Re: [疑惑}結構型商品計算問題 - 證照

By Lucy
at 2012-07-06T11:46
at 2012-07-06T11:46
Table of Contents
剛在板上看到這題,怎麼想都怪怪的
: 2-49雙元外幣組合式商品條件如下:一個月定存USD500000,連結貨幣=JPY,
: 轉換匯率=92.00(僅轉換存款本金部份),一個月美元定存利率=0.25%,總收益
: 率=12.85%,投資人收益還高原定存利率,則其損益兩平匯率為:
: 500000 x 0.25% x 30/360 =104
: 500000 x 12.85% x 30/360 =5354
: 500000 x 92 = 46000000
: 46000000 / A =500000-5354+104
: A=92.9762......怎麼怪怪的 此為東展解法
: ANS:92.019
我的想法如下:
權利金收入=500,000*(12.85%-0.25%)*30/360 = 5,250
利息收入=500,000*0.25%*30/360 = 104.17
本金 權利金收入 利息收入
USD 500,000 USD 5,250 USD 104.17
選擇權到期本金被強制轉換 : 500,000*92 = JPY 46,000,000
到期時匯率為 X
期初投資總成本: 500,000-5,250 = USD 494,750
期末持有資金為: JPY 46,000,000 + USD 104.17
損益兩平: 46,000,000/X + 104.17 = 494,750
X = 92.9958
這樣的想法有哪邊是沒考慮到的嗎?
因為沒這答案...
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