| In recent years, structured financial products gained rapid development in the international financial market, it is a new financial product which use of financial engineering techniques mix together the deposit, zero coupon bonds and other fixed income products and financial derivatives (such as options, forwards, swaps). But now the form and linked financial products standard of structured financial products standard are single and the homogenization of existing products are important factors to hinder the development. At the same time, in September 6,2013, after 18 years the treasury futures relisted in the China financial futures exchange, As the largest varieties volume of international derivatives market, treasury futures is an important breakthrough in the innovation of futures derivatives market development following the stock index futures. Therefore, in this context, this paper will combine with the current financial market environment and investor’s risk preference, intends to design a new type of structured financial products linked treasury future and give it a reasonable price, thus effectively circumvent the existing products of high homogeneity problem.In product design, this article mainly aims at the investment opportunities of treasury futures market, from the idea of module combination, makes the reasonable structured financial products design scheme. As for the pricing of structured financial products, using the geometric Brown motion to describe the random motion path of futures price in the future, then calculate the option by using the Monte Carlo simulation to the expected rate of return. According to the characteristics of structured financial products, the products are divided into fixed income and options, fixed income part through the cash flow to discount, and the options is using the Matlab software to analysis underlying asset price To calculate the price of option, discount the final price of structured financial products.In this paper, through the research method of the demand analysis, the product market analysis and SWOT analysis, using the portfolio decomposition technique to design a structured financing product embedded Asian option, and use the treasury future (TF1506) to research the reasonableness of the product design and pricing. Finally compared the model price and the actual products price. The results indicate that the product is currently issued at a discount. Investors should carefully measure the risk characteristics and yield characteristics of products before buying products to avoid interest rate risk effectively and obtain income. |
