%
0.22%
5
1999/8/2
6.94%
6.33%
0.61%
71
1999/11/2
6.89%
6.37%
0.52%
137
2000/2/2
7.46%
7.16%
0.30%
203
2000/5/4
7.71%
7.48%
0.23%
6
1999/8/3
6.99%
6.34%
0.65%
72
1999/11/3
6.86%
6.34%
0.52%
138
2000/2/3
7.38%
7.16%
0.22%
204
2000/5/5
7.81%
7.58%
0.23%
7
1999/8/4
6.98%
6.27%
0.71%
73
1999/11/4
6.81%
6.29%
0.52%
139
2000/2/4
7.46%
7.22%
0.24%
205
2000/5/8
7.85%
7.61%
0.24%
8
1999/8/5
6.89%
6.23%
0.66%
74
1999/11/5
6.75%
6.24%
0.51%
140
2000/2/7
7.51%
7.23%
0.28%
206
2000/5/9
7.81%
7.58%
0.23%
9
1999/8/6
7.09%
6.41%
0.68%
75
1999/11/8
6.76%
6.23%
0.53%
141
2000/2/8
7.45%
7.21%
0.24%
207
2000/5/10
7.76%
7.52%
0.24%
10
1999/8/9
7.20%
6.49%
0.71%
76
1999/11/9
6.78%
6.25%
0.53%
142
2000/2/9
7.51%
7.19%
0.32%
208
2000/5/11
7.72%
7.52%
0.20%
11
1999/8/10
7.22%
6.52%
0.70%
77
1999/11/10
6.82%
6.33%
0.49%
143
2000/2/10
7.61%
7.19%
0.42%
209
2000/5/12
7.85%
7.64%
0.21%
12
1999/8/11
7.16%
6.47%
0.69%
78
1999/11/11
6.72%
6.32%
0.40%
144
2000/2/11
7.53%
7.14%
0.39%
210
2000/5/15
7.82%
7.61%
0.21%
13
1999/8/12
7.15%
6.43%
0.72%
79
1999/11/12
6.71%
6.28%
0.43%
145
2000/2/14
7.51%
7.15%
0.36%
211
2000/5/16
7.74%
7.62%
0.12%
14
1999/8/13
7.03%
6.37%
0.66%
80
1999/11/15
6.73%
6.28%
0.45%
146
2000/2/15
7.53%
7.16%
0.37%
212
2000/5/17
7.82%
7.67%
0.15%
15
1999/8/16
6.96%
6.34%
0.62%
81
1999/11/16
6.74%
6.34%
0.40%
147
2000/2/16
7.55%
7.17%
0.38%
213
2000/5/18
7.87%
7.66%
0.21%
16
1999/8/17
6.85%
6.27%
0.58%
82
1999/11/17
6.81%
6.38%
0.43%
148
2000/2/17
7.56%
7.23%
0.33%
214
2000/5/19
7.82%
7.61%
0.21%
17
1999/8/18
6.85%
6.22%
0.63%
83
1999/11/18
6.83%
6.40%
0.43%
149
2000/2/18
7.51%
7.22%
0.29%
215
2000/5/22
7.77%
7.58%
0.19%
18
1999/8/19
6.85%
6.24%
0.61%
84
1999/11/19
6.86%
6.39%
0.47%
150
2000/2/21
7.51%
7.22%
0.29%
216
2000/5/23
7.77%
7.60%
0.17%
19
1999/8/20
6.92%
6.23%
0.69%
85
1999/11/22
6.81%
6.37%
0.44%
151
2000/2/22
7.40%
7.13%
0.27%
217
2000/5/24
7.76%
7.60%
0.16%
20
1999/8/23
6.94%
6.24%
0.70%
86
1999/11/23
6.80%
6.35%
0.45%
152
2000/2/23
7.45%
7.16%
0.29%
218
2000/5/25
7.70%
7.56%
0.14%
21
1999/8/24
6.84%
6.20%
0.64%
87
1999/11/24
6.89%
6.48%
0.41%
153
2000/2/24
7.40%
7.10%
0.30%
219
2000/5/26
7.64%
7.52%
0.12%
22
1999/8/25
6.74%
6.13%
0.61%
88
1999/11/25
6.89%
6.48%
0.41%
154
2000/2/25
7.38%
6.97%
0.41%
220
2000/5/29
7.64%
7.53%
0.11%
23
1999/8/26
6.76%
6.18%
0.58%
89
1999/11/26
6.93%
6.51%
0.42%
155
2000/2/28
7.45%
7.07%
0.38%
221
2000/5/30
7.71%
7.61%
0.10%
24
1999/8/27
6.88%
6.26%
0.62%
90
1999/11/29
7.02%
6.50%
0.52%
156
2000/2/29
7.42%
7.07%
0.35%
222
2000/5/31
7.63%
7.54%
0.09%
25
1999/8/30
6.97%
6.33%
0.64%
91
1999/11/30
6.99%
6.47%
0.52%
157
2000/3/1
7.40%
7.06%
0.34%
223
2000/6/1
7.49%
7.46%
0.03%
26
1999/8/31
6.99%
6.37%
0.62%
92
1999/12/1
6.90%
6.55%
0.35%
158
2000/3/2
7.39%
7.05%
0.34%
224
2000/6/2
7.41%
7.35%
0.06%
27
1999/9/1
7.02%
6.36%
0.66%
93
1999/12/2
7.04%
6.60%
0.44%
159
2000/3/3
7.37%
7.04%
0.33%
225
2000/6/5
7.31%
7.28%
0.03%
28
1999/9/2
7.09%
6.38%
0.71%
94
1999/12/3
6.87%
6.54%
0.33%
160
2000/3/6
7.37%
7.06%
0.31%
226
2000/6/6
7.33%
7.28%
0.05%
29
1999/9/3
6.96%
6.27%
0.69%
95
1999/12/6
6.93%
6.44%
0.49%
161
2000/3/7
7.39%
7.05%
0.34%
227
2000/6/7
7.40%
7.35%
0.05%
30
1999/9/6
6.97%
6.28%
0.69%
96
1999/12/7
6.90%
6.51%
0.39%
162
2000/3/8
7.40%
7.06%
0.34%
228
2000/6/8
7.41%
7.37%
0.04%
31
1999/9/7
7.03%
6.34%
0.69%
97
1999/12/8
6.94%
6.53%
0.41%
163
2000/3/9
7.38%
7.06%
0.32%
229
2000/6/9
7.40%
7.36%
0.04%
32
1999/9/8
6.97%
6.30%
0.67%
98
1999/12/9
6.93%
6.51%
0.42%
164
2000/3/10
7.43%
7.11%
0.32%
230
2000/6/12
7.33%
7.30%
0.03%
33
1999/9/9
6.99%
6.32%
0.67%
99
1999/12/10
6.88%
6.48%
0.40%
165
2000/3/13
7.44%
7.10%
0.34%
231
2000/6/13
7.34%
7.27%
0.07%
34
1999/9/10
6.89%
6.26%
0.63%
100
1999/12/13
6.93%
6.52%
0.41%
166
2000/3/14
7.40%
7.08%
0.32%
232
2000/6/14
7.28%
7.18%
0.10%
35
1999/9/13
6.90%
6.22%
0.68%
101
1999/12/14
7.04%
6.62%
0.42%
167
2000/3/15
7.41%
7.10%
0.31%
233
2000/6/15
7.25%
7.24%
0.01%
36
1999/9/14
6.92%
6.28%
0.64%
102
1999/12/15
7.07%
6.64%
0.43%
168
2000/3/16
7.35%
7.10%
0.25%
234
2000/6/16
7.17%
7.14%
0.03%
37
1999/9/15
6.81%
6.13%
0.68%
103
1999/12/16
7.14%
6.72%
0.42%
169
2000/3/17
7.28%
7.08%
0.20%
235
2000/6/19
7.19%
7.18%
0.01%
38
1999/9/16
6.81%
6.19%
0.62%
104
1999/12/17
7.14%
6.73%
0.41%
170
2000/3/20
7.30%
7.09%
0.21%
236
2000/6/20
7.26%
7.25%
0.01%
39
1999/9/17
6.80%
6.17%
0.63%
105
1999/12/20
7.19%
6.78%
0.41%
171
2000/3/21
7.27%
7.08%
0.19%
237
2000/6/21
7.35%
7.29%
0.06%
40
1999/9/20
6.85%
6.23%
0.62%
106
1999/12/21
7.21%
6.80%
0.41%
172
2000/3/22
7.31%
7.08%
0.23%
238
2000/6/22
7.36%
7.27%
0.09%
41
1999/9/21
6.87%
6.22%
0.65%
107
1999/12/22
7.19%
6.78%
0.41%
173
2000/3/23
7.25%
7.10%
0.15%
239
2000/6/23
7.40%
7.30%
0.10%
42
1999/9/22
6.85%
6.20%
0.65%
108
1999/12/23
7.22%
6.80%
0.42%
174
2000/3/24
7.35%
7.23%
0.12%
240
2000/6/26
7.33%
7.27%
0.06%
43
1999/9/23
6.73%
6.13%
0.60%
109
1999/12/24
7.22%
6.80%
0.42%
175
2000/3/27
7.36%
7.25%
0.11%
241
2000/6/27
7.31%
7.25%
0.06%
44
1999/9/24
6.72%
6.11%
0.61%
110
1999/12/27
7.20%
6.77%
0.43%
176
2000/3/28
7.38%
7.23%
0.15%
242
2000/6/28
7.33%
7.23%
0.10%
94 105
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
45
1999/9/27
6.75%
6.14%
0.61%
111
1999/12/28
7.21%
6.79%
0.42%
177
2000/3/29
7.41%
7.23%
0.18%
243
2000/6/29
7.27%
7.19%
0.08%
46
1999/9/28
6.84%
6.19%
0.65%
112
1999/12/29
7.18%
6.76%
0.42%
178
2000/3/30
7.36%
7.16%
0.20%
244
2000/6/30
7.26%
7.21%
0.05%
47
1999/9/29
6.93%
6.22%
0.71%
113
1999/12/30
7.17%
6.75%
0.42%
179
2000/3/31
7.27%
7.16%
0.11%
245
2000/7/3
7.21%
7.15%
0.06%
48
1999/9/30
6.85%
6.20%
0.65%
114
1999/12/31
7.17%
6.77%
0.40%
180
2000/4/3
7.23%
7.11%
0.12%
246
2000/7/4
7.21%
7.11%
0.10%
49
1999/10/1
6.92%
6.31%
0.61%
115
2000/1/3
7.36%
6.92%
0.44%
181
2000/4/4
7.17%
6.99%
0.18%
247
2000/7/5
7.15%
7.09%
0.06%
50
1999/10/4
6.87%
6.29%
0.58%
116
2000/1/4
7.29%
6.86%
0.43%
182
2000/4/5
7.17%
7.00%
0.17%
248
2000/7/6
7.22%
7.15%
0.07%
51
1999/10/5
6.97%
6.36%
0.61%
117
2000/1/5
7.37%
6.91%
0.46%
183
2000/4/6
7.20%
7.06%
0.14%
249
2000/7/7
7.17%
7.05%
0.12%
52
1999/10/6
6.95%
6.43%
0.52%
118
2000/1/6
7.32%
6.86%
0.46%
184
2000/4/7
7.14%
7.03%
0.11%
250
2000/7/10
7.20%
7.10%
0.10%
53
1999/10/7
6.95%
6.43%
0.52%
119
2000/1/7
7.27%
6.85%
0.42%
185
2000/4/10
7.15%
6.98%
0.17%
251
2000/7/11
7.23%
7.09%
0.14%
54
1999/10/8
6.94%
6.41%
0.53%
120
2000/1/10
7.31%
6.89%
0.42%
186
2000/4/11
7.21%
7.02%
0.19%
252
2000/7/12
7.25%
7.13%
0.12%
55
1999/10/11
6.94%
6.41%
0.53%
121
2000/1/11
7.43%
6.96%
0.47%
187
2000/4/12
7.24%
7.04%
0.20%
253
2000/7/13
7.17%
7.07%
0.10%
56
1999/10/12
6.83%
6.39%
0.44%
122
2000/1/12
7.46%
6.99%
0.47%
188
2000/4/13
7.20%
7.02%
0.18%
254
2000/7/14
7.28%
7.19%
0.09%
57
1999/10/13
6.98%
6.44%
0.54%
123
2000/1/13
7.40%
6.93%
0.47%
189
2000/4/14
7.19%
7.04%
0.15%
255
2000/7/17
7.35%
7.22%
0.13%
58
1999/10/14
7.04%
6.54%
0.50%
124
2000/1/14
7.43%
6.95%
0.48%
190
2000/4/17
7.25%
7.03%
0.22%
256
2000/7/18
7.35%
7.20%
0.15%
59
1999/10/15
6.98%
6.39%
0.59%
125
2000/1/17
7.43%
6.95%
0.48%
191
2000/4/18
7.23%
6.99%
0.24%
257
2000/7/19
7.39%
7.25%
0.14%
60
1999/10/18
7.06%
6.53%
0.53%
126
2000/1/18
7.50%
6.99%
0.51%
192
2000/4/19
7.19%
7.03%
0.16%
258
2000/7/20
7.20%
7.09%
0.11%
61
1999/10/19
7.07%
6.47%
0.60%
127
2000/1/19
7.49%
6.98%
0.51%
193
2000/4/20
7.20%
7.02%
0.18%
259
2000/7/21
7.20%
7.07%
0.13%
62
1999/10/20
7.06%
6.46%
0.60%
128
2000/1/20
7.52%
7.00%
0.52%
194
2000/4/21
7.21%
7.03%
0.18%
260
2000/7/24
7.24%
7.10%
0.14%
63
1999/10/21
7.00%
6.54%
0.46%
129
2000/1/21
7.48%
6.95%
0.53%
195
2000/4/24
7.24%
7.06%
0.18%
261
2000/7/25
7.23%
7.07%
0.16%
64
1999/10/22
7.07%
6.51%
0.56%
130
2000/1/24
7.40%
6.91%
0.49%
196
2000/4/25
7.32%
7.14%
0.18%
65
1999/10/25
7.10%
6.54%
0.56%
131
2000/1/25
7.39%
6.93%
0.46%
197
2000/4/26
7.33%
7.14%
0.19%
66
1999/10/26
7.10%
6.49%
0.61%
132
2000/1/26
7.37%
6.94%
0.43%
198
2000/4/27
7.42%
7.26%
0.16%
G
3
= 3 =261( )
g
3
= 3
d
Spread
3
0%~1.00% ( )
= 261( )
( )
××+=
××+= %10,%1,
261
261
%16.0%100%7,,
33
3
3
3333
MaxMinCapFloor
G
g
PortfolioPRAMaxMinR
(
)
[
]
%16.7%10,%1%,16.7 == MaxMin
3 =10,000 ×7.16%=716
4 h=4,5,6
(
)
(
)
00.101.101.1,99.0,98.0,,
0321
=
≥
=
=
BPMaxBPBPBPMax
R
4+j
= F = 2 12 Libor j = 0,1,2
R
4
= 4 2 12 Libor = 7.04% 4
= 10,000 × 7.04% = 704
R
5
= 5 2 12 Libor = 3.84% 5
= 10,000 × 3.84% = 384
R
6
= 6 2 12 Libor = 2.07% 6
= 10,000 × 2.07% = 207
= = 10,000
95 105
= ×[1 + Max ( ×
)]
∑
=
×=
T
h
hh
Returnw
1
Return
h
h
h
d
Basket
(
)
1..,,.........,,
321
−=
h
G
hhh
h
BasketBasketBasketBasketMax
0
,
1
n
dh
n
N
n
h
n
h
d
Underlying
Underlying
WBasket ×=
∑
=
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1
2 3 6 12
h
t
mi
3 t
mi
=3,M
i
=4 2002/1/15
2002/1/15 2002/4/15 2002/4/15
2002/7/15
w
h
h
h
n
W
n h
1
1
=
∑
=
N
n
h
n
W
Return
h
h
G
h
h
N
0
n
Underlying
n
dh
n
Underlying
,
n h d
1. 1998 6 30 6 H = 6 10,000
2. 3 t
mi
= 3 M
i
= 12 / t
mi
= 12 / 3 = 4 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
4
i
= 24
3.
3 N =3 3
3/1
321
===
hhh
WWW
4. w
1
= w
2
= … w
24
=1/24
96 105
5.
65% 6 23%
6.
S&P500
DJ EUROSTOXX50
TOPIX
Basket
1998/6/30
1133.84 3406.82 1230.38
1998/7/1 1148.56 3464.96 1270.75 102.10%
1998/7/2 1146.42 3471.65 1270.46 102.09%
1998/7/6 1157.31 3518.79 1258.45 102.55%
1998/7/7 1154.66 3530.93 1264.81 102.76%
1998/7/8 1166.37 3553.07 1268.4 103.42%
1998/7/9 1158.56 3542.2 1262.28 102.92%
1998/7/10
1164.33 3532.65 1241.5 102.43%
1998/7/13
1165.19 3551.74 1256.44 103.05%
1998/7/14
1177.58 3576.68 1266.65 103.93%
1998/7/15
1174.81 3602.83 1275.31 104.34%
1998/7/16
1183.99 3613.4 1280.73 104.86%
1998/7/17
1186.75 3658.48 1277.95 105.31%
1998/7/21
1165.07 3649.96 1277.17 104.56%
1998/7/22
1164.08 3582.12 1257.85 103.35%
1998/7/23
1139.75 3582.16 1249.87 102.42%
1998/7/24
1140.8 3570.67 1258.01 102.56%
1998/7/27
1147.27 3512.62 1233.98 101.53%
1998/7/28
1130.24 3499.87 1242.22 101.13%
1998/7/29
1125.21 3494.53 1240.7 100.88%
1998/7/30
1142.95 3529.5 1248.19 101.95%
1998/7/31
1120.67 3480.63 1262.04 101.19%
1998/8/3 1112.44 3422.75 1245.24 99.93%
1998/8/4 1072.12 3412.66 1234.61 98.36%
1998/8/5 1081.43 3344.15 1235.78 97.99%
1998/8/6 1089.63 3290.5 1227.09 97.47%
1998/8/7 1089.45 3348.61 1225.3 97.99%
1998/8/10
1083.14 3282.7 1207.09 96.66%
1998/8/11
1068.98 3187.44 1186.88 94.77%
1998/8/12
1084.22 3248.14 1180 95.62%
1998/8/13
1074.91 3240.83 1181.71 95.32%
1998/8/14
1062.75 3284.47 1168.8 95.04%
1998/8/17
1083.67 3277.21 1152.03 95.13%
1998/8/18
1101.2 3389.88 1166.72 97.15%
1998/8/19
1098.06 3400.07 1183.71 97.62%
1998/8/20
1091.6 3349.23 1181.67 96.88%
1998/8/21
1081.18 3209.05 1176.51 95.06%
1998/8/24
1088.14 3202.96 1158.3 94.71%
1998/8/25
1092.86 3282.91 1162.58 95.75%
1998/8/26
1084.19 3186.77 1147.21 94.13%
1998/8/27
1042.59 3063.83 1116.97 90.89%
1998/8/28
1027.14 3009.74 1086.99 89.09%
1998/8/31
957.28 2978.12 1106.49 87.26%
1998/9/1 994.24 2950.01 1110.15 88.17%
1998/9/2 990.47 3035.73 1118.76 89.13%
1998/9/3 982.26 2971.38 1113.77 88.12%
1998/9/4 973.89 3003.66 1094.47 87.67%
1998/9/8 1023.46 3105.31 1131.01 91.11%
1998/9/9 1006.2 3051.49 1116.01 89.67%
1998/9/10
980.19 2903.71 1109.91 87.30%
1998/9/11
1009.06 2890.98 1071.48 86.98%
1998/9/14
1029.72 2968.55 1084.16 88.69%
1998/9/16
1045.48 2971.83 1087.5 89.28%
1998/9/17
1018.87 2826.22 1069.06 86.57%
1998/9/18
1020.09 2781.69 1073.22 86.28%
1998/9/21
1023.89 2658.27 1047.79 84.50%
1998/9/22
1029.63 2726.32 1050.17 85.40%
1998/9/24
1042.72 2789.07 1078.01 87.15%
1998/9/25
1044.75 2743.04 1049.93 86.00%
1998/9/28
1048.69 2785.63 1063.52 86.90%
1998/9/29
1049.02 2760.26 1062.9 86.64%
1998/9/30
1017.01 2670.97 1043.57 84.30%
Basket 105.31%
Basket
1998/7/1
1
1
Basket
102.10%
1230.38
1270.75
3406.82
3464.96
1133.84
1148.56
3
1
=
++×
1998/7/2
1
2
Basket
102.09%
1230.38
1270.46
3406.82
3471.65
1133.84
1146.42
3
1
=
++×
…
…
…
1998/9/30
1
G1
Basket
84.30%
1230.38
1043.57
3406.82
2670.97
1133.84
1017.01
3
1
=
++×
Return
1
=Max (102.10%,102.09%,…,84.30%)-1
=105.31%-1
=5.31%
97 105
S&P500
DJ EUROSTOXX50
TOPIX
Basket
1998/6/30
1133.84 3406.82 1230.38
1998/10/1
986.39 2533.07 1015.72 81.30%
1998/10/2
1002.6 2488.59 1014.02 81.30%
1998/10/5
988.56 2445.89 996.69 80.00%
1998/10/6
984.59 2586.69 996.95 81.26%
1998/10/7
970.68 2541.08 1046.98 81.76%
1998/10/8
959.44 2419.23 1001.5 79.01%
1998/10/9
984.39 2469.87 982.5 79.72%
1998/10/12
997.71 2628.44 1023.34 82.77%
1998/10/13
994.8 2674.13 998.98 82.47%
1998/10/14
1005.53 2742.95 984.18 83.06%
1998/10/15
1047.49 2741.34 980.11 84.17%
1998/10/16
1056.42 2780.89 1006.68 85.54%
1998/10/19
1062.39 2779.79 1022.92 86.14%
1998/10/20
1063.93 2863.89 1043.02 87.56%
1998/10/21
1069.92 2818.18 1071.83 88.07%
1998/10/22
1078.48 2797.33 1074.29 88.18%
1998/10/23
1070.67 2806.22 1068.15 87.87%
1998/10/26
1072.32 2829.55 1048.74 87.62%
1998/10/27
1065.34 2910.1 1042.98 88.05%
1998/10/28
1068.09 2845.3 1028.61 87.11%
1998/10/29
1085.93 2832.82 1037.1 87.74%
1998/10/30
1098.67 2887.11 1035.6 88.60%
1998/11/2
1111.6 2952.04 1065.84 90.44%
1998/11/4
1118.67 3030.34 1107.36 92.54%
1998/11/5
1133.85 2975.7 1104.57 92.37%
1998/11/6
1141.01 2972.25 1089.47 92.14%
1998/11/9
1130.2 2957.79 1084.16 91.54%
1998/11/10
1128.26 2918.94 1078.32 90.94%
1998/11/11
1120.97 2935.14 1098.12 91.42%
1998/11/12
1117.69 2929.19 1082.93 90.86%
1998/11/13
1125.72 2924.97 1093.52 91.34%
1998/11/16
1135.86 3000.97 1105.5 92.71%
1998/11/17
1139.32 2982.07 1107.65 92.68%
1998/11/18
1144.48 2974.98 1113.42 92.92%
1998/11/19
1152.61 3049.68 1104 93.63%
1998/11/20
1163.55 3133.49 1130.74 95.50%
1998/11/24
1182.99 3163.88 1155.61 97.04%
1998/11/25
1186.87 3167.24 1153.68 97.14%
1998/11/27
1192.29 3261.19 1158.35 98.34%
1998/11/30
1163.63 3179.09 1143.5 96.29%
1998/12/1
1175.28 3056.11 1142.26 95.40%
1998/12/2
1171.25 3017.89 1147.15 95.04%
1998/12/3
1150.14 3064.55 1128.89 94.38%
1998/12/4
1176.74 3079.64 1120.72 95.09%
1998/12/7
1187.7 3095.55 1125 95.68%
1998/12/8
1181.38 3102.99 1131.99 95.76%
1998/12/9
1183.49 3111.96 1140.74 96.15%
1998/12/10
1165.02 3106.59 1139.78 95.52%
1998/12/11
1166.46 3048.92 1118.16 94.42%
1998/12/14
1141.2 3045.14 1100.31 93.15%
1998/12/15
1162.83 3069.72 1089.27 93.73%
1998/12/16
1161.94 3114.53 1093.39 94.25%
1998/12/17
1179.98 3148.97 1092.26 95.09%
1998/12/18
1188.03 3123.38 1101.7 95.33%
1998/12/21
1202.84 3225.6 1099.12 96.70%
1998/12/22
1203.57 3248.07 1082.46 96.49%
1998/12/28
1225.49 3331.51 1079.89 97.88%
1998/12/29
1241.81 3354.71 1088.83 98.83%
1998/12/30
1231.93 3342.32 1086.99 98.37%
Basket 98.83%
Basket
1998/10/1
2
1
Basket
81.30%
1230.38
1015.72
3406.82
2533.07
1133.84
986.39
3
1
=
++×
1998/10/2
2
2
Basket
81.30%
1230.38
1014.02
3406.82
2488.59
1133.84
1002.6
3
1
=
++×
…
…
…
1998/12/30
2
G2
Basket
%37.89
1230.38
1086.99
3406.82
3342.32
1133.84
1231.93
3
1
=
++×
Return
2
=Max (81.30%,81.30%,…,98.37%)-1
=98.83%-1
=-1.17%
98 105
S&P500 DJ EUROSTOXX50
TOPIX
Basket
1998/6/30 1133.84 3406.82 1230.38
2004/3/31 1126.21 2787.49 1179.23 92.33%
2004/4/1 1132.17 2819.7 1175.01 92.71%
2004/4/2 1141.81 2885.08 1184.2 93.88%
2004/4/5 1150.57 2905.88 1199.24 94.75%
2004/4/6 1148.16 2865.03 1209.44 94.55%
2004/4/7 1140.53 2851.83 1204.81 94.07%
2004/4/8 1139.32 2858.92 1209.89 94.25%
2004/4/13 1129.44 2889.91 1216.6 94.44%
2004/4/14 1128.17 2856.61 1217.87 94.11%
2004/4/15 1128.84 2854.53 1194.67 93.48%
2004/4/16 1134.61 2866.95 1196.18 93.81%
2004/4/19 1135.82 2859.24 1182.97 93.42%
2004/4/20 1118.15 2878.8 1204.37 93.67%
2004/4/21 1124.09 2855.46 1203.59 93.59%
2004/4/22 1139.93 2877.65 1205.8 94.34%
2004/4/23 1140.6 2894.18 1209.62 94.62%
2004/4/26 1135.53 2886.05 1210.96 94.43%
2004/4/27 1138.11 2884.82 1204.94 94.33%
2004/4/28 1122.41 2836.67 1206.92 93.45%
2004/4/30 1107.3 2787.48 1186.31 91.97%
2004/5/6 1113.99 2765.74 1165.24 91.38%
2004/5/7 1098.7 2756.85 1150.89 90.45%
2004/5/10 1087.12 2684.96 1085.54 87.64%
2004/5/11 1095.45 2721.08 1088.89 88.33%
2004/5/12 1097.28 2680.1 1122.31 88.89%
2004/5/13 1096.44 2712.5 1095.93 88.46%
2004/5/14 1095.7 2694.92 1091.51 88.15%
2004/5/17 1084.1 2659.85 1053.77 86.44%
2004/5/18 1091.49 2675.75 1076.21 87.43%
2004/5/19 1088.68 2729.52 1106.16 88.68%
2004/5/20 1089.19 2708.55 1104.89 88.46%
2004/5/21 1093.56 2697.46 1125.21 89.03%
2004/5/24 1095.41 2716.07 1130.89 89.42%
2004/5/25 1113.05 2699.36 1115.66 89.36%
2004/5/26 1114.94 2729.62 1127.24 90.02%
2004/5/27 1121.28 2752.02 1126.64 90.41%
2004/5/28 1120.68 2736.83 1142.38 90.67%
2004/6/1 1121.2 2713.29 1144.27 90.51%
2004/6/2 1124.99 2730.15 1136.87 90.59%
2004/6/3 1116.64 2736.72 1119.56 89.94%
2004/6/4 1122.5 2767.87 1124.97 90.56%
2004/6/7 1140.42 2799.81 1151.67 92.12%
2004/6/8 1142.18 2800.36 1157.92 92.35%
2004/6/9 1131.33 2787.39 1152.77 91.76%
2004/6/10 1136.47 2800.18 1162.06 92.29%
2004/6/14 1125.29 2759.27 1158.54 91.47%
2004/6/15 1132.01 2785.68 1151.3 91.73%
2004/6/16 1133.56 2807.15 1167.09 92.41%
2004/6/17 1132.05 2807.16 1166.78 92.36%
2004/6/18 1135.02 2822.06 1149.88 92.13%
2004/6/21 1130.3 2816.56 1165.25 92.36%
2004/6/22 1134.41 2782.43 1162.31 92.06%
2004/6/23 1144.06 2793.63 1156.16 92.29%
2004/6/24 1140.65 2822.35 1168.96 92.82%
2004/6/25 1134.43 2818.86 1172.44 92.69%
2004/6/28 1133.35 2840.04 1186.6 93.25%
2004/6/29 1136.2 2828.59 1187.01 93.24%
2004/6/30 1140.84 2811.08 1189.6 93.27%
Basket 94.75%
Basket
2004/3/31
24
1
Basket
92.33%
1230.38
1179.23
3406.82
2787.49
1133.84
1126.21
3
1
=
++×
2004/4/1
24
2
Basket
92.71%
1230.38
1175.01
3406.82
2819.7
1133.84
1132.17
3
1
=
++×
…
…
…
2004/6/30
24
G
24
Basket
93.27%
1230.38
1189.6
3406.82
2811.08
1133.84
1140.84
3
1
=
++×
Return
24
= Max(92.33%,92.71%,…, 93.27%)-1
= 94.75%-1
= -5.25%
99 105
Return
i
Return
i
1 5.31%
2 -1.17%
3 8.14%
4 15.95%
5 21.21%
6 37.70%
7 44.29%
8 42.42%
9 39.52%
10 31.96%
11 22.15%
12 20.71%
13 12.85%
14 0.44%
15 1.70%
16 -0.72%
17 -11.70%
18 -22.29%
19 -24.63%
20 -21.37%
21 -14.77%
22 -12.19%
23 -6.53%
24 -5.25%
=
( ) ( ) ( )
[ ]
5.25%6.53%.8.14%.....1.17%5.31%
24
1
−+−++−+×
=7.66%
= 10,000 [1+Max (7.66% 65% ,23%)]
=12,300
100 105
= × MAX[1 BP
end
BP
sup
× PR
sup
]
h x h
h R
h
R
h
= Min { Max[ (PR
h
× BP
h
A
h
) , Floor
h
] , Cap
h
}
CPPI Constant Proportion Portfolio Insurance
CPPI
K
0
K
max
100%
K
h
1
÷ BP
h
×
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2
3 6 12
h
t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
BP
h
h dh
BP
0
BP
end
dh
BP
sup
dh
dh
A
h
PR
h
Floor
h
Cap
h
PR
sup
101 105
K
max
K
0
K
h
K
h
1 ÷ BP
h
× K
h
K
max
K
max
K
max
K
0
1.1998 6 30 6 H = 6 10,000
2. S&P 500 Index
3. 12 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
6
4.A
h
= 110% PR
h
=100% BP
0
= 1 Floor
h
= 0% Cap
h
= 100% dh = 0 = 10% PR
sup
= 80%
5. BP
h
6
BP
sup
2001/09/25 1.4020
h h BP
h
0 1998/06/30 1.0000
1 1999/06/30 1.0930
2 2000/06/30 1.2652
3 2001/06/29 1.3115
4 2002/06/29 1.3030
5 2003/06/30 1.3280
6 2004/06/29 1.3500
1 h = 1
R
1
= Min { Max[ (100% × 1.0930-110%
) , 0%] , 100% }= 0%
1 = 10,000 × 0% = 0
2 h = 2
R2 = Min { Max[ ( 100% × 1.2652-110%) , 0%] , 100% }= 16.52%
2 = 10,000 × 16.52% = 1,652
3 h = 3
R
3
= Min { Max[ (100% × 1.3115-110%
) , 0%] , 100% }= 21.15%
3 = 10,000 × 21.15% = 2,115
4 h = 4
102 105
R
4
= Min { Max[ (100% × 1.3030-110%
) , 0%] , 100% }= 20.30%
4 = 10,000 × 20.30% = 2,030
5 h = 5
R
5
= Min { Max[ (100% × 1.3280-110%
) , 0%] , 100% }= 22.80%
5 = 10,000 × 22.80% = 2,280
6 h = 6
R
6
= Min { Max[ (100% × 1.3500-110%
) , 0%] , 100% }= 25.00%
6 = 10,000 × 25.00% = 2,500
= × MAX[1 BP
end
BP
sup
× PR
sup
]
= 10,000 × MAX[1 BP
6
BP
sup
× PR
sup
]
= 10,000 × MAX[1 10% 1.35 1.4020 × 80%]
= 10,000 × 135%
= 13,500
103 105
×[1 + Max ( ×
)]
=
∑
=
T
h
h
Portfolio
1
×=
−
−
=
∑
1
1
1
,
h
n
h
n
h
n
N
n
h
nh
Underlying
UnderlyingUnderlying
WCMinPortfolio
T
T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i
1 2 3 6 12
h
t
mi
3 t
mi
= 3 M
i
= 4 2002/1/15
2002/1/15 2002/4/15
2002/4/15 2002/7/15
Portfolio
h
h
C
N
h
n
W
n h
1
1
=
∑
=
N
n
h
n
W
0
n
Underlying
n
h
n
Underlying
n h dh
dh
1.1998 6 30 6 H = 6 10,000
2.
3 t
mi
= 3 M
i
= 12 / t
mi
= 12 / 3 = 4 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
4
i
= 24
104 105
3.
3 N = 3 3
3/1
321
===
hhh
WWW
4.C=8.5% 100% 6 23% dh=0
h
S&P500
DJ EUROSTOXX50
TOPIX
Portfolio
h
1998/6/30 1133.84 3406.82 1230.38
1
1998/9/30 1017.01 2670.97 1043.57 -15.70%
2
1998/12/30 1231.93 3342.32 1086.99 8.50%
3
1999/3/30 1300.75 3523.24 1269.24 8.50%
4
1999/6/30 1372.71 3788.66 1416.2 8.21%
5
1999/9/30 1282.71 3669.71 1506.83 -1.10%
6
1999/12/30 1464.47 4904.46 1722.2 8.50%
7
2000/3/30 1487.92 5251.97 1712.45 2.71%
8
2000/6/30 1454.6 5145.35 1591.6 -3.78%
9
2000/10/2 1436.23 4961.88 1491.68 -3.70%
10
2001/1/4 1333.34 4752.71 1280.94 -8.50%
11
2001/3/30 1160.33 4185 1277.27 -8.40%
12
2001/7/2 1236.72 4304.44 1286.92 3.40%
13
2001/10/1 1038.55 3208.31 1047.03 -20.04%
14
2002/1/4 1172.51 3820.42 1053.96 8.50%
15
2002/4/2 1136.76 3743.96 1068.69 -1.22%
16
2002/7/1 968.65 3131.39 1028.63 -11.63%
17
2002/9/30 815.28 2204.39 921.05 -18.63%
18
2002/12/30 879.39 2386.41 843.29 2.56%
19
2003/3/31 848.18 2036.86 788 -8.25%
20
2003/6/30 974.5 2419.51 903.44 8.50%
21
2003/9/30 995.97 2395.87 1018.8 4.67%
22
2003/12/30 1109.64 2750.09 1043.69 8.50%
23
2004/3/30 1127 2791.58 1175.51 5.23%
24
2004/6/30 1140.84 2811.08 1189.6 1.04%
( )
15.70%
% 15.70%,8.5,8.5%
1230.38
1230.381043.57
3406.82
3406.822670.97
1133.84
1133.841017.01
3
1
1
−=−=
−
+
−
+
−
×=
MinMinPortfolio
( )
8.5%% 16.81%,8.5,8.5%
1043.57
1043.571086.99
2670.97
2670.973342.32
1017.01
1017.011231.93
3
1
2
==
−
+
−
+
−
×=
MinMinPortfolio
……
( )
1.04%1.04%,8.5%,8.5%
1175.51
1175.511189.6
2791.58
2791.582811.08
1127
1127-1140.84
3
1
==
−
+
−
+×=
MinMinPortfolio
24
-15.70% +8.5%+……+5.23%+1.04% -0.92%
×[1 + Max ( × )]
10,000 × 1 Max (-0.92%) × 100% 23%
10,000 × 1+23% 12,300
105 105
【
【【
【附件
附件附件
附件五
五五
五】
】】
】完
完完
完
全
全全
全
殘
殘殘
殘
廢
廢廢
廢
程
程程
程
度
度度
度
表
表表
表
完全殘廢指下列七項殘廢程度之一：
１‧雙目均失明者。
２‧兩上肢關節缺失者或兩下肢足踝關節缺失者。
３‧一上肢關節缺失及一下肢足踝關節缺失者。
４‧一目失明及一上肢關節缺失者或一目失明及一下肢足踝關節缺失者。
５‧永久喪失咀嚼或言語之機能者。
６‧四肢機能永久完全喪失者。
７‧中樞神經系統機能遺存極度障害或胸、腹部臟器機能遺存極度障害，終身不能從事任何工作
，經常需醫療護理或專人周密照護者。
註：
１．失明的認定：
◎視力的測定，依據萬國式視力表，兩眼個別依矯正視力測定之。
◎失明係指視力永久在萬國式視力表零點零二以下而言。
◎以自傷害之日起經過六個月的治療為判定原則，但眼球摘出等明顯無法復原之情況，不在
此限。
２．喪失咀嚼之機能係指因器質障害或機能障害，以致不能作咀嚼運動，除流質食物外，不能攝
取者。
３．喪失言語之機能係指後列構成語言之口唇音、齒舌音、口蓋音、喉頭音等之四種語音機能中
，有三種以上不能構音者。
４．所謂機能永久完全喪失係指經六個月以後其機能仍完全喪失者。
５．因重度神經障害，為維持生命必要之日常生活活動，全須他人扶助者。
全球人壽萬利變額萬能壽險－最高年保險成本
( )
14
5.2800
2.9600
63
185.2800
98.8200
15
7.5200
3.4400
64
202.6100
108.6700
16
10.1600
3.9200
65
221.5700
119.4200
17
12.6000
4.3300
66 242.330
0
131.3000
18
12.8800
4.8100
67
265.0500
144.5300
19
13.0500
5.1300
68
289.9200
159.3400
20
13.1300
5.3000
69
317.1500
175.8800
21
13.1500
5.3600
70
346.9800
194.3100
22
13.1200
5.3300
71
379.6300
214.7800
23
13.0700
5.250
0
72
415.3500
237.4500
24
13.0100
5.1500
73
454.3600
262.4800
25
12.9800
5.0700
74
497.0100
290.1600
26
12.9900
5.0400
75
543.6300
320.7900
27
13.0700
5.1000
76
594.5700
354.6600
28
13.2300
5.2700
77
650.1600
392.0800
29
13.5100
5.5600
78
710.7700
433.3700
30
13.9300
5.9300
79
776.8600
478.9600
31
14.5200
6.3800
80
848.8900
529.3200
32
15.3000
6.8800
81
927.3400
584.8900
33
16.3000
7.4300
82
1012.6800
646.1400
34
17.5000
8.0200
83 1105.4200
713.5600
35
18.8600
8.6500
84
1206.1100
787.7800
36
20.3700
9.3100
85
1315.3600
869.4600
37
22.0100
10.0100
86
1433.7500
959.2500
38
23.7400
10.7400
87
1561.8800
1057.8300
39
25.6000
11.5300
88
1700.3300
1165.8700
40 27.61
00
12.4000
89
1849.7000
1284.1900
41
29.8000
13.3600
90
2010.5500
1413.6100
42
32.2000
14.4500
91
2183.4800
1554.9700
43
34.8400
15.6700
92
2369.0700
1709.0900
44
37.7100
17.0700
93
2567.8300
1876.8100
45
40.8400
18.6700
94
2780.0300
2058.8500
46
44.2100
20.4900
95
3005.8900
2255.9600
47
47.8400
22.5700
96
3245.5900
2468.8700
48
51.7500
24.9100
97
3499.3600
2698.3000
49
55.9700
27.4700
98
3767.1700
2944.8000
50
60.5600
30.1700
99
4048.1500
3208
.0900
51
65.5800
32.9400
100
4341.1900
3487.7100
52
71.0800
35.7200
101
4645.2000
3783.1900
53
77.1300
38.4800
102
4959.0800
4094.0600
54
83.8000
41.4000
103
5281.7500
4419.8700
55
91.1800
44.6900
104
5612.2500
4760.3000
56
99.3500
48.5800
105
5949.6700
5115.0100
57
108.3900
53.2700
106
6293.0700
5483.7100
58
118.4000
58.9500
107
6641.5200
5866.0700
59
129.4400
65.5400
108
6980.7800
6245.5800
60
141.5800
72.9300
109
7313.8400
6625.8800
61
154.8800
81.0100
110
10000.0000
10000.0000
62
169.4200
89.6600
-
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