結構型商品是經由財務工程的設計所創造的量身訂作的商品，在過去幾年中，全球蕭條的經濟產生了低利率時代，在這樣的環境之下，結構型商品發展的非常迅速，以滿足投資人的需求。然而，近幾年來，投資大眾預期利率將會開始攀升，無論它的調升速度是多迅速，這樣的預期導致了一般以低利率為設計目標的結構型商品開始變得不受市場上的歡迎。
一般來說，結構型商品可以由它的連結標的分成兩類，股票連結型以及利率連結型。對利率連結結構型商品來說，有著許多計息方式，本研究針對息滿到期（Target redemption）來進行研討，經由ING Belgium International Finance S.A.所發行的息滿到期商品契約來進行分析。為了建構利率結構及評價商品，本研究採用Libor Market model。而遠期利率（forward rates）在市場利率模型（Libor Market model）的假設下，存在著不同到期日且彼此相關的漂浮項（drift term），傳統的二元樹模型是無法解決這樣的動態利率模型，本研究採用蒙地卡羅模擬來完成這樣的利率結構。此外，也利用這樣的商品契約來闡述這類型商品的避險概念。
在本研究的後面章節中，也會修改商品契約來分析商品的價值以及商品的平均到期日，藉由這樣的結果，希望能提供給發行者以及投資大眾作為決策參考。

Structured notes are tailor made products which are created by financial engineering. In the past, global depression economy introduced low interest rates. Under this background, structured notes developed quickly to fit the investor’s demand. However, in recent years, investors expect interest rates to increase. No matter how fast the rates increase, these expectations have resulted in common structured notes, which focus on low interest rates and have become unpopular in the market.
Generally speaking, structured notes can be divided into two categories by their underlying assets: equity linked notes and interest rate linked notes. There are many payment methods in structured notes. Here, we try to focus on one of these payment methods – Target redemption. A target redemption note contract has been issued by ING Belgium international finance S.A. according to the Libor Market model, in order to construct an interest rate term structure and to value this product. Owing to the fact that forward rates under the Libor Market model exist as a state-dependent drift term, recombining lattices is not able to evolve the interest rate dynamics. Instead, we use the Monte Carlo simulation to do this job. In addition, we will also introduce the concept of hedge for products of this target redemption note contract.
At the end of our research, we tried to modify this product contract. After having modified the conditions of contract, we analyzed their values as well as the average maturity of the notes. With these results, we hope to bring contributions to the issuer and the investor.

參考文獻
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【1】中華民國證券櫃檯買賣中心，衍生性商品，證券新金融商品業務交易概況。
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