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    (舊版)全球人壽萬利變額萬能壽險

    商品DM
    商品條款 商品費率
    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
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    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
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    d
    CMS
    1
    ]2[
    d
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    d
    CMS
    1
    ]2[
    d
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    d
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    ]2[
    d
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    d
    d
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    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
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    2
    d
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
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    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
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    3
    ] , Cap
    3
    }
    3 (1999/7/27~2000/7/25)
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    d
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    3
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    d
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    3
    ]2[
    d
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    3
    d
    d
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    3
    ]10[
    d
    CMS
    3
    ]2[
    d
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    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
    3.9200
    65
    221.5700
    119.4200
    17
    4.3300
    66 242.330
    0
    131.3000
    18
    4.8100
    67
    265.0500
    144.5300
    19
    5.1300
    68
    289.9200
    159.3400
    20
    5.3000
    69
    317.1500
    175.8800
    21
    5.3600
    70
    346.9800
    194.3100
    22
    5.3300
    71
    379.6300
    214.7800
    23
    5.250
    0
    72
    415.3500
    237.4500
    24
    5.1500
    73
    454.3600
    262.4800
    25
    5.0700
    74
    497.0100
    290.1600
    26
    5.0400
    75
    543.6300
    320.7900
    27
    5.1000
    76
    594.5700
    354.6600
    28
    5.2700
    77
    650.1600
    392.0800
    29
    5.5600
    78
    710.7700
    433.3700
    30
    5.9300
    79
    776.8600
    478.9600
    31
    6.3800
    80
    848.8900
    529.3200
    32
    6.8800
    81
    927.3400
    584.8900
    33
    7.4300
    82
    1012.6800
    646.1400
    34
    8.0200
    83 1105.4200
    713.5600
    35
    8.6500
    84
    1206.1100
    787.7800
    36
    9.3100
    85
    1315.3600
    869.4600
    37
    10.0100
    86
    1433.7500
    959.2500
    38
    10.7400
    87
    1561.8800
    1057.8300
    39
    11.5300
    88
    1700.3300
    1165.8700
    40 27.61
    00
    12.4000
    89
    1849.7000
    1284.1900
    41
    13.3600
    90
    2010.5500
    1413.6100
    42
    14.4500
    91
    2183.4800
    1554.9700
    43
    15.6700
    92
    2369.0700
    1709.0900
    44
    17.0700
    93
    2567.8300
    1876.8100
    45
    18.6700
    94
    2780.0300
    2058.8500
    46
    20.4900
    95
    3005.8900
    2255.9600
    47
    22.5700
    96
    3245.5900
    2468.8700
    48
    24.9100
    97
    3499.3600
    2698.3000
    49
    27.4700
    98
    3767.1700
    2944.8000
    50
    30.1700
    99
    4048.1500
    3208
    .0900
    51
    32.9400
    100
    4341.1900
    3487.7100
    52
    35.7200
    101
    4645.2000
    3783.1900
    53
    38.4800
    102
    4959.0800
    4094.0600
    54
    41.4000
    103
    5281.7500
    4419.8700
    55
    44.6900
    104
    5612.2500
    4760.3000
    56
    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
    -
    保險觀念
    變額萬能壽險
    假設月繳2000 哪一間 可以把壽險保額做到最高
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    ［安達人壽天生贏家變額萬能壽險丁型］疑問 煩請 解答 感謝1. 免費送失能險嗎？2. 每月利息至少6%嗎？3. 不論賺或虧，每月15號皆給利息嗎？4. 若虧錢還給利息，給利息的錢從何而來？5. 四年期滿，錢續放，壽險與失能險保障仍在，保險費用要繼續扣嗎？6. 期滿不續放，領回的是當初放的金額嗎？7. 壽險與失能險的理賠金額，是依據放多少錢決定的嗎？
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    請問各位前輩有人有投保過"年年吉祥變額萬能壽險 UND"的經驗嗎?
    · 回應 18
    保險觀念
    康健人壽億富變額萬能壽險乙型VLJ-保單問題
    99年買了康健人壽億富變額萬能壽險乙型VLJ-投資型保單，保額150萬，月繳1000，繳到現在繳了16萬多，但帳戶價值只有7萬多，請問有什麼方式可提高投資金額嗎？因它好像都會先扣一筆費用後剩下的才會投資，還有可以幫忙解說一下這張保單嗎？因太久已經忘了這保單的內容了，謝謝。
    · 回應 4
    投保規劃
    變額萬能壽險想降低保額
    請問安聯VXHZ,附約是CR2C，當初沒有想好，導致保額過高，目前只繳第一年，目前經濟壓力太大，這樣是保險降額還是可以減額繳清？或可以展期定期？那種方式比較適合想保留合約，但不想繳太高保險費？另，保險降額，是不是代表之前繳的第一年保險費用就跟解約一樣失效了呢？
    · 回應 4
    投保規劃
    安達人壽大贏家變額萬能壽險丁型
    媽媽在2020年買了這張南非幣的躉繳50萬保單成立以來累計配息E，是有包含在帳戶價值B裡面嗎，還是分開的，買這張投資型保單是賺錢的嗎
    · 回應 4
    投保規劃
    全球新pay長有利變額萬能壽險
    這保單有人很懂嗎？想知道這保單到底如何
    · 回應 1
    投保規劃
    安聯VXLTN10來旺變額萬能壽險
    因為看不太懂裡面的意思，業務員說可以跟失能附約綁在一起，最低10年可以領，只要不解約，附約保險都有效，主約還可以當退休金，請問也有人保這個嗎，謝謝
    · 回應 5
    投保規劃
    安聯人壽萬能壽險推薦嗎?
    想請問各位，目前已有醫療險雙實支實付42歲女，目的是強迫儲蓄，每個月預算1萬，安聯人壽10來旺變額萬能壽險(112)(vxltz)+新安逸豁免保險費健康保險附約wps1 -10年期，10年到期後不領出多賺一點利息，20年後當作退休規劃，請問推薦嗎?
    · 回應 23
    投保規劃
    安聯人壽的如意人生變額萬能壽險(104)(甲型)這張保單的保障內容
    想請問安聯人壽的如意人生變額萬能壽險(104)(甲型)這張保單的保障內容我的訴求是在孩子讀書階段這10-15年萬一不幸去世至少另一半有大概200萬可以供孩子讀書
    · 回應 19
    保險觀念
    三商世紀贏家變額萬能終身壽險A型
    三商世紀贏家變額萬能終身壽險A型-繳16年了，日前接到通知-因俄羅斯實施交易限制，部份可投資標的暫停交易及報價。暫停交易期間，相關處理方式說明如下：1.暫停受理本投資標的之申購、保單子價值減少(提領)及轉換等交易。2.針對所有暫停之交易包含定期保費及其他申購(如收益分配之配置、已申請之轉換買入…等)，將改投入本投資標的相同幣別之停泊標的(三商美邦帳戶)。保戶可以向本公司申請將改投入停泊標的(三商美邦帳戶)之價值轉換至其他投資標的，或於投資標的重新開放交易後申請轉換至投資標的，以上轉換將不計入轉換次數。3.終止契約、年金身故退費、各項保險金、已申請之保單子價值減少(提領)及轉換之賣出計算將排除投資標的(於投資標的公司通知恢復日期後，本公司將重新恢復交易，並補給付差額，且不加計利息)。4.申請保單借款時，將以不計入投資標的之價值的保單帳戶價值計算可借金額上限。5.保險成本、保單管理費，以投資標的於扣除日最近可取得資產評價日之淨值計算並扣除。 請建議要如何處理？通知實在看不懂，謝謝。
    · 回應 1
    投保規劃
    保誠人壽悠遊人生變額壽險
    幫媽媽整理保單，這張投資型保單，95年投保，每個月繳2500，家人說保單帳戶價值剩10000元，保險就持續有效，媽媽目前68歲，到後期是不是保費會愈來愈貴呢？另外有富邦人壽富利旺終身壽險,1萬+NHR1,20單位+AHR,10單位+AHI,10單位，如果調整原本的投資型保單，來加買實支實付，這樣可行嗎？
    · 回應 1
    投保規劃
    富邦ULOB吉祥理財變額萬能壽險（乙型）
    家人在108年買了這張保單，保額2000000，月繳2000。我覺得費用扣好高喔😔本來要請家人認賠損出，但是保險員一直強調說，是前三年費用才會高，之後就不會了……然後又說如果某個時間財務吃緊，可以選擇不要繳費，直接扣帳戶的錢？？保障依舊存在？？我……實在聽不懂……請問有了解這個的好心人能幫忙說明嗎？謝謝！
    · 回應 4
    保單解約
    富邦ULOB吉祥理財變額萬能壽險（乙型）
    家人在108年買了這張保單，保額2000000，月繳2000。我覺得費用扣好高喔😔本來要請家人認賠損出，但是保險員一直強調說，是前三年費用才會高，之後就不會了……然後又說如果某個時間財務吃緊，可以選擇不要繳費，直接扣帳戶的錢？？保障依舊存在？？我……實在聽不懂……請問有了解這個的好心人能幫忙說明嗎？謝謝！
    · 回應 8
    投保規劃
    關於全球人壽壽險
    請問全球人壽壽險1.全球人壽鑫美利利率變動型美元終身壽險2.全球人壽88美傳富利率變動型美元終身壽險以上這兩種買六年期(儲蓄） 比較推薦哪一種呢？謝謝
    · 回應 9
    保單健檢
    世紀理財變額萬能終身壽險二十年期a型
    目前每個月3000請問到期是能全部拿回來嗎?
    · 回應 6
    保單健檢
    請益 台壽傳富美美元利變終身壽險
    想詢問是否有人了解這份保單內容？等保單繳完的話是放著就好嗎？放著的話如果想要用錢可以領出來嗎？會有影響嗎？
    · 回應 13
    投保規劃
    安達人壽新天生贏家plus變額年金保險
    「安達人壽新天生贏家plus變額年金保險」相關疑問，煩請解答，感激不盡！1. 每年利息最多6%嗎？2. 不論賺或賠，每月15號皆給利息，若賠還給利息，利息來源是本金嗎？3. 投資型年金，無保險成本的費用，有維護管理的費用對嗎？4. 維護管理的費用來源是本金嗎？5. 為何前四年的保單管理費用一年比一年高呢？6. 六十五歲才能開始領年金嗎？7. 選分期領比選一次領有利嗎？8. 投入五十萬，選分期領，若未賠約莫能領多少錢？能領多久？是月領還是年領呢？
    · 回應 3
    投保規劃
    台灣人壽臻美利美元利率變動型終身壽險
     台灣人壽臻美利美元利率變動型終身壽險 想請問有比保誠好嗎?謝謝
    · 回應 17
    保險觀念
    全球人壽主約QTL變終身壽險+XHB附約可延續?
    定期QTL主約到期底下附約如XHB就會一併失效，那險種變更為終身壽險(如圖所示)，那是不是原本的附約XHB就會延續至 80 歲 呢?
    · 回應 6
    投保規劃
    全球人壽保加倍定期壽險
    「全球人壽保加倍定期壽險 (ETL)」可以搭配意外險或重大傷病險?
    · 回應 8
    投保規劃
    全球人壽豁免保費可否契變要保人？
    想詢問全球豁免保費先保要被保人不同人的XWA， 若將來小孩長大要自行繳保費時，變更要保人為自身時是否需進行解約XWA改加保XWB的意思？
    · 回應 2
    投保規劃
    已停保的"富邦人壽鑫美利外幣增額終身壽險(美元3萬)能怎麼處理?
    已停保的"富邦人壽鑫美利外幣增額終身壽險(美元3萬)能怎麼處理?103年幫二個孩子買了這張保單.但是只繳了2年就沒繳.當初保險員建議停保即可.不要解約.想請問我現在還能復保嗎?或是直接解約退回解約金?
    · 回應 9
    投保規劃
    全球人壽壽險減額繳清 問題
    大家好，想請問：1.全球人壽壽險(QWX)15年期20萬，在第一年末減額繳清後，實在醫靠醫療費用健康保險附約(XHB) ，一樣可以保障到80歲嗎?2.目前已有南山人壽醫療險，但實支實付額度低，考慮是否選擇全球人壽作為第2家實支實付，以補充不足部分(如健保支付標準2-2-7 )？ 還是大家有其他的推薦呢？
    · 回應 12
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