Form  Type name  Structure 

Single  Vanilla FRN 

Inverse FRN 
11%  CD91 rate Floor 0% 

CD Range 
6.7% if base rate ∈ condition, otherwise 2.0% 

CD Range Accrual 
6.7%*n/Nx(n:base rate ∈ condition) 

Single Rate Spread  CMS Spread 

CMS Spread Range Accrual 
6.7%*n/N(n:Rate Spread Spread ∈ condition) 

CMS Ratio 
3.0%+(CMS5Y/CMS3Y1)%Cap:12%,Floor:0% 

Dual Rate Spread  Dual Spread (Power Spread, Power Plus, Power Cross) 

Dual Spread Range Accrual (Bond Swap Spread Basis Spread) 


Daul Range  Dual Range Dual Range Accrual 
6.51*n/N (n: LIBOR < 6.5% & CD<6%) 
Dual Spread Range Dual Spread Range Accrual 
7%*n/N, 

Dual Spread Range Dual Spread Range Accrual 
7%*n/N, 

Dual Currency /Index Range Dual Currency /Index Range Accural 


Floater  Floater CMS Range Floater CMS Range Accrual 
(CMS5y+1.30%)*n/N,(CMS5y>3.09%), 
Floater CMS Spread Range Floater CMS Spread Range Accrual 
(CMS5y+1.30%)*n/N,(CMS5YCMS3Y>3.09%), 

Floater Dual Spread Range Floater Dual Sprad Range Accrual 
(CMS5y+1.30%)*n/N,(CMS5YMSB3Y>3.09%), 

Index 
[2.0%+7*(MAST Index Return  a(i)), Cap : 10%, Floor : 0%], 

Min(2*[Max(Annual Index Return ,11.00%), 

Complex  Power Bonus 
[7.25%*n/N, n:(MSB2YMSB1Y) ≥ 0%] 
Power Mix 
1Q~:5%+[13*avg.(MSB2YCMS2Y), cap 5%, floor 0%]/ 

Path Dependent  CMS Volatility 
2.5%+25*(CMS5Y_finalCMS5Y_initial) 
Ratchet Mandated redemption condition Memory 
Path Dependent product 
Assuming that the underlying asset S(t) has normal distribution of volatility σ, the call option prices are as follows
Assume that the shortterm interest rate is function r and follows the Gaussian Diffusion Process
To conduct Base rate simulation, create a shortterm interest rate path on the yield curve.
The following formula used to calculate Zero Coupon Bond price, P(t, T),and the results are used to estimate the Reference Rate and determine the payoff
By using discounted yield curve, bonds price are calculated in each node than the option price is calculated by applying the LongstaffSchwartz regression (Least Square) method.
Model  Types  Memo 

HullWhite 1 Factor  CD Range Accrual, Dual Range Accrual, Power Spread etc. 
Payoff is determined by rising or falling interest rates 
HullWhite 2 Factor  CMS Spread(Range Accrual), UCMS(Range Accrual) etc. 
Payoffs are determined by rising, falling, Steepening/flattening and other factors of interest rates 